CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 08-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Aug-2011 |
08-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3090 |
1.3205 |
0.0115 |
0.9% |
1.2609 |
| High |
1.3232 |
1.3388 |
0.0156 |
1.2% |
1.3232 |
| Low |
1.2975 |
1.3133 |
0.0158 |
1.2% |
1.2609 |
| Close |
1.3072 |
1.3265 |
0.0193 |
1.5% |
1.3072 |
| Range |
0.0257 |
0.0255 |
-0.0002 |
-0.8% |
0.0623 |
| ATR |
0.0171 |
0.0182 |
0.0010 |
6.0% |
0.0000 |
| Volume |
386 |
232 |
-154 |
-39.9% |
1,694 |
|
| Daily Pivots for day following 08-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4027 |
1.3901 |
1.3405 |
|
| R3 |
1.3772 |
1.3646 |
1.3335 |
|
| R2 |
1.3517 |
1.3517 |
1.3312 |
|
| R1 |
1.3391 |
1.3391 |
1.3288 |
1.3454 |
| PP |
1.3262 |
1.3262 |
1.3262 |
1.3294 |
| S1 |
1.3136 |
1.3136 |
1.3242 |
1.3199 |
| S2 |
1.3007 |
1.3007 |
1.3218 |
|
| S3 |
1.2752 |
1.2881 |
1.3195 |
|
| S4 |
1.2497 |
1.2626 |
1.3125 |
|
|
| 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 |
1.3388 |
1.2767 |
0.0621 |
4.7% |
0.0283 |
2.1% |
80% |
True |
False |
345 |
| 10 |
1.3388 |
1.2453 |
0.0935 |
7.0% |
0.0215 |
1.6% |
87% |
True |
False |
225 |
| 20 |
1.3388 |
1.1943 |
0.1445 |
10.9% |
0.0168 |
1.3% |
91% |
True |
False |
134 |
| 40 |
1.3388 |
1.1724 |
0.1664 |
12.5% |
0.0133 |
1.0% |
93% |
True |
False |
84 |
| 60 |
1.3388 |
1.1180 |
0.2208 |
16.6% |
0.0092 |
0.7% |
94% |
True |
False |
59 |
| 80 |
1.3388 |
1.1133 |
0.2255 |
17.0% |
0.0070 |
0.5% |
95% |
True |
False |
45 |
| 100 |
1.3388 |
1.0821 |
0.2567 |
19.4% |
0.0057 |
0.4% |
95% |
True |
False |
36 |
| 120 |
1.3388 |
1.0468 |
0.2920 |
22.0% |
0.0048 |
0.4% |
96% |
True |
False |
31 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4472 |
|
2.618 |
1.4056 |
|
1.618 |
1.3801 |
|
1.000 |
1.3643 |
|
0.618 |
1.3546 |
|
HIGH |
1.3388 |
|
0.618 |
1.3291 |
|
0.500 |
1.3261 |
|
0.382 |
1.3230 |
|
LOW |
1.3133 |
|
0.618 |
1.2975 |
|
1.000 |
1.2878 |
|
1.618 |
1.2720 |
|
2.618 |
1.2465 |
|
4.250 |
1.2049 |
|
|
| Fisher Pivots for day following 08-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3264 |
1.3217 |
| PP |
1.3262 |
1.3169 |
| S1 |
1.3261 |
1.3122 |
|