CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 21-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Aug-2012 |
21-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0275 |
1.0284 |
0.0009 |
0.1% |
1.0238 |
| High |
1.0303 |
1.0401 |
0.0098 |
1.0% |
1.0319 |
| Low |
1.0242 |
1.0283 |
0.0041 |
0.4% |
1.0209 |
| Close |
1.0284 |
1.0385 |
0.0101 |
1.0% |
1.0265 |
| Range |
0.0061 |
0.0118 |
0.0057 |
93.4% |
0.0110 |
| ATR |
0.0091 |
0.0093 |
0.0002 |
2.1% |
0.0000 |
| Volume |
26,649 |
46,294 |
19,645 |
73.7% |
159,346 |
|
| Daily Pivots for day following 21-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0710 |
1.0666 |
1.0450 |
|
| R3 |
1.0592 |
1.0548 |
1.0417 |
|
| R2 |
1.0474 |
1.0474 |
1.0407 |
|
| R1 |
1.0430 |
1.0430 |
1.0396 |
1.0452 |
| PP |
1.0356 |
1.0356 |
1.0356 |
1.0368 |
| S1 |
1.0312 |
1.0312 |
1.0374 |
1.0334 |
| S2 |
1.0238 |
1.0238 |
1.0363 |
|
| S3 |
1.0120 |
1.0194 |
1.0353 |
|
| S4 |
1.0002 |
1.0076 |
1.0320 |
|
|
| Weekly Pivots for week ending 17-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0594 |
1.0540 |
1.0326 |
|
| R3 |
1.0484 |
1.0430 |
1.0295 |
|
| R2 |
1.0374 |
1.0374 |
1.0285 |
|
| R1 |
1.0320 |
1.0320 |
1.0275 |
1.0347 |
| PP |
1.0264 |
1.0264 |
1.0264 |
1.0278 |
| S1 |
1.0210 |
1.0210 |
1.0255 |
1.0237 |
| S2 |
1.0154 |
1.0154 |
1.0245 |
|
| S3 |
1.0044 |
1.0100 |
1.0235 |
|
| S4 |
0.9934 |
0.9990 |
1.0205 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0401 |
1.0209 |
0.0192 |
1.8% |
0.0084 |
0.8% |
92% |
True |
False |
34,640 |
| 10 |
1.0401 |
1.0201 |
0.0200 |
1.9% |
0.0080 |
0.8% |
92% |
True |
False |
31,807 |
| 20 |
1.0401 |
1.0049 |
0.0352 |
3.4% |
0.0099 |
1.0% |
95% |
True |
False |
40,027 |
| 40 |
1.0588 |
1.0040 |
0.0548 |
5.3% |
0.0096 |
0.9% |
63% |
False |
False |
37,641 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.3% |
0.0103 |
1.0% |
40% |
False |
False |
31,779 |
| 80 |
1.1044 |
1.0040 |
0.1004 |
9.7% |
0.0085 |
0.8% |
34% |
False |
False |
23,841 |
| 100 |
1.1108 |
1.0040 |
0.1068 |
10.3% |
0.0074 |
0.7% |
32% |
False |
False |
19,075 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.3% |
0.0062 |
0.6% |
32% |
False |
False |
15,901 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0903 |
|
2.618 |
1.0710 |
|
1.618 |
1.0592 |
|
1.000 |
1.0519 |
|
0.618 |
1.0474 |
|
HIGH |
1.0401 |
|
0.618 |
1.0356 |
|
0.500 |
1.0342 |
|
0.382 |
1.0328 |
|
LOW |
1.0283 |
|
0.618 |
1.0210 |
|
1.000 |
1.0165 |
|
1.618 |
1.0092 |
|
2.618 |
0.9974 |
|
4.250 |
0.9782 |
|
|
| Fisher Pivots for day following 21-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0371 |
1.0363 |
| PP |
1.0356 |
1.0341 |
| S1 |
1.0342 |
1.0319 |
|