CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 02-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Sep-2011 |
02-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2404 |
1.2589 |
0.0185 |
1.5% |
1.2399 |
| High |
1.2621 |
1.2978 |
0.0357 |
2.8% |
1.2978 |
| Low |
1.2364 |
1.2569 |
0.0205 |
1.7% |
1.2143 |
| Close |
1.2596 |
1.2690 |
0.0094 |
0.7% |
1.2690 |
| Range |
0.0257 |
0.0409 |
0.0152 |
59.1% |
0.0835 |
| ATR |
0.0268 |
0.0279 |
0.0010 |
3.7% |
0.0000 |
| Volume |
25,144 |
36,963 |
11,819 |
47.0% |
136,732 |
|
| Daily Pivots for day following 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3973 |
1.3740 |
1.2915 |
|
| R3 |
1.3564 |
1.3331 |
1.2802 |
|
| R2 |
1.3155 |
1.3155 |
1.2765 |
|
| R1 |
1.2922 |
1.2922 |
1.2727 |
1.3039 |
| PP |
1.2746 |
1.2746 |
1.2746 |
1.2804 |
| S1 |
1.2513 |
1.2513 |
1.2653 |
1.2630 |
| S2 |
1.2337 |
1.2337 |
1.2615 |
|
| S3 |
1.1928 |
1.2104 |
1.2578 |
|
| S4 |
1.1519 |
1.1695 |
1.2465 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5109 |
1.4734 |
1.3149 |
|
| R3 |
1.4274 |
1.3899 |
1.2920 |
|
| R2 |
1.3439 |
1.3439 |
1.2843 |
|
| R1 |
1.3064 |
1.3064 |
1.2767 |
1.3252 |
| PP |
1.2604 |
1.2604 |
1.2604 |
1.2697 |
| S1 |
1.2229 |
1.2229 |
1.2613 |
1.2417 |
| S2 |
1.1769 |
1.1769 |
1.2537 |
|
| S3 |
1.0934 |
1.1394 |
1.2460 |
|
| S4 |
1.0099 |
1.0559 |
1.2231 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2978 |
1.2143 |
0.0835 |
6.6% |
0.0285 |
2.2% |
66% |
True |
False |
27,346 |
| 10 |
1.2978 |
1.2143 |
0.0835 |
6.6% |
0.0235 |
1.9% |
66% |
True |
False |
24,978 |
| 20 |
1.4167 |
1.2143 |
0.2024 |
15.9% |
0.0332 |
2.6% |
27% |
False |
False |
38,718 |
| 40 |
1.4167 |
1.1910 |
0.2257 |
17.8% |
0.0264 |
2.1% |
35% |
False |
False |
44,363 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.4% |
0.0222 |
1.7% |
40% |
False |
False |
44,277 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.4% |
0.0196 |
1.5% |
50% |
False |
False |
34,286 |
| 100 |
1.4167 |
1.1122 |
0.3045 |
24.0% |
0.0175 |
1.4% |
51% |
False |
False |
27,442 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
27.1% |
0.0156 |
1.2% |
57% |
False |
False |
22,872 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4716 |
|
2.618 |
1.4049 |
|
1.618 |
1.3640 |
|
1.000 |
1.3387 |
|
0.618 |
1.3231 |
|
HIGH |
1.2978 |
|
0.618 |
1.2822 |
|
0.500 |
1.2774 |
|
0.382 |
1.2725 |
|
LOW |
1.2569 |
|
0.618 |
1.2316 |
|
1.000 |
1.2160 |
|
1.618 |
1.1907 |
|
2.618 |
1.1498 |
|
4.250 |
1.0831 |
|
|
| Fisher Pivots for day following 02-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2774 |
1.2654 |
| PP |
1.2746 |
1.2618 |
| S1 |
1.2718 |
1.2583 |
|