CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 15-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Sep-2011 |
15-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1356 |
1.1406 |
0.0050 |
0.4% |
1.2685 |
| High |
1.1456 |
1.1565 |
0.0109 |
1.0% |
1.2792 |
| Low |
1.1296 |
1.1369 |
0.0073 |
0.6% |
1.1284 |
| Close |
1.1414 |
1.1499 |
0.0085 |
0.7% |
1.1310 |
| Range |
0.0160 |
0.0196 |
0.0036 |
22.5% |
0.1508 |
| ATR |
0.0284 |
0.0277 |
-0.0006 |
-2.2% |
0.0000 |
| Volume |
25,648 |
19,094 |
-6,554 |
-25.6% |
115,199 |
|
| Daily Pivots for day following 15-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2066 |
1.1978 |
1.1607 |
|
| R3 |
1.1870 |
1.1782 |
1.1553 |
|
| R2 |
1.1674 |
1.1674 |
1.1535 |
|
| R1 |
1.1586 |
1.1586 |
1.1517 |
1.1630 |
| PP |
1.1478 |
1.1478 |
1.1478 |
1.1500 |
| S1 |
1.1390 |
1.1390 |
1.1481 |
1.1434 |
| S2 |
1.1282 |
1.1282 |
1.1463 |
|
| S3 |
1.1086 |
1.1194 |
1.1445 |
|
| S4 |
1.0890 |
1.0998 |
1.1391 |
|
|
| 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 |
1.1565 |
1.1201 |
0.0364 |
3.2% |
0.0176 |
1.5% |
82% |
True |
False |
23,899 |
| 10 |
1.2978 |
1.1201 |
0.1777 |
15.5% |
0.0312 |
2.7% |
17% |
False |
False |
27,084 |
| 20 |
1.2978 |
1.1201 |
0.1777 |
15.5% |
0.0264 |
2.3% |
17% |
False |
False |
25,564 |
| 40 |
1.4167 |
1.1201 |
0.2966 |
25.8% |
0.0295 |
2.6% |
10% |
False |
False |
39,919 |
| 60 |
1.4167 |
1.1201 |
0.2966 |
25.8% |
0.0247 |
2.1% |
10% |
False |
False |
42,315 |
| 80 |
1.4167 |
1.1201 |
0.2966 |
25.8% |
0.0215 |
1.9% |
10% |
False |
False |
36,883 |
| 100 |
1.4167 |
1.1195 |
0.2972 |
25.8% |
0.0194 |
1.7% |
10% |
False |
False |
29,526 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
29.9% |
0.0172 |
1.5% |
22% |
False |
False |
24,610 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2398 |
|
2.618 |
1.2078 |
|
1.618 |
1.1882 |
|
1.000 |
1.1761 |
|
0.618 |
1.1686 |
|
HIGH |
1.1565 |
|
0.618 |
1.1490 |
|
0.500 |
1.1467 |
|
0.382 |
1.1444 |
|
LOW |
1.1369 |
|
0.618 |
1.1248 |
|
1.000 |
1.1173 |
|
1.618 |
1.1052 |
|
2.618 |
1.0856 |
|
4.250 |
1.0536 |
|
|
| Fisher Pivots for day following 15-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1488 |
1.1470 |
| PP |
1.1478 |
1.1442 |
| S1 |
1.1467 |
1.1413 |
|