CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 16-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Aug-2012 |
16-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0260 |
1.0234 |
-0.0026 |
-0.3% |
1.0324 |
| High |
1.0281 |
1.0308 |
0.0027 |
0.3% |
1.0366 |
| Low |
1.0217 |
1.0209 |
-0.0008 |
-0.1% |
1.0201 |
| Close |
1.0237 |
1.0298 |
0.0061 |
0.6% |
1.0245 |
| Range |
0.0064 |
0.0099 |
0.0035 |
54.7% |
0.0165 |
| ATR |
0.0094 |
0.0095 |
0.0000 |
0.4% |
0.0000 |
| Volume |
28,050 |
41,398 |
13,348 |
47.6% |
160,979 |
|
| Daily Pivots for day following 16-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0569 |
1.0532 |
1.0352 |
|
| R3 |
1.0470 |
1.0433 |
1.0325 |
|
| R2 |
1.0371 |
1.0371 |
1.0316 |
|
| R1 |
1.0334 |
1.0334 |
1.0307 |
1.0353 |
| PP |
1.0272 |
1.0272 |
1.0272 |
1.0281 |
| S1 |
1.0235 |
1.0235 |
1.0289 |
1.0254 |
| S2 |
1.0173 |
1.0173 |
1.0280 |
|
| S3 |
1.0074 |
1.0136 |
1.0271 |
|
| S4 |
0.9975 |
1.0037 |
1.0244 |
|
|
| Weekly Pivots for week ending 10-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0766 |
1.0670 |
1.0336 |
|
| R3 |
1.0601 |
1.0505 |
1.0290 |
|
| R2 |
1.0436 |
1.0436 |
1.0275 |
|
| R1 |
1.0340 |
1.0340 |
1.0260 |
1.0306 |
| PP |
1.0271 |
1.0271 |
1.0271 |
1.0253 |
| S1 |
1.0175 |
1.0175 |
1.0230 |
1.0141 |
| S2 |
1.0106 |
1.0106 |
1.0215 |
|
| S3 |
0.9941 |
1.0010 |
1.0200 |
|
| S4 |
0.9776 |
0.9845 |
1.0154 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0319 |
1.0201 |
0.0118 |
1.1% |
0.0076 |
0.7% |
82% |
False |
False |
31,360 |
| 10 |
1.0366 |
1.0139 |
0.0227 |
2.2% |
0.0089 |
0.9% |
70% |
False |
False |
33,967 |
| 20 |
1.0366 |
1.0040 |
0.0326 |
3.2% |
0.0099 |
1.0% |
79% |
False |
False |
41,770 |
| 40 |
1.0596 |
1.0040 |
0.0556 |
5.4% |
0.0097 |
0.9% |
46% |
False |
False |
38,193 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.4% |
0.0102 |
1.0% |
30% |
False |
False |
30,053 |
| 80 |
1.1061 |
1.0040 |
0.1021 |
9.9% |
0.0083 |
0.8% |
25% |
False |
False |
22,545 |
| 100 |
1.1108 |
1.0040 |
0.1068 |
10.4% |
0.0071 |
0.7% |
24% |
False |
False |
18,038 |
| 120 |
1.1151 |
1.0040 |
0.1111 |
10.8% |
0.0061 |
0.6% |
23% |
False |
False |
15,036 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0729 |
|
2.618 |
1.0567 |
|
1.618 |
1.0468 |
|
1.000 |
1.0407 |
|
0.618 |
1.0369 |
|
HIGH |
1.0308 |
|
0.618 |
1.0270 |
|
0.500 |
1.0259 |
|
0.382 |
1.0247 |
|
LOW |
1.0209 |
|
0.618 |
1.0148 |
|
1.000 |
1.0110 |
|
1.618 |
1.0049 |
|
2.618 |
0.9950 |
|
4.250 |
0.9788 |
|
|
| Fisher Pivots for day following 16-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0285 |
1.0287 |
| PP |
1.0272 |
1.0275 |
| S1 |
1.0259 |
1.0264 |
|