CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 26-Sep-2011
Day Change Summary
Previous Current
23-Sep-2011 26-Sep-2011 Change Change % Previous Week
Open 1.1041 1.1084 0.0043 0.4% 1.1359
High 1.1143 1.1128 -0.0015 -0.1% 1.1447
Low 1.1036 1.0958 -0.0078 -0.7% 1.0916
Close 1.1047 1.1061 0.0014 0.1% 1.1047
Range 0.0107 0.0170 0.0063 58.9% 0.0531
ATR 0.0231 0.0227 -0.0004 -1.9% 0.0000
Volume 26,545 22,401 -4,144 -15.6% 137,003
Daily Pivots for day following 26-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.1559 1.1480 1.1155
R3 1.1389 1.1310 1.1108
R2 1.1219 1.1219 1.1092
R1 1.1140 1.1140 1.1077 1.1095
PP 1.1049 1.1049 1.1049 1.1026
S1 1.0970 1.0970 1.1045 1.0925
S2 1.0879 1.0879 1.1030
S3 1.0709 1.0800 1.1014
S4 1.0539 1.0630 1.0968
Weekly Pivots for week ending 23-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.2730 1.2419 1.1339
R3 1.2199 1.1888 1.1193
R2 1.1668 1.1668 1.1144
R1 1.1357 1.1357 1.1096 1.1247
PP 1.1137 1.1137 1.1137 1.1082
S1 1.0826 1.0826 1.0998 1.0716
S2 1.0606 1.0606 1.0950
S3 1.0075 1.0295 1.0901
S4 0.9544 0.9764 1.0755
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.1407 1.0916 0.0491 4.4% 0.0187 1.7% 30% False False 27,916
10 1.1596 1.0916 0.0680 6.1% 0.0171 1.5% 21% False False 21,268
20 1.2985 1.0916 0.2069 18.7% 0.0248 2.2% 7% False False 11,473
40 1.4150 1.0916 0.3234 29.2% 0.0279 2.5% 4% False False 5,946
60 1.4150 1.0916 0.3234 29.2% 0.0223 2.0% 4% False False 3,978
80 1.4150 1.0916 0.3234 29.2% 0.0186 1.7% 4% False False 2,993
100 1.4150 1.0916 0.3234 29.2% 0.0149 1.4% 4% False False 2,394
120 1.4150 1.0889 0.3261 29.5% 0.0126 1.1% 5% False False 1,996
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 True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0041
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.1851
2.618 1.1573
1.618 1.1403
1.000 1.1298
0.618 1.1233
HIGH 1.1128
0.618 1.1063
0.500 1.1043
0.382 1.1023
LOW 1.0958
0.618 1.0853
1.000 1.0788
1.618 1.0683
2.618 1.0513
4.250 1.0236
Fisher Pivots for day following 26-Sep-2011
Pivot 1 day 3 day
R1 1.1055 1.1062
PP 1.1049 1.1061
S1 1.1043 1.1061

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

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