CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 12-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Sep-2012 |
12-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0567 |
1.0650 |
0.0083 |
0.8% |
1.0476 |
| High |
1.0663 |
1.0705 |
0.0042 |
0.4% |
1.0600 |
| Low |
1.0564 |
1.0633 |
0.0069 |
0.7% |
1.0409 |
| Close |
1.0654 |
1.0668 |
0.0014 |
0.1% |
1.0577 |
| Range |
0.0099 |
0.0072 |
-0.0027 |
-27.3% |
0.0191 |
| ATR |
0.0087 |
0.0086 |
-0.0001 |
-1.3% |
0.0000 |
| Volume |
37,830 |
53,797 |
15,967 |
42.2% |
209,435 |
|
| Daily Pivots for day following 12-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0885 |
1.0848 |
1.0708 |
|
| R3 |
1.0813 |
1.0776 |
1.0688 |
|
| R2 |
1.0741 |
1.0741 |
1.0681 |
|
| R1 |
1.0704 |
1.0704 |
1.0675 |
1.0723 |
| PP |
1.0669 |
1.0669 |
1.0669 |
1.0678 |
| S1 |
1.0632 |
1.0632 |
1.0661 |
1.0651 |
| S2 |
1.0597 |
1.0597 |
1.0655 |
|
| S3 |
1.0525 |
1.0560 |
1.0648 |
|
| S4 |
1.0453 |
1.0488 |
1.0628 |
|
|
| Weekly Pivots for week ending 07-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1102 |
1.1030 |
1.0682 |
|
| R3 |
1.0911 |
1.0839 |
1.0630 |
|
| R2 |
1.0720 |
1.0720 |
1.0612 |
|
| R1 |
1.0648 |
1.0648 |
1.0595 |
1.0684 |
| PP |
1.0529 |
1.0529 |
1.0529 |
1.0547 |
| S1 |
1.0457 |
1.0457 |
1.0559 |
1.0493 |
| S2 |
1.0338 |
1.0338 |
1.0542 |
|
| S3 |
1.0147 |
1.0266 |
1.0524 |
|
| S4 |
0.9956 |
1.0075 |
1.0472 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0705 |
1.0421 |
0.0284 |
2.7% |
0.0095 |
0.9% |
87% |
True |
False |
51,443 |
| 10 |
1.0705 |
1.0400 |
0.0305 |
2.9% |
0.0085 |
0.8% |
88% |
True |
False |
44,722 |
| 20 |
1.0705 |
1.0209 |
0.0496 |
4.6% |
0.0081 |
0.8% |
93% |
True |
False |
39,488 |
| 40 |
1.0705 |
1.0040 |
0.0665 |
6.2% |
0.0090 |
0.8% |
94% |
True |
False |
40,638 |
| 60 |
1.0705 |
1.0040 |
0.0665 |
6.2% |
0.0092 |
0.9% |
94% |
True |
False |
39,016 |
| 80 |
1.0902 |
1.0040 |
0.0862 |
8.1% |
0.0096 |
0.9% |
73% |
False |
False |
31,545 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.6% |
0.0081 |
0.8% |
62% |
False |
False |
25,239 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.0% |
0.0072 |
0.7% |
59% |
False |
False |
21,034 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1011 |
|
2.618 |
1.0893 |
|
1.618 |
1.0821 |
|
1.000 |
1.0777 |
|
0.618 |
1.0749 |
|
HIGH |
1.0705 |
|
0.618 |
1.0677 |
|
0.500 |
1.0669 |
|
0.382 |
1.0661 |
|
LOW |
1.0633 |
|
0.618 |
1.0589 |
|
1.000 |
1.0561 |
|
1.618 |
1.0517 |
|
2.618 |
1.0445 |
|
4.250 |
1.0327 |
|
|
| Fisher Pivots for day following 12-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0669 |
1.0654 |
| PP |
1.0669 |
1.0639 |
| S1 |
1.0668 |
1.0625 |
|