CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 13-Sep-2011
Day Change Summary
Previous Current
12-Sep-2011 13-Sep-2011 Change Change % Previous Week
Open 1.1253 1.1355 0.0102 0.9% 1.2685
High 1.1365 1.1419 0.0054 0.5% 1.2792
Low 1.1201 1.1261 0.0060 0.5% 1.1284
Close 1.1273 1.1392 0.0119 1.1% 1.1310
Range 0.0164 0.0158 -0.0006 -3.7% 0.1508
ATR 0.0304 0.0293 -0.0010 -3.4% 0.0000
Volume 21,747 27,050 5,303 24.4% 115,199
Daily Pivots for day following 13-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.1831 1.1770 1.1479
R3 1.1673 1.1612 1.1435
R2 1.1515 1.1515 1.1421
R1 1.1454 1.1454 1.1406 1.1485
PP 1.1357 1.1357 1.1357 1.1373
S1 1.1296 1.1296 1.1378 1.1327
S2 1.1199 1.1199 1.1363
S3 1.1041 1.1138 1.1349
S4 1.0883 1.0980 1.1305
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 1.1714 1.1201 0.0513 4.5% 0.0180 1.6% 37% False False 25,205
10 1.2978 1.1201 0.1777 15.6% 0.0326 2.9% 11% False False 27,535
20 1.2978 1.1201 0.1777 15.6% 0.0277 2.4% 11% False False 27,581
40 1.4167 1.1201 0.2966 26.0% 0.0294 2.6% 6% False False 40,831
60 1.4167 1.1201 0.2966 26.0% 0.0245 2.1% 6% False False 42,642
80 1.4167 1.1201 0.2966 26.0% 0.0213 1.9% 6% False False 36,328
100 1.4167 1.1195 0.2972 26.1% 0.0193 1.7% 7% False False 29,079
120 1.4167 1.0725 0.3442 30.2% 0.0171 1.5% 19% False False 24,237
Crabel Price Patterns
NR True
NR4 True
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 0.0042
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.2091
2.618 1.1833
1.618 1.1675
1.000 1.1577
0.618 1.1517
HIGH 1.1419
0.618 1.1359
0.500 1.1340
0.382 1.1321
LOW 1.1261
0.618 1.1163
1.000 1.1103
1.618 1.1005
2.618 1.0847
4.250 1.0590
Fisher Pivots for day following 13-Sep-2011
Pivot 1 day 3 day
R1 1.1375 1.1376
PP 1.1357 1.1360
S1 1.1340 1.1344

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

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