CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 28-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jul-2011 |
28-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2506 |
1.2494 |
-0.0012 |
-0.1% |
1.2354 |
| High |
1.2512 |
1.2511 |
-0.0001 |
0.0% |
1.2361 |
| Low |
1.2470 |
1.2453 |
-0.0017 |
-0.1% |
1.2131 |
| Close |
1.2486 |
1.2493 |
0.0007 |
0.1% |
1.2236 |
| Range |
0.0042 |
0.0058 |
0.0016 |
38.1% |
0.0230 |
| ATR |
0.0109 |
0.0105 |
-0.0004 |
-3.3% |
0.0000 |
| Volume |
73 |
24 |
-49 |
-67.1% |
134 |
|
| Daily Pivots for day following 28-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2660 |
1.2634 |
1.2525 |
|
| R3 |
1.2602 |
1.2576 |
1.2509 |
|
| R2 |
1.2544 |
1.2544 |
1.2504 |
|
| R1 |
1.2518 |
1.2518 |
1.2498 |
1.2502 |
| PP |
1.2486 |
1.2486 |
1.2486 |
1.2478 |
| S1 |
1.2460 |
1.2460 |
1.2488 |
1.2444 |
| S2 |
1.2428 |
1.2428 |
1.2482 |
|
| S3 |
1.2370 |
1.2402 |
1.2477 |
|
| S4 |
1.2312 |
1.2344 |
1.2461 |
|
|
| 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% |
0.0086 |
0.7% |
95% |
False |
False |
85 |
| 10 |
1.2512 |
1.2131 |
0.0381 |
3.0% |
0.0095 |
0.8% |
95% |
False |
False |
55 |
| 20 |
1.2512 |
1.1770 |
0.0742 |
5.9% |
0.0107 |
0.9% |
97% |
False |
False |
40 |
| 40 |
1.2512 |
1.1724 |
0.0788 |
6.3% |
0.0087 |
0.7% |
98% |
False |
False |
37 |
| 60 |
1.2512 |
1.1180 |
0.1332 |
10.7% |
0.0058 |
0.5% |
99% |
False |
False |
25 |
| 80 |
1.2512 |
1.0821 |
0.1691 |
13.5% |
0.0046 |
0.4% |
99% |
False |
False |
20 |
| 100 |
1.2512 |
1.0705 |
0.1807 |
14.5% |
0.0037 |
0.3% |
99% |
False |
False |
16 |
| 120 |
1.2512 |
1.0303 |
0.2209 |
17.7% |
0.0031 |
0.2% |
99% |
False |
False |
14 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2758 |
|
2.618 |
1.2663 |
|
1.618 |
1.2605 |
|
1.000 |
1.2569 |
|
0.618 |
1.2547 |
|
HIGH |
1.2511 |
|
0.618 |
1.2489 |
|
0.500 |
1.2482 |
|
0.382 |
1.2475 |
|
LOW |
1.2453 |
|
0.618 |
1.2417 |
|
1.000 |
1.2395 |
|
1.618 |
1.2359 |
|
2.618 |
1.2301 |
|
4.250 |
1.2207 |
|
|
| Fisher Pivots for day following 28-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2489 |
1.2490 |
| PP |
1.2486 |
1.2486 |
| S1 |
1.2482 |
1.2483 |
|