CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 06-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Sep-2011 |
06-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2589 |
1.2685 |
0.0096 |
0.8% |
1.2399 |
| High |
1.2978 |
1.2792 |
-0.0186 |
-1.4% |
1.2978 |
| Low |
1.2569 |
1.1595 |
-0.0974 |
-7.7% |
1.2143 |
| Close |
1.2690 |
1.1612 |
-0.1078 |
-8.5% |
1.2690 |
| Range |
0.0409 |
0.1197 |
0.0788 |
192.7% |
0.0835 |
| ATR |
0.0279 |
0.0344 |
0.0066 |
23.6% |
0.0000 |
| Volume |
36,963 |
37,969 |
1,006 |
2.7% |
136,732 |
|
| Daily Pivots for day following 06-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5591 |
1.4798 |
1.2270 |
|
| R3 |
1.4394 |
1.3601 |
1.1941 |
|
| R2 |
1.3197 |
1.3197 |
1.1831 |
|
| R1 |
1.2404 |
1.2404 |
1.1722 |
1.2202 |
| PP |
1.2000 |
1.2000 |
1.2000 |
1.1899 |
| S1 |
1.1207 |
1.1207 |
1.1502 |
1.1005 |
| S2 |
1.0803 |
1.0803 |
1.1393 |
|
| S3 |
0.9606 |
1.0010 |
1.1283 |
|
| S4 |
0.8409 |
0.8813 |
1.0954 |
|
|
| 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 |
1.1595 |
0.1383 |
11.9% |
0.0472 |
4.1% |
1% |
False |
True |
29,866 |
| 10 |
1.2978 |
1.1595 |
0.1383 |
11.9% |
0.0343 |
3.0% |
1% |
False |
True |
27,129 |
| 20 |
1.4167 |
1.1595 |
0.2572 |
22.1% |
0.0376 |
3.2% |
1% |
False |
True |
37,404 |
| 40 |
1.4167 |
1.1595 |
0.2572 |
22.1% |
0.0292 |
2.5% |
1% |
False |
True |
44,102 |
| 60 |
1.4167 |
1.1595 |
0.2572 |
22.1% |
0.0241 |
2.1% |
1% |
False |
True |
44,229 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
25.6% |
0.0210 |
1.8% |
14% |
False |
False |
34,759 |
| 100 |
1.4167 |
1.1122 |
0.3045 |
26.2% |
0.0186 |
1.6% |
16% |
False |
False |
27,821 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
29.6% |
0.0165 |
1.4% |
26% |
False |
False |
23,188 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.7879 |
|
2.618 |
1.5926 |
|
1.618 |
1.4729 |
|
1.000 |
1.3989 |
|
0.618 |
1.3532 |
|
HIGH |
1.2792 |
|
0.618 |
1.2335 |
|
0.500 |
1.2194 |
|
0.382 |
1.2052 |
|
LOW |
1.1595 |
|
0.618 |
1.0855 |
|
1.000 |
1.0398 |
|
1.618 |
0.9658 |
|
2.618 |
0.8461 |
|
4.250 |
0.6508 |
|
|
| Fisher Pivots for day following 06-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2194 |
1.2287 |
| PP |
1.2000 |
1.2062 |
| S1 |
1.1806 |
1.1837 |
|