CME Swiss Franc Future December 2011


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Trading Metrics calculated at close of trading on 05-Aug-2011
Day Change Summary
Previous Current
04-Aug-2011 05-Aug-2011 Change Change % Previous Week
Open 1.2974 1.3090 0.0116 0.9% 1.2609
High 1.3130 1.3232 0.0102 0.8% 1.3232
Low 1.2855 1.2975 0.0120 0.9% 1.2609
Close 1.3053 1.3072 0.0019 0.1% 1.3072
Range 0.0275 0.0257 -0.0018 -6.5% 0.0623
ATR 0.0165 0.0171 0.0007 4.0% 0.0000
Volume 305 386 81 26.6% 1,694
Daily Pivots for day following 05-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.3864 1.3725 1.3213
R3 1.3607 1.3468 1.3143
R2 1.3350 1.3350 1.3119
R1 1.3211 1.3211 1.3096 1.3152
PP 1.3093 1.3093 1.3093 1.3064
S1 1.2954 1.2954 1.3048 1.2895
S2 1.2836 1.2836 1.3025
S3 1.2579 1.2697 1.3001
S4 1.2322 1.2440 1.2931
Weekly Pivots for week ending 05-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.4840 1.4579 1.3415
R3 1.4217 1.3956 1.3243
R2 1.3594 1.3594 1.3186
R1 1.3333 1.3333 1.3129 1.3464
PP 1.2971 1.2971 1.2971 1.3036
S1 1.2710 1.2710 1.3015 1.2841
S2 1.2348 1.2348 1.2958
S3 1.1725 1.2087 1.2901
S4 1.1102 1.1464 1.2729
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.3232 1.2609 0.0623 4.8% 0.0298 2.3% 74% True False 338
10 1.3232 1.2290 0.0942 7.2% 0.0208 1.6% 83% True False 218
20 1.3232 1.1943 0.1289 9.9% 0.0157 1.2% 88% True False 123
40 1.3232 1.1724 0.1508 11.5% 0.0127 1.0% 89% True False 78
60 1.3232 1.1180 0.2052 15.7% 0.0088 0.7% 92% True False 55
80 1.3232 1.1133 0.2099 16.1% 0.0067 0.5% 92% True False 42
100 1.3232 1.0821 0.2411 18.4% 0.0055 0.4% 93% True False 34
120 1.3232 1.0378 0.2854 21.8% 0.0046 0.3% 94% True False 29
Crabel Price Patterns
NR True
NR4 False
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 0.0030
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.4324
2.618 1.3905
1.618 1.3648
1.000 1.3489
0.618 1.3391
HIGH 1.3232
0.618 1.3134
0.500 1.3104
0.382 1.3073
LOW 1.2975
0.618 1.2816
1.000 1.2718
1.618 1.2559
2.618 1.2302
4.250 1.1883
Fisher Pivots for day following 05-Aug-2011
Pivot 1 day 3 day
R1 1.3104 1.3063
PP 1.3093 1.3053
S1 1.3083 1.3044

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

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