CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 31-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Aug-2012 |
31-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0438 |
1.0413 |
-0.0025 |
-0.2% |
1.0418 |
| High |
1.0464 |
1.0527 |
0.0063 |
0.6% |
1.0527 |
| Low |
1.0400 |
1.0406 |
0.0006 |
0.1% |
1.0382 |
| Close |
1.0417 |
1.0480 |
0.0063 |
0.6% |
1.0480 |
| Range |
0.0064 |
0.0121 |
0.0057 |
89.1% |
0.0145 |
| ATR |
0.0082 |
0.0084 |
0.0003 |
3.4% |
0.0000 |
| Volume |
25,405 |
49,251 |
23,846 |
93.9% |
153,011 |
|
| Daily Pivots for day following 31-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0834 |
1.0778 |
1.0547 |
|
| R3 |
1.0713 |
1.0657 |
1.0513 |
|
| R2 |
1.0592 |
1.0592 |
1.0502 |
|
| R1 |
1.0536 |
1.0536 |
1.0491 |
1.0564 |
| PP |
1.0471 |
1.0471 |
1.0471 |
1.0485 |
| S1 |
1.0415 |
1.0415 |
1.0469 |
1.0443 |
| S2 |
1.0350 |
1.0350 |
1.0458 |
|
| S3 |
1.0229 |
1.0294 |
1.0447 |
|
| S4 |
1.0108 |
1.0173 |
1.0413 |
|
|
| Weekly Pivots for week ending 31-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0898 |
1.0834 |
1.0560 |
|
| R3 |
1.0753 |
1.0689 |
1.0520 |
|
| R2 |
1.0608 |
1.0608 |
1.0507 |
|
| R1 |
1.0544 |
1.0544 |
1.0493 |
1.0576 |
| PP |
1.0463 |
1.0463 |
1.0463 |
1.0479 |
| S1 |
1.0399 |
1.0399 |
1.0467 |
1.0431 |
| S2 |
1.0318 |
1.0318 |
1.0453 |
|
| S3 |
1.0173 |
1.0254 |
1.0440 |
|
| S4 |
1.0028 |
1.0109 |
1.0400 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0527 |
1.0382 |
0.0145 |
1.4% |
0.0072 |
0.7% |
68% |
True |
False |
30,602 |
| 10 |
1.0527 |
1.0242 |
0.0285 |
2.7% |
0.0076 |
0.7% |
84% |
True |
False |
34,211 |
| 20 |
1.0527 |
1.0201 |
0.0326 |
3.1% |
0.0077 |
0.7% |
86% |
True |
False |
33,122 |
| 40 |
1.0527 |
1.0040 |
0.0487 |
4.6% |
0.0088 |
0.8% |
90% |
True |
False |
38,073 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.2% |
0.0100 |
1.0% |
51% |
False |
False |
36,175 |
| 80 |
1.0902 |
1.0040 |
0.0862 |
8.2% |
0.0091 |
0.9% |
51% |
False |
False |
27,205 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.7% |
0.0078 |
0.7% |
43% |
False |
False |
21,767 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.2% |
0.0067 |
0.6% |
41% |
False |
False |
18,140 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1041 |
|
2.618 |
1.0844 |
|
1.618 |
1.0723 |
|
1.000 |
1.0648 |
|
0.618 |
1.0602 |
|
HIGH |
1.0527 |
|
0.618 |
1.0481 |
|
0.500 |
1.0467 |
|
0.382 |
1.0452 |
|
LOW |
1.0406 |
|
0.618 |
1.0331 |
|
1.000 |
1.0285 |
|
1.618 |
1.0210 |
|
2.618 |
1.0089 |
|
4.250 |
0.9892 |
|
|
| Fisher Pivots for day following 31-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0476 |
1.0475 |
| PP |
1.0471 |
1.0469 |
| S1 |
1.0467 |
1.0464 |
|