CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 30-Jul-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jul-2012 |
30-Jul-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0237 |
1.0252 |
0.0015 |
0.1% |
1.0102 |
| High |
1.0324 |
1.0260 |
-0.0064 |
-0.6% |
1.0324 |
| Low |
1.0204 |
1.0190 |
-0.0014 |
-0.1% |
1.0040 |
| Close |
1.0259 |
1.0218 |
-0.0041 |
-0.4% |
1.0259 |
| Range |
0.0120 |
0.0070 |
-0.0050 |
-41.7% |
0.0284 |
| ATR |
0.0101 |
0.0099 |
-0.0002 |
-2.2% |
0.0000 |
| Volume |
55,757 |
28,911 |
-26,846 |
-48.1% |
270,145 |
|
| Daily Pivots for day following 30-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0433 |
1.0395 |
1.0257 |
|
| R3 |
1.0363 |
1.0325 |
1.0237 |
|
| R2 |
1.0293 |
1.0293 |
1.0231 |
|
| R1 |
1.0255 |
1.0255 |
1.0224 |
1.0239 |
| PP |
1.0223 |
1.0223 |
1.0223 |
1.0215 |
| S1 |
1.0185 |
1.0185 |
1.0212 |
1.0169 |
| S2 |
1.0153 |
1.0153 |
1.0205 |
|
| S3 |
1.0083 |
1.0115 |
1.0199 |
|
| S4 |
1.0013 |
1.0045 |
1.0180 |
|
|
| Weekly Pivots for week ending 27-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1060 |
1.0943 |
1.0415 |
|
| R3 |
1.0776 |
1.0659 |
1.0337 |
|
| R2 |
1.0492 |
1.0492 |
1.0311 |
|
| R1 |
1.0375 |
1.0375 |
1.0285 |
1.0434 |
| PP |
1.0208 |
1.0208 |
1.0208 |
1.0237 |
| S1 |
1.0091 |
1.0091 |
1.0233 |
1.0150 |
| S2 |
0.9924 |
0.9924 |
1.0207 |
|
| S3 |
0.9640 |
0.9807 |
1.0181 |
|
| S4 |
0.9356 |
0.9523 |
1.0103 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0324 |
1.0040 |
0.0284 |
2.8% |
0.0109 |
1.1% |
63% |
False |
False |
48,747 |
| 10 |
1.0324 |
1.0040 |
0.0284 |
2.8% |
0.0099 |
1.0% |
63% |
False |
False |
45,166 |
| 20 |
1.0566 |
1.0040 |
0.0526 |
5.1% |
0.0095 |
0.9% |
34% |
False |
False |
36,882 |
| 40 |
1.0902 |
1.0040 |
0.0862 |
8.4% |
0.0107 |
1.0% |
21% |
False |
False |
32,683 |
| 60 |
1.0917 |
1.0040 |
0.0877 |
8.6% |
0.0088 |
0.9% |
20% |
False |
False |
21,817 |
| 80 |
1.1061 |
1.0040 |
0.1021 |
10.0% |
0.0071 |
0.7% |
17% |
False |
False |
16,366 |
| 100 |
1.1108 |
1.0040 |
0.1068 |
10.5% |
0.0060 |
0.6% |
17% |
False |
False |
13,099 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0558 |
|
2.618 |
1.0443 |
|
1.618 |
1.0373 |
|
1.000 |
1.0330 |
|
0.618 |
1.0303 |
|
HIGH |
1.0260 |
|
0.618 |
1.0233 |
|
0.500 |
1.0225 |
|
0.382 |
1.0217 |
|
LOW |
1.0190 |
|
0.618 |
1.0147 |
|
1.000 |
1.0120 |
|
1.618 |
1.0077 |
|
2.618 |
1.0007 |
|
4.250 |
0.9893 |
|
|
| Fisher Pivots for day following 30-Jul-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0225 |
1.0216 |
| PP |
1.0223 |
1.0214 |
| S1 |
1.0220 |
1.0213 |
|