CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 12-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Sep-2011 |
12-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1427 |
1.1253 |
-0.0174 |
-1.5% |
1.2685 |
| High |
1.1487 |
1.1365 |
-0.0122 |
-1.1% |
1.2792 |
| Low |
1.1284 |
1.1201 |
-0.0083 |
-0.7% |
1.1284 |
| Close |
1.1310 |
1.1273 |
-0.0037 |
-0.3% |
1.1310 |
| Range |
0.0203 |
0.0164 |
-0.0039 |
-19.2% |
0.1508 |
| ATR |
0.0314 |
0.0304 |
-0.0011 |
-3.4% |
0.0000 |
| Volume |
25,957 |
21,747 |
-4,210 |
-16.2% |
115,199 |
|
| Daily Pivots for day following 12-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1772 |
1.1686 |
1.1363 |
|
| R3 |
1.1608 |
1.1522 |
1.1318 |
|
| R2 |
1.1444 |
1.1444 |
1.1303 |
|
| R1 |
1.1358 |
1.1358 |
1.1288 |
1.1401 |
| PP |
1.1280 |
1.1280 |
1.1280 |
1.1301 |
| S1 |
1.1194 |
1.1194 |
1.1258 |
1.1237 |
| S2 |
1.1116 |
1.1116 |
1.1243 |
|
| S3 |
1.0952 |
1.1030 |
1.1228 |
|
| S4 |
1.0788 |
1.0866 |
1.1183 |
|
|
| 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 |
1.2792 |
1.1201 |
0.1591 |
14.1% |
0.0388 |
3.4% |
5% |
False |
True |
27,389 |
| 10 |
1.2978 |
1.1201 |
0.1777 |
15.8% |
0.0337 |
3.0% |
4% |
False |
True |
27,367 |
| 20 |
1.2978 |
1.1201 |
0.1777 |
15.8% |
0.0288 |
2.6% |
4% |
False |
True |
28,070 |
| 40 |
1.4167 |
1.1201 |
0.2966 |
26.3% |
0.0293 |
2.6% |
2% |
False |
True |
41,103 |
| 60 |
1.4167 |
1.1201 |
0.2966 |
26.3% |
0.0244 |
2.2% |
2% |
False |
True |
42,851 |
| 80 |
1.4167 |
1.1201 |
0.2966 |
26.3% |
0.0213 |
1.9% |
2% |
False |
True |
35,992 |
| 100 |
1.4167 |
1.1145 |
0.3022 |
26.8% |
0.0192 |
1.7% |
4% |
False |
False |
28,809 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
30.5% |
0.0170 |
1.5% |
16% |
False |
False |
24,012 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2062 |
|
2.618 |
1.1794 |
|
1.618 |
1.1630 |
|
1.000 |
1.1529 |
|
0.618 |
1.1466 |
|
HIGH |
1.1365 |
|
0.618 |
1.1302 |
|
0.500 |
1.1283 |
|
0.382 |
1.1264 |
|
LOW |
1.1201 |
|
0.618 |
1.1100 |
|
1.000 |
1.1037 |
|
1.618 |
1.0936 |
|
2.618 |
1.0772 |
|
4.250 |
1.0504 |
|
|
| Fisher Pivots for day following 12-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1283 |
1.1433 |
| PP |
1.1280 |
1.1379 |
| S1 |
1.1276 |
1.1326 |
|