CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 08-Sep-2011
Day Change Summary
Previous Current
07-Sep-2011 08-Sep-2011 Change Change % Previous Week
Open 1.1602 1.1657 0.0055 0.5% 1.2399
High 1.1714 1.1664 -0.0050 -0.4% 1.2978
Low 1.1599 1.1403 -0.0196 -1.7% 1.2143
Close 1.1659 1.1435 -0.0224 -1.9% 1.2690
Range 0.0115 0.0261 0.0146 127.0% 0.0835
ATR 0.0328 0.0323 -0.0005 -1.5% 0.0000
Volume 25,598 25,675 77 0.3% 136,732
Daily Pivots for day following 08-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.2284 1.2120 1.1579
R3 1.2023 1.1859 1.1507
R2 1.1762 1.1762 1.1483
R1 1.1598 1.1598 1.1459 1.1550
PP 1.1501 1.1501 1.1501 1.1476
S1 1.1337 1.1337 1.1411 1.1289
S2 1.1240 1.1240 1.1387
S3 1.0979 1.1076 1.1363
S4 1.0718 1.0815 1.1291
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 1.1403 0.1575 13.8% 0.0448 3.9% 2% False True 30,269
10 1.2978 1.1403 0.1575 13.8% 0.0354 3.1% 2% False True 28,781
20 1.3845 1.1403 0.2442 21.4% 0.0331 2.9% 1% False True 32,105
40 1.4167 1.1403 0.2764 24.2% 0.0291 2.5% 1% False True 42,415
60 1.4167 1.1403 0.2764 24.2% 0.0242 2.1% 1% False True 43,745
80 1.4167 1.1253 0.2914 25.5% 0.0210 1.8% 6% False False 35,398
100 1.4167 1.1122 0.3045 26.6% 0.0189 1.7% 10% False False 28,334
120 1.4167 1.0725 0.3442 30.1% 0.0168 1.5% 21% False False 23,614
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0037
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.2773
2.618 1.2347
1.618 1.2086
1.000 1.1925
0.618 1.1825
HIGH 1.1664
0.618 1.1564
0.500 1.1534
0.382 1.1503
LOW 1.1403
0.618 1.1242
1.000 1.1142
1.618 1.0981
2.618 1.0720
4.250 1.0294
Fisher Pivots for day following 08-Sep-2011
Pivot 1 day 3 day
R1 1.1534 1.2098
PP 1.1501 1.1877
S1 1.1468 1.1656

These figures are updated between 7pm and 10pm EST after a trading day.

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