CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 08-Sep-2011
Day Change Summary
Previous Current
07-Sep-2011 08-Sep-2011 Change Change % Previous Week
Open 1.1640 1.1659 0.0019 0.2% 1.2417
High 1.1753 1.1690 -0.0063 -0.5% 1.2985
Low 1.1640 1.1439 -0.0201 -1.7% 1.2200
Close 1.1690 1.1467 -0.0223 -1.9% 1.2736
Range 0.0113 0.0251 0.0138 122.1% 0.0785
ATR 0.0306 0.0302 -0.0004 -1.3% 0.0000
Volume 2,319 1,943 -376 -16.2% 2,918
Daily Pivots for day following 08-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.2285 1.2127 1.1605
R3 1.2034 1.1876 1.1536
R2 1.1783 1.1783 1.1513
R1 1.1625 1.1625 1.1490 1.1579
PP 1.1532 1.1532 1.1532 1.1509
S1 1.1374 1.1374 1.1444 1.1328
S2 1.1281 1.1281 1.1421
S3 1.1030 1.1123 1.1398
S4 1.0779 1.0872 1.1329
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 1.1439 0.1546 13.5% 0.0435 3.8% 2% False True 1,736
10 1.2985 1.1439 0.1546 13.5% 0.0339 3.0% 2% False True 1,119
20 1.3848 1.1439 0.2409 21.0% 0.0307 2.7% 1% False True 795
40 1.4150 1.1439 0.2711 23.6% 0.0262 2.3% 1% False True 487
60 1.4150 1.1439 0.2711 23.6% 0.0207 1.8% 1% False True 336
80 1.4150 1.1342 0.2808 24.5% 0.0161 1.4% 4% False False 254
100 1.4150 1.1133 0.3017 26.3% 0.0130 1.1% 11% False False 204
120 1.4150 1.0821 0.3329 29.0% 0.0109 1.0% 19% False False 170
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 0.0037
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.2757
2.618 1.2347
1.618 1.2096
1.000 1.1941
0.618 1.1845
HIGH 1.1690
0.618 1.1594
0.500 1.1565
0.382 1.1535
LOW 1.1439
0.618 1.1284
1.000 1.1188
1.618 1.1033
2.618 1.0782
4.250 1.0372
Fisher Pivots for day following 08-Sep-2011
Pivot 1 day 3 day
R1 1.1565 1.2137
PP 1.1532 1.1913
S1 1.1500 1.1690

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

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