CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 15-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Aug-2011 |
15-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3184 |
1.2844 |
-0.0340 |
-2.6% |
1.3205 |
| High |
1.3295 |
1.2879 |
-0.0416 |
-3.1% |
1.4150 |
| Low |
1.2897 |
1.2556 |
-0.0341 |
-2.6% |
1.2897 |
| Close |
1.2928 |
1.2792 |
-0.0136 |
-1.1% |
1.2928 |
| Range |
0.0398 |
0.0323 |
-0.0075 |
-18.8% |
0.1253 |
| ATR |
0.0288 |
0.0294 |
0.0006 |
2.1% |
0.0000 |
| Volume |
1,100 |
941 |
-159 |
-14.5% |
3,209 |
|
| Daily Pivots for day following 15-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3711 |
1.3575 |
1.2970 |
|
| R3 |
1.3388 |
1.3252 |
1.2881 |
|
| R2 |
1.3065 |
1.3065 |
1.2851 |
|
| R1 |
1.2929 |
1.2929 |
1.2822 |
1.2836 |
| PP |
1.2742 |
1.2742 |
1.2742 |
1.2696 |
| S1 |
1.2606 |
1.2606 |
1.2762 |
1.2513 |
| S2 |
1.2419 |
1.2419 |
1.2733 |
|
| S3 |
1.2096 |
1.2283 |
1.2703 |
|
| S4 |
1.1773 |
1.1960 |
1.2614 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.7084 |
1.6259 |
1.3617 |
|
| R3 |
1.5831 |
1.5006 |
1.3273 |
|
| R2 |
1.4578 |
1.4578 |
1.3158 |
|
| R1 |
1.3753 |
1.3753 |
1.3043 |
1.3539 |
| PP |
1.3325 |
1.3325 |
1.3325 |
1.3218 |
| S1 |
1.2500 |
1.2500 |
1.2813 |
1.2286 |
| S2 |
1.2072 |
1.2072 |
1.2698 |
|
| S3 |
1.0819 |
1.1247 |
1.2583 |
|
| S4 |
0.9566 |
0.9994 |
1.2239 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4150 |
1.2556 |
0.1594 |
12.5% |
0.0540 |
4.2% |
15% |
False |
True |
783 |
| 10 |
1.4150 |
1.2556 |
0.1594 |
12.5% |
0.0412 |
3.2% |
15% |
False |
True |
564 |
| 20 |
1.4150 |
1.2131 |
0.2019 |
15.8% |
0.0274 |
2.1% |
33% |
False |
False |
322 |
| 40 |
1.4150 |
1.1770 |
0.2380 |
18.6% |
0.0189 |
1.5% |
43% |
False |
False |
180 |
| 60 |
1.4150 |
1.1342 |
0.2808 |
22.0% |
0.0137 |
1.1% |
52% |
False |
False |
124 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
23.2% |
0.0104 |
0.8% |
54% |
False |
False |
94 |
| 100 |
1.4150 |
1.0821 |
0.3329 |
26.0% |
0.0084 |
0.7% |
59% |
False |
False |
75 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
26.9% |
0.0070 |
0.6% |
61% |
False |
False |
63 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4252 |
|
2.618 |
1.3725 |
|
1.618 |
1.3402 |
|
1.000 |
1.3202 |
|
0.618 |
1.3079 |
|
HIGH |
1.2879 |
|
0.618 |
1.2756 |
|
0.500 |
1.2718 |
|
0.382 |
1.2679 |
|
LOW |
1.2556 |
|
0.618 |
1.2356 |
|
1.000 |
1.2233 |
|
1.618 |
1.2033 |
|
2.618 |
1.1710 |
|
4.250 |
1.1183 |
|
|
| Fisher Pivots for day following 15-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2767 |
1.3202 |
| PP |
1.2742 |
1.3065 |
| S1 |
1.2718 |
1.2929 |
|