CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 14-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Sep-2011 |
14-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1355 |
1.1356 |
0.0001 |
0.0% |
1.2685 |
| High |
1.1419 |
1.1456 |
0.0037 |
0.3% |
1.2792 |
| Low |
1.1261 |
1.1296 |
0.0035 |
0.3% |
1.1284 |
| Close |
1.1392 |
1.1414 |
0.0022 |
0.2% |
1.1310 |
| Range |
0.0158 |
0.0160 |
0.0002 |
1.3% |
0.1508 |
| ATR |
0.0293 |
0.0284 |
-0.0010 |
-3.2% |
0.0000 |
| Volume |
27,050 |
25,648 |
-1,402 |
-5.2% |
115,199 |
|
| Daily Pivots for day following 14-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1869 |
1.1801 |
1.1502 |
|
| R3 |
1.1709 |
1.1641 |
1.1458 |
|
| R2 |
1.1549 |
1.1549 |
1.1443 |
|
| R1 |
1.1481 |
1.1481 |
1.1429 |
1.1515 |
| PP |
1.1389 |
1.1389 |
1.1389 |
1.1406 |
| S1 |
1.1321 |
1.1321 |
1.1399 |
1.1355 |
| S2 |
1.1229 |
1.1229 |
1.1385 |
|
| S3 |
1.1069 |
1.1161 |
1.1370 |
|
| S4 |
1.0909 |
1.1001 |
1.1326 |
|
|
| 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 |
1.1664 |
1.1201 |
0.0463 |
4.1% |
0.0189 |
1.7% |
46% |
False |
False |
25,215 |
| 10 |
1.2978 |
1.1201 |
0.1777 |
15.6% |
0.0325 |
2.8% |
12% |
False |
False |
28,190 |
| 20 |
1.2978 |
1.1201 |
0.1777 |
15.6% |
0.0269 |
2.4% |
12% |
False |
False |
27,100 |
| 40 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0293 |
2.6% |
7% |
False |
False |
40,324 |
| 60 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0245 |
2.1% |
7% |
False |
False |
42,474 |
| 80 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0214 |
1.9% |
7% |
False |
False |
36,647 |
| 100 |
1.4167 |
1.1195 |
0.2972 |
26.0% |
0.0193 |
1.7% |
7% |
False |
False |
29,336 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
30.2% |
0.0171 |
1.5% |
20% |
False |
False |
24,451 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2136 |
|
2.618 |
1.1875 |
|
1.618 |
1.1715 |
|
1.000 |
1.1616 |
|
0.618 |
1.1555 |
|
HIGH |
1.1456 |
|
0.618 |
1.1395 |
|
0.500 |
1.1376 |
|
0.382 |
1.1357 |
|
LOW |
1.1296 |
|
0.618 |
1.1197 |
|
1.000 |
1.1136 |
|
1.618 |
1.1037 |
|
2.618 |
1.0877 |
|
4.250 |
1.0616 |
|
|
| Fisher Pivots for day following 14-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1401 |
1.1386 |
| PP |
1.1389 |
1.1357 |
| S1 |
1.1376 |
1.1329 |
|