CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 20-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Sep-2011 |
20-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1359 |
1.1371 |
0.0012 |
0.1% |
1.1273 |
| High |
1.1447 |
1.1407 |
-0.0040 |
-0.3% |
1.1596 |
| Low |
1.1289 |
1.1237 |
-0.0052 |
-0.5% |
1.1234 |
| Close |
1.1360 |
1.1276 |
-0.0084 |
-0.7% |
1.1447 |
| Range |
0.0158 |
0.0170 |
0.0012 |
7.6% |
0.0362 |
| ATR |
0.0245 |
0.0240 |
-0.0005 |
-2.2% |
0.0000 |
| Volume |
19,821 |
30,601 |
10,780 |
54.4% |
56,910 |
|
| Daily Pivots for day following 20-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1817 |
1.1716 |
1.1370 |
|
| R3 |
1.1647 |
1.1546 |
1.1323 |
|
| R2 |
1.1477 |
1.1477 |
1.1307 |
|
| R1 |
1.1376 |
1.1376 |
1.1292 |
1.1342 |
| PP |
1.1307 |
1.1307 |
1.1307 |
1.1289 |
| S1 |
1.1206 |
1.1206 |
1.1260 |
1.1172 |
| S2 |
1.1137 |
1.1137 |
1.1245 |
|
| S3 |
1.0967 |
1.1036 |
1.1229 |
|
| S4 |
1.0797 |
1.0866 |
1.1183 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2512 |
1.2341 |
1.1646 |
|
| R3 |
1.2150 |
1.1979 |
1.1547 |
|
| R2 |
1.1788 |
1.1788 |
1.1513 |
|
| R1 |
1.1617 |
1.1617 |
1.1480 |
1.1703 |
| PP |
1.1426 |
1.1426 |
1.1426 |
1.1468 |
| S1 |
1.1255 |
1.1255 |
1.1414 |
1.1341 |
| S2 |
1.1064 |
1.1064 |
1.1381 |
|
| S3 |
1.0702 |
1.0893 |
1.1347 |
|
| S4 |
1.0340 |
1.0531 |
1.1248 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1596 |
1.1237 |
0.0359 |
3.2% |
0.0160 |
1.4% |
11% |
False |
True |
19,234 |
| 10 |
1.1753 |
1.1234 |
0.0519 |
4.6% |
0.0168 |
1.5% |
8% |
False |
False |
11,436 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.5% |
0.0246 |
2.2% |
2% |
False |
False |
6,074 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.9% |
0.0270 |
2.4% |
1% |
False |
False |
3,230 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.9% |
0.0217 |
1.9% |
1% |
False |
False |
2,163 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.9% |
0.0177 |
1.6% |
1% |
False |
False |
1,630 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
26.3% |
0.0142 |
1.3% |
3% |
False |
False |
1,305 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.5% |
0.0120 |
1.1% |
14% |
False |
False |
1,088 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2130 |
|
2.618 |
1.1852 |
|
1.618 |
1.1682 |
|
1.000 |
1.1577 |
|
0.618 |
1.1512 |
|
HIGH |
1.1407 |
|
0.618 |
1.1342 |
|
0.500 |
1.1322 |
|
0.382 |
1.1302 |
|
LOW |
1.1237 |
|
0.618 |
1.1132 |
|
1.000 |
1.1067 |
|
1.618 |
1.0962 |
|
2.618 |
1.0792 |
|
4.250 |
1.0515 |
|
|
| Fisher Pivots for day following 20-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1322 |
1.1388 |
| PP |
1.1307 |
1.1351 |
| S1 |
1.1291 |
1.1313 |
|