CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 12-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Sep-2011 |
12-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1461 |
1.1273 |
-0.0188 |
-1.6% |
1.2735 |
| High |
1.1516 |
1.1399 |
-0.0117 |
-1.0% |
1.2834 |
| Low |
1.1317 |
1.1234 |
-0.0083 |
-0.7% |
1.1317 |
| Close |
1.1343 |
1.1310 |
-0.0033 |
-0.3% |
1.1343 |
| Range |
0.0199 |
0.0165 |
-0.0034 |
-17.1% |
0.1517 |
| ATR |
0.0295 |
0.0285 |
-0.0009 |
-3.1% |
0.0000 |
| Volume |
2,768 |
3,626 |
858 |
31.0% |
10,231 |
|
| Daily Pivots for day following 12-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1809 |
1.1725 |
1.1401 |
|
| R3 |
1.1644 |
1.1560 |
1.1355 |
|
| R2 |
1.1479 |
1.1479 |
1.1340 |
|
| R1 |
1.1395 |
1.1395 |
1.1325 |
1.1437 |
| PP |
1.1314 |
1.1314 |
1.1314 |
1.1336 |
| S1 |
1.1230 |
1.1230 |
1.1295 |
1.1272 |
| S2 |
1.1149 |
1.1149 |
1.1280 |
|
| S3 |
1.0984 |
1.1065 |
1.1265 |
|
| S4 |
1.0819 |
1.0900 |
1.1219 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.6382 |
1.5380 |
1.2177 |
|
| R3 |
1.4865 |
1.3863 |
1.1760 |
|
| R2 |
1.3348 |
1.3348 |
1.1621 |
|
| R1 |
1.2346 |
1.2346 |
1.1482 |
1.2089 |
| PP |
1.1831 |
1.1831 |
1.1831 |
1.1703 |
| S1 |
1.0829 |
1.0829 |
1.1204 |
1.0572 |
| S2 |
1.0314 |
1.0314 |
1.1065 |
|
| S3 |
0.8797 |
0.9312 |
1.0926 |
|
| S4 |
0.7280 |
0.7795 |
1.0509 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2834 |
1.1234 |
0.1600 |
14.1% |
0.0385 |
3.4% |
5% |
False |
True |
2,771 |
| 10 |
1.2985 |
1.1234 |
0.1751 |
15.5% |
0.0325 |
2.9% |
4% |
False |
True |
1,677 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.5% |
0.0267 |
2.4% |
4% |
False |
True |
1,013 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.8% |
0.0266 |
2.3% |
3% |
False |
True |
644 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.8% |
0.0210 |
1.9% |
3% |
False |
True |
442 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.8% |
0.0165 |
1.5% |
3% |
False |
True |
334 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
26.3% |
0.0133 |
1.2% |
4% |
False |
False |
268 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.4% |
0.0112 |
1.0% |
15% |
False |
False |
224 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2100 |
|
2.618 |
1.1831 |
|
1.618 |
1.1666 |
|
1.000 |
1.1564 |
|
0.618 |
1.1501 |
|
HIGH |
1.1399 |
|
0.618 |
1.1336 |
|
0.500 |
1.1317 |
|
0.382 |
1.1297 |
|
LOW |
1.1234 |
|
0.618 |
1.1132 |
|
1.000 |
1.1069 |
|
1.618 |
1.0967 |
|
2.618 |
1.0802 |
|
4.250 |
1.0533 |
|
|
| Fisher Pivots for day following 12-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1317 |
1.1462 |
| PP |
1.1314 |
1.1411 |
| S1 |
1.1312 |
1.1361 |
|