CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 13-Sep-2011
Day Change Summary
Previous Current
12-Sep-2011 13-Sep-2011 Change Change % Previous Week
Open 1.1273 1.1393 0.0120 1.1% 1.2735
High 1.1399 1.1448 0.0049 0.4% 1.2834
Low 1.1234 1.1300 0.0066 0.6% 1.1317
Close 1.1310 1.1422 0.0112 1.0% 1.1343
Range 0.0165 0.0148 -0.0017 -10.3% 0.1517
ATR 0.0285 0.0276 -0.0010 -3.4% 0.0000
Volume 3,626 7,533 3,907 107.7% 10,231
Daily Pivots for day following 13-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.1834 1.1776 1.1503
R3 1.1686 1.1628 1.1463
R2 1.1538 1.1538 1.1449
R1 1.1480 1.1480 1.1436 1.1509
PP 1.1390 1.1390 1.1390 1.1405
S1 1.1332 1.1332 1.1408 1.1361
S2 1.1242 1.1242 1.1395
S3 1.1094 1.1184 1.1381
S4 1.0946 1.1036 1.1341
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 1.1753 1.1234 0.0519 4.5% 0.0175 1.5% 36% False False 3,637
10 1.2985 1.1234 0.1751 15.3% 0.0316 2.8% 11% False False 2,404
20 1.2985 1.1234 0.1751 15.3% 0.0259 2.3% 11% False False 1,343
40 1.4150 1.1234 0.2916 25.5% 0.0266 2.3% 6% False False 832
60 1.4150 1.1234 0.2916 25.5% 0.0212 1.9% 6% False False 567
80 1.4150 1.1234 0.2916 25.5% 0.0167 1.5% 6% False False 428
100 1.4150 1.1180 0.2970 26.0% 0.0135 1.2% 8% False False 343
120 1.4150 1.0821 0.3329 29.1% 0.0113 1.0% 18% False False 286
Crabel Price Patterns
NR True
NR4 True
NR5 False
NR7 False
WS False
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 0.0040
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.2077
2.618 1.1835
1.618 1.1687
1.000 1.1596
0.618 1.1539
HIGH 1.1448
0.618 1.1391
0.500 1.1374
0.382 1.1357
LOW 1.1300
0.618 1.1209
1.000 1.1152
1.618 1.1061
2.618 1.0913
4.250 1.0671
Fisher Pivots for day following 13-Sep-2011
Pivot 1 day 3 day
R1 1.1406 1.1406
PP 1.1390 1.1391
S1 1.1374 1.1375

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

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