CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 27-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2011 |
27-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2480 |
1.2506 |
0.0026 |
0.2% |
1.2354 |
| High |
1.2502 |
1.2512 |
0.0010 |
0.1% |
1.2361 |
| Low |
1.2465 |
1.2470 |
0.0005 |
0.0% |
1.2131 |
| Close |
1.2501 |
1.2486 |
-0.0015 |
-0.1% |
1.2236 |
| Range |
0.0037 |
0.0042 |
0.0005 |
13.5% |
0.0230 |
| ATR |
0.0114 |
0.0109 |
-0.0005 |
-4.5% |
0.0000 |
| Volume |
146 |
73 |
-73 |
-50.0% |
134 |
|
| Daily Pivots for day following 27-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2615 |
1.2593 |
1.2509 |
|
| R3 |
1.2573 |
1.2551 |
1.2498 |
|
| R2 |
1.2531 |
1.2531 |
1.2494 |
|
| R1 |
1.2509 |
1.2509 |
1.2490 |
1.2499 |
| PP |
1.2489 |
1.2489 |
1.2489 |
1.2485 |
| S1 |
1.2467 |
1.2467 |
1.2482 |
1.2457 |
| S2 |
1.2447 |
1.2447 |
1.2478 |
|
| S3 |
1.2405 |
1.2425 |
1.2474 |
|
| S4 |
1.2363 |
1.2383 |
1.2463 |
|
|
| Weekly Pivots for week ending 22-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2933 |
1.2814 |
1.2363 |
|
| R3 |
1.2703 |
1.2584 |
1.2299 |
|
| R2 |
1.2473 |
1.2473 |
1.2278 |
|
| R1 |
1.2354 |
1.2354 |
1.2257 |
1.2299 |
| PP |
1.2243 |
1.2243 |
1.2243 |
1.2215 |
| S1 |
1.2124 |
1.2124 |
1.2215 |
1.2069 |
| S2 |
1.2013 |
1.2013 |
1.2194 |
|
| S3 |
1.1783 |
1.1894 |
1.2173 |
|
| S4 |
1.1553 |
1.1664 |
1.2110 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2512 |
1.2151 |
0.0361 |
2.9% |
0.0099 |
0.8% |
93% |
True |
False |
82 |
| 10 |
1.2512 |
1.2131 |
0.0381 |
3.1% |
0.0104 |
0.8% |
93% |
True |
False |
59 |
| 20 |
1.2512 |
1.1770 |
0.0742 |
5.9% |
0.0108 |
0.9% |
96% |
True |
False |
39 |
| 40 |
1.2512 |
1.1724 |
0.0788 |
6.3% |
0.0086 |
0.7% |
97% |
True |
False |
36 |
| 60 |
1.2512 |
1.1180 |
0.1332 |
10.7% |
0.0057 |
0.5% |
98% |
True |
False |
25 |
| 80 |
1.2512 |
1.0821 |
0.1691 |
13.5% |
0.0046 |
0.4% |
98% |
True |
False |
19 |
| 100 |
1.2512 |
1.0705 |
0.1807 |
14.5% |
0.0037 |
0.3% |
99% |
True |
False |
16 |
| 120 |
1.2512 |
1.0303 |
0.2209 |
17.7% |
0.0031 |
0.2% |
99% |
True |
False |
14 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2691 |
|
2.618 |
1.2622 |
|
1.618 |
1.2580 |
|
1.000 |
1.2554 |
|
0.618 |
1.2538 |
|
HIGH |
1.2512 |
|
0.618 |
1.2496 |
|
0.500 |
1.2491 |
|
0.382 |
1.2486 |
|
LOW |
1.2470 |
|
0.618 |
1.2444 |
|
1.000 |
1.2428 |
|
1.618 |
1.2402 |
|
2.618 |
1.2360 |
|
4.250 |
1.2292 |
|
|
| Fisher Pivots for day following 27-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2491 |
1.2458 |
| PP |
1.2489 |
1.2429 |
| S1 |
1.2488 |
1.2401 |
|