CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 07-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2011 |
07-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2685 |
1.1602 |
-0.1083 |
-8.5% |
1.2399 |
| High |
1.2792 |
1.1714 |
-0.1078 |
-8.4% |
1.2978 |
| Low |
1.1595 |
1.1599 |
0.0004 |
0.0% |
1.2143 |
| Close |
1.1612 |
1.1659 |
0.0047 |
0.4% |
1.2690 |
| Range |
0.1197 |
0.0115 |
-0.1082 |
-90.4% |
0.0835 |
| ATR |
0.0344 |
0.0328 |
-0.0016 |
-4.8% |
0.0000 |
| Volume |
37,969 |
25,598 |
-12,371 |
-32.6% |
136,732 |
|
| Daily Pivots for day following 07-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2002 |
1.1946 |
1.1722 |
|
| R3 |
1.1887 |
1.1831 |
1.1691 |
|
| R2 |
1.1772 |
1.1772 |
1.1680 |
|
| R1 |
1.1716 |
1.1716 |
1.1670 |
1.1744 |
| PP |
1.1657 |
1.1657 |
1.1657 |
1.1672 |
| S1 |
1.1601 |
1.1601 |
1.1648 |
1.1629 |
| S2 |
1.1542 |
1.1542 |
1.1638 |
|
| S3 |
1.1427 |
1.1486 |
1.1627 |
|
| S4 |
1.1312 |
1.1371 |
1.1596 |
|
|
| 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% |
0.0461 |
4.0% |
5% |
False |
False |
31,166 |
| 10 |
1.2978 |
1.1595 |
0.1383 |
11.9% |
0.0342 |
2.9% |
5% |
False |
False |
28,092 |
| 20 |
1.3949 |
1.1595 |
0.2354 |
20.2% |
0.0332 |
2.9% |
3% |
False |
False |
33,821 |
| 40 |
1.4167 |
1.1595 |
0.2572 |
22.1% |
0.0290 |
2.5% |
2% |
False |
False |
43,234 |
| 60 |
1.4167 |
1.1595 |
0.2572 |
22.1% |
0.0240 |
2.1% |
2% |
False |
False |
44,103 |
| 80 |
1.4167 |
1.1205 |
0.2962 |
25.4% |
0.0209 |
1.8% |
15% |
False |
False |
35,078 |
| 100 |
1.4167 |
1.1122 |
0.3045 |
26.1% |
0.0187 |
1.6% |
18% |
False |
False |
28,077 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
29.5% |
0.0166 |
1.4% |
27% |
False |
False |
23,400 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2203 |
|
2.618 |
1.2015 |
|
1.618 |
1.1900 |
|
1.000 |
1.1829 |
|
0.618 |
1.1785 |
|
HIGH |
1.1714 |
|
0.618 |
1.1670 |
|
0.500 |
1.1657 |
|
0.382 |
1.1643 |
|
LOW |
1.1599 |
|
0.618 |
1.1528 |
|
1.000 |
1.1484 |
|
1.618 |
1.1413 |
|
2.618 |
1.1298 |
|
4.250 |
1.1110 |
|
|
| Fisher Pivots for day following 07-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1658 |
1.2287 |
| PP |
1.1657 |
1.2077 |
| S1 |
1.1657 |
1.1868 |
|