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
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
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 0.0036
Narrowest range in 3 trading days
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

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

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