CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 06-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Sep-2012 |
06-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0464 |
1.0468 |
0.0004 |
0.0% |
1.0418 |
| High |
1.0494 |
1.0507 |
0.0013 |
0.1% |
1.0527 |
| Low |
1.0409 |
1.0421 |
0.0012 |
0.1% |
1.0382 |
| Close |
1.0466 |
1.0495 |
0.0029 |
0.3% |
1.0480 |
| Range |
0.0085 |
0.0086 |
0.0001 |
1.2% |
0.0145 |
| ATR |
0.0083 |
0.0083 |
0.0000 |
0.3% |
0.0000 |
| Volume |
47,844 |
55,124 |
7,280 |
15.2% |
153,011 |
|
| Daily Pivots for day following 06-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0732 |
1.0700 |
1.0542 |
|
| R3 |
1.0646 |
1.0614 |
1.0519 |
|
| R2 |
1.0560 |
1.0560 |
1.0511 |
|
| R1 |
1.0528 |
1.0528 |
1.0503 |
1.0544 |
| PP |
1.0474 |
1.0474 |
1.0474 |
1.0483 |
| S1 |
1.0442 |
1.0442 |
1.0487 |
1.0458 |
| S2 |
1.0388 |
1.0388 |
1.0479 |
|
| S3 |
1.0302 |
1.0356 |
1.0471 |
|
| S4 |
1.0216 |
1.0270 |
1.0448 |
|
|
| 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 |
1.0400 |
0.0127 |
1.2% |
0.0084 |
0.8% |
75% |
False |
False |
43,992 |
| 10 |
1.0527 |
1.0382 |
0.0145 |
1.4% |
0.0073 |
0.7% |
78% |
False |
False |
37,139 |
| 20 |
1.0527 |
1.0201 |
0.0326 |
3.1% |
0.0077 |
0.7% |
90% |
False |
False |
35,147 |
| 40 |
1.0527 |
1.0040 |
0.0487 |
4.6% |
0.0089 |
0.8% |
93% |
False |
False |
39,275 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.2% |
0.0098 |
0.9% |
53% |
False |
False |
37,884 |
| 80 |
1.0902 |
1.0040 |
0.0862 |
8.2% |
0.0094 |
0.9% |
53% |
False |
False |
29,021 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.7% |
0.0078 |
0.7% |
45% |
False |
False |
23,219 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.2% |
0.0069 |
0.7% |
43% |
False |
False |
19,350 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0873 |
|
2.618 |
1.0732 |
|
1.618 |
1.0646 |
|
1.000 |
1.0593 |
|
0.618 |
1.0560 |
|
HIGH |
1.0507 |
|
0.618 |
1.0474 |
|
0.500 |
1.0464 |
|
0.382 |
1.0454 |
|
LOW |
1.0421 |
|
0.618 |
1.0368 |
|
1.000 |
1.0335 |
|
1.618 |
1.0282 |
|
2.618 |
1.0196 |
|
4.250 |
1.0056 |
|
|
| Fisher Pivots for day following 06-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0485 |
1.0485 |
| PP |
1.0474 |
1.0474 |
| S1 |
1.0464 |
1.0464 |
|