CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 28-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Aug-2012 |
28-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0418 |
1.0408 |
-0.0010 |
-0.1% |
1.0275 |
| High |
1.0441 |
1.0476 |
0.0035 |
0.3% |
1.0488 |
| Low |
1.0403 |
1.0382 |
-0.0021 |
-0.2% |
1.0242 |
| Close |
1.0414 |
1.0465 |
0.0051 |
0.5% |
1.0428 |
| Range |
0.0038 |
0.0094 |
0.0056 |
147.4% |
0.0246 |
| ATR |
0.0085 |
0.0086 |
0.0001 |
0.7% |
0.0000 |
| Volume |
20,076 |
33,102 |
13,026 |
64.9% |
189,105 |
|
| Daily Pivots for day following 28-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0723 |
1.0688 |
1.0517 |
|
| R3 |
1.0629 |
1.0594 |
1.0491 |
|
| R2 |
1.0535 |
1.0535 |
1.0482 |
|
| R1 |
1.0500 |
1.0500 |
1.0474 |
1.0518 |
| PP |
1.0441 |
1.0441 |
1.0441 |
1.0450 |
| S1 |
1.0406 |
1.0406 |
1.0456 |
1.0424 |
| S2 |
1.0347 |
1.0347 |
1.0448 |
|
| S3 |
1.0253 |
1.0312 |
1.0439 |
|
| S4 |
1.0159 |
1.0218 |
1.0413 |
|
|
| Weekly Pivots for week ending 24-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1124 |
1.1022 |
1.0563 |
|
| R3 |
1.0878 |
1.0776 |
1.0496 |
|
| R2 |
1.0632 |
1.0632 |
1.0473 |
|
| R1 |
1.0530 |
1.0530 |
1.0451 |
1.0581 |
| PP |
1.0386 |
1.0386 |
1.0386 |
1.0412 |
| S1 |
1.0284 |
1.0284 |
1.0405 |
1.0335 |
| S2 |
1.0140 |
1.0140 |
1.0383 |
|
| S3 |
0.9894 |
1.0038 |
1.0360 |
|
| S4 |
0.9648 |
0.9792 |
1.0293 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0488 |
1.0356 |
0.0132 |
1.3% |
0.0071 |
0.7% |
83% |
False |
False |
33,868 |
| 10 |
1.0488 |
1.0209 |
0.0279 |
2.7% |
0.0077 |
0.7% |
92% |
False |
False |
34,254 |
| 20 |
1.0488 |
1.0112 |
0.0376 |
3.6% |
0.0090 |
0.9% |
94% |
False |
False |
36,538 |
| 40 |
1.0533 |
1.0040 |
0.0493 |
4.7% |
0.0092 |
0.9% |
86% |
False |
False |
36,671 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.2% |
0.0101 |
1.0% |
49% |
False |
False |
34,571 |
| 80 |
1.0902 |
1.0040 |
0.0862 |
8.2% |
0.0090 |
0.9% |
49% |
False |
False |
25,958 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.8% |
0.0076 |
0.7% |
42% |
False |
False |
20,769 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.2% |
0.0065 |
0.6% |
40% |
False |
False |
17,312 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0876 |
|
2.618 |
1.0722 |
|
1.618 |
1.0628 |
|
1.000 |
1.0570 |
|
0.618 |
1.0534 |
|
HIGH |
1.0476 |
|
0.618 |
1.0440 |
|
0.500 |
1.0429 |
|
0.382 |
1.0418 |
|
LOW |
1.0382 |
|
0.618 |
1.0324 |
|
1.000 |
1.0288 |
|
1.618 |
1.0230 |
|
2.618 |
1.0136 |
|
4.250 |
0.9983 |
|
|
| Fisher Pivots for day following 28-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0453 |
1.0453 |
| PP |
1.0441 |
1.0441 |
| S1 |
1.0429 |
1.0429 |
|