CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 07-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2011 |
07-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2735 |
1.1640 |
-0.1095 |
-8.6% |
1.2417 |
| High |
1.2834 |
1.1753 |
-0.1081 |
-8.4% |
1.2985 |
| Low |
1.1637 |
1.1640 |
0.0003 |
0.0% |
1.2200 |
| Close |
1.1654 |
1.1690 |
0.0036 |
0.3% |
1.2736 |
| Range |
0.1197 |
0.0113 |
-0.1084 |
-90.6% |
0.0785 |
| ATR |
0.0321 |
0.0306 |
-0.0015 |
-4.6% |
0.0000 |
| Volume |
3,201 |
2,319 |
-882 |
-27.6% |
2,918 |
|
| Daily Pivots for day following 07-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2033 |
1.1975 |
1.1752 |
|
| R3 |
1.1920 |
1.1862 |
1.1721 |
|
| R2 |
1.1807 |
1.1807 |
1.1711 |
|
| R1 |
1.1749 |
1.1749 |
1.1700 |
1.1778 |
| PP |
1.1694 |
1.1694 |
1.1694 |
1.1709 |
| S1 |
1.1636 |
1.1636 |
1.1680 |
1.1665 |
| S2 |
1.1581 |
1.1581 |
1.1669 |
|
| S3 |
1.1468 |
1.1523 |
1.1659 |
|
| S4 |
1.1355 |
1.1410 |
1.1628 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4995 |
1.4651 |
1.3168 |
|
| R3 |
1.4210 |
1.3866 |
1.2952 |
|
| R2 |
1.3425 |
1.3425 |
1.2880 |
|
| R1 |
1.3081 |
1.3081 |
1.2808 |
1.3253 |
| PP |
1.2640 |
1.2640 |
1.2640 |
1.2727 |
| S1 |
1.2296 |
1.2296 |
1.2664 |
1.2468 |
| S2 |
1.1855 |
1.1855 |
1.2592 |
|
| S3 |
1.1070 |
1.1511 |
1.2520 |
|
| S4 |
1.0285 |
1.0726 |
1.2304 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2985 |
1.1637 |
0.1348 |
11.5% |
0.0447 |
3.8% |
4% |
False |
False |
1,492 |
| 10 |
1.2985 |
1.1637 |
0.1348 |
11.5% |
0.0327 |
2.8% |
4% |
False |
False |
932 |
| 20 |
1.3974 |
1.1637 |
0.2337 |
20.0% |
0.0309 |
2.6% |
2% |
False |
False |
727 |
| 40 |
1.4150 |
1.1637 |
0.2513 |
21.5% |
0.0259 |
2.2% |
2% |
False |
False |
439 |
| 60 |
1.4150 |
1.1637 |
0.2513 |
21.5% |
0.0205 |
1.8% |
2% |
False |
False |
304 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
25.4% |
0.0158 |
1.3% |
17% |
False |
False |
230 |
| 100 |
1.4150 |
1.1133 |
0.3017 |
25.8% |
0.0127 |
1.1% |
18% |
False |
False |
185 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
28.5% |
0.0107 |
0.9% |
26% |
False |
False |
154 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2233 |
|
2.618 |
1.2049 |
|
1.618 |
1.1936 |
|
1.000 |
1.1866 |
|
0.618 |
1.1823 |
|
HIGH |
1.1753 |
|
0.618 |
1.1710 |
|
0.500 |
1.1697 |
|
0.382 |
1.1683 |
|
LOW |
1.1640 |
|
0.618 |
1.1570 |
|
1.000 |
1.1527 |
|
1.618 |
1.1457 |
|
2.618 |
1.1344 |
|
4.250 |
1.1160 |
|
|
| Fisher Pivots for day following 07-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1697 |
1.2311 |
| PP |
1.1694 |
1.2104 |
| S1 |
1.1692 |
1.1897 |
|