CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 28-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2011 |
28-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1111 |
1.1164 |
0.0053 |
0.5% |
1.1359 |
| High |
1.1222 |
1.1224 |
0.0002 |
0.0% |
1.1447 |
| Low |
1.1059 |
1.1127 |
0.0068 |
0.6% |
1.0916 |
| Close |
1.1190 |
1.1162 |
-0.0028 |
-0.3% |
1.1047 |
| Range |
0.0163 |
0.0097 |
-0.0066 |
-40.5% |
0.0531 |
| ATR |
0.0222 |
0.0213 |
-0.0009 |
-4.0% |
0.0000 |
| Volume |
18,389 |
18,680 |
291 |
1.6% |
137,003 |
|
| Daily Pivots for day following 28-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1462 |
1.1409 |
1.1215 |
|
| R3 |
1.1365 |
1.1312 |
1.1189 |
|
| R2 |
1.1268 |
1.1268 |
1.1180 |
|
| R1 |
1.1215 |
1.1215 |
1.1171 |
1.1193 |
| PP |
1.1171 |
1.1171 |
1.1171 |
1.1160 |
| S1 |
1.1118 |
1.1118 |
1.1153 |
1.1096 |
| S2 |
1.1074 |
1.1074 |
1.1144 |
|
| S3 |
1.0977 |
1.1021 |
1.1135 |
|
| S4 |
1.0880 |
1.0924 |
1.1109 |
|
|
| 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 |
1.1224 |
1.0916 |
0.0308 |
2.8% |
0.0166 |
1.5% |
80% |
True |
False |
23,610 |
| 10 |
1.1596 |
1.0916 |
0.0680 |
6.1% |
0.0166 |
1.5% |
36% |
False |
False |
23,153 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.5% |
0.0241 |
2.2% |
12% |
False |
False |
13,277 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0268 |
2.4% |
8% |
False |
False |
6,854 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0224 |
2.0% |
8% |
False |
False |
4,596 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0188 |
1.7% |
8% |
False |
False |
3,455 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0152 |
1.4% |
8% |
False |
False |
2,765 |
| 120 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0128 |
1.1% |
8% |
False |
False |
2,305 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1636 |
|
2.618 |
1.1478 |
|
1.618 |
1.1381 |
|
1.000 |
1.1321 |
|
0.618 |
1.1284 |
|
HIGH |
1.1224 |
|
0.618 |
1.1187 |
|
0.500 |
1.1176 |
|
0.382 |
1.1164 |
|
LOW |
1.1127 |
|
0.618 |
1.1067 |
|
1.000 |
1.1030 |
|
1.618 |
1.0970 |
|
2.618 |
1.0873 |
|
4.250 |
1.0715 |
|
|
| Fisher Pivots for day following 28-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1176 |
1.1138 |
| PP |
1.1171 |
1.1115 |
| S1 |
1.1167 |
1.1091 |
|