CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 09-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Sep-2011 |
09-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1657 |
1.1427 |
-0.0230 |
-2.0% |
1.2685 |
| High |
1.1664 |
1.1487 |
-0.0177 |
-1.5% |
1.2792 |
| Low |
1.1403 |
1.1284 |
-0.0119 |
-1.0% |
1.1284 |
| Close |
1.1435 |
1.1310 |
-0.0125 |
-1.1% |
1.1310 |
| Range |
0.0261 |
0.0203 |
-0.0058 |
-22.2% |
0.1508 |
| ATR |
0.0323 |
0.0314 |
-0.0009 |
-2.7% |
0.0000 |
| Volume |
25,675 |
25,957 |
282 |
1.1% |
115,199 |
|
| Daily Pivots for day following 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1969 |
1.1843 |
1.1422 |
|
| R3 |
1.1766 |
1.1640 |
1.1366 |
|
| R2 |
1.1563 |
1.1563 |
1.1347 |
|
| R1 |
1.1437 |
1.1437 |
1.1329 |
1.1399 |
| PP |
1.1360 |
1.1360 |
1.1360 |
1.1341 |
| S1 |
1.1234 |
1.1234 |
1.1291 |
1.1196 |
| S2 |
1.1157 |
1.1157 |
1.1273 |
|
| S3 |
1.0954 |
1.1031 |
1.1254 |
|
| S4 |
1.0751 |
1.0828 |
1.1198 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.6319 |
1.5323 |
1.2139 |
|
| R3 |
1.4811 |
1.3815 |
1.1725 |
|
| R2 |
1.3303 |
1.3303 |
1.1586 |
|
| R1 |
1.2307 |
1.2307 |
1.1448 |
1.2051 |
| PP |
1.1795 |
1.1795 |
1.1795 |
1.1668 |
| S1 |
1.0799 |
1.0799 |
1.1172 |
1.0543 |
| S2 |
1.0287 |
1.0287 |
1.1034 |
|
| S3 |
0.8779 |
0.9291 |
1.0895 |
|
| S4 |
0.7271 |
0.7783 |
1.0481 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2978 |
1.1284 |
0.1694 |
15.0% |
0.0437 |
3.9% |
2% |
False |
True |
30,432 |
| 10 |
1.2978 |
1.1284 |
0.1694 |
15.0% |
0.0362 |
3.2% |
2% |
False |
True |
29,001 |
| 20 |
1.3264 |
1.1284 |
0.1980 |
17.5% |
0.0300 |
2.7% |
1% |
False |
True |
29,368 |
| 40 |
1.4167 |
1.1284 |
0.2883 |
25.5% |
0.0292 |
2.6% |
1% |
False |
True |
41,565 |
| 60 |
1.4167 |
1.1284 |
0.2883 |
25.5% |
0.0243 |
2.1% |
1% |
False |
True |
43,274 |
| 80 |
1.4167 |
1.1253 |
0.2914 |
25.8% |
0.0212 |
1.9% |
2% |
False |
False |
35,722 |
| 100 |
1.4167 |
1.1122 |
0.3045 |
26.9% |
0.0191 |
1.7% |
6% |
False |
False |
28,593 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
30.4% |
0.0169 |
1.5% |
17% |
False |
False |
23,830 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2350 |
|
2.618 |
1.2018 |
|
1.618 |
1.1815 |
|
1.000 |
1.1690 |
|
0.618 |
1.1612 |
|
HIGH |
1.1487 |
|
0.618 |
1.1409 |
|
0.500 |
1.1386 |
|
0.382 |
1.1362 |
|
LOW |
1.1284 |
|
0.618 |
1.1159 |
|
1.000 |
1.1081 |
|
1.618 |
1.0956 |
|
2.618 |
1.0753 |
|
4.250 |
1.0421 |
|
|
| Fisher Pivots for day following 09-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1386 |
1.1499 |
| PP |
1.1360 |
1.1436 |
| S1 |
1.1335 |
1.1373 |
|