CME Swiss Franc Future September 2011
| 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 |
|
|
|
| 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 |
|