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CME Swiss Franc Future December 2011


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Trading Metrics calculated at close of trading on 27-Sep-2011
Day Change Summary
Previous Current
26-Sep-2011 27-Sep-2011 Change Change % Previous Week
Open 1.1084 1.1111 0.0027 0.2% 1.1359
High 1.1128 1.1222 0.0094 0.8% 1.1447
Low 1.0958 1.1059 0.0101 0.9% 1.0916
Close 1.1061 1.1190 0.0129 1.2% 1.1047
Range 0.0170 0.0163 -0.0007 -4.1% 0.0531
ATR 0.0227 0.0222 -0.0005 -2.0% 0.0000
Volume 22,401 18,389 -4,012 -17.9% 137,003
Daily Pivots for day following 27-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.1646 1.1581 1.1280
R3 1.1483 1.1418 1.1235
R2 1.1320 1.1320 1.1220
R1 1.1255 1.1255 1.1205 1.1288
PP 1.1157 1.1157 1.1157 1.1173
S1 1.1092 1.1092 1.1175 1.1125
S2 1.0994 1.0994 1.1160
S3 1.0831 1.0929 1.1145
S4 1.0668 1.0766 1.1100
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 1.1321 1.0916 0.0405 3.6% 0.0185 1.7% 68% False False 25,474
10 1.1596 1.0916 0.0680 6.1% 0.0173 1.5% 40% False False 22,354
20 1.2985 1.0916 0.2069 18.5% 0.0244 2.2% 13% False False 12,379
40 1.4150 1.0916 0.3234 28.9% 0.0275 2.5% 8% False False 6,401
60 1.4150 1.0916 0.3234 28.9% 0.0224 2.0% 8% False False 4,285
80 1.4150 1.0916 0.3234 28.9% 0.0187 1.7% 8% False False 3,222
100 1.4150 1.0916 0.3234 28.9% 0.0151 1.3% 8% False False 2,578
120 1.4150 1.0916 0.3234 28.9% 0.0127 1.1% 8% False False 2,149
Crabel Price Patterns
NR True
NR4 False
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 0.0041
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.1915
2.618 1.1649
1.618 1.1486
1.000 1.1385
0.618 1.1323
HIGH 1.1222
0.618 1.1160
0.500 1.1141
0.382 1.1121
LOW 1.1059
0.618 1.0958
1.000 1.0896
1.618 1.0795
2.618 1.0632
4.250 1.0366
Fisher Pivots for day following 27-Sep-2011
Pivot 1 day 3 day
R1 1.1174 1.1157
PP 1.1157 1.1123
S1 1.1141 1.1090

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

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