CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 11-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Jul-2011 |
11-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1844 |
1.1966 |
0.0122 |
1.0% |
1.1803 |
| High |
1.1968 |
1.2012 |
0.0044 |
0.4% |
1.1968 |
| Low |
1.1738 |
1.1928 |
0.0190 |
1.6% |
1.1738 |
| Close |
1.1960 |
1.1981 |
0.0021 |
0.2% |
1.1960 |
| Range |
0.0230 |
0.0084 |
-0.0146 |
-63.5% |
0.0230 |
| ATR |
0.0139 |
0.0135 |
-0.0004 |
-2.8% |
0.0000 |
| Volume |
59,515 |
48,413 |
-11,102 |
-18.7% |
205,131 |
|
| Daily Pivots for day following 11-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2226 |
1.2187 |
1.2027 |
|
| R3 |
1.2142 |
1.2103 |
1.2004 |
|
| R2 |
1.2058 |
1.2058 |
1.1996 |
|
| R1 |
1.2019 |
1.2019 |
1.1989 |
1.2039 |
| PP |
1.1974 |
1.1974 |
1.1974 |
1.1983 |
| S1 |
1.1935 |
1.1935 |
1.1973 |
1.1955 |
| S2 |
1.1890 |
1.1890 |
1.1966 |
|
| S3 |
1.1806 |
1.1851 |
1.1958 |
|
| S4 |
1.1722 |
1.1767 |
1.1935 |
|
|
| Weekly Pivots for week ending 08-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2579 |
1.2499 |
1.2087 |
|
| R3 |
1.2349 |
1.2269 |
1.2023 |
|
| R2 |
1.2119 |
1.2119 |
1.2002 |
|
| R1 |
1.2039 |
1.2039 |
1.1981 |
1.2079 |
| PP |
1.1889 |
1.1889 |
1.1889 |
1.1909 |
| S1 |
1.1809 |
1.1809 |
1.1939 |
1.1849 |
| S2 |
1.1659 |
1.1659 |
1.1918 |
|
| S3 |
1.1429 |
1.1579 |
1.1897 |
|
| S4 |
1.1199 |
1.1349 |
1.1834 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2012 |
1.1738 |
0.0274 |
2.3% |
0.0153 |
1.3% |
89% |
True |
False |
50,708 |
| 10 |
1.2091 |
1.1731 |
0.0360 |
3.0% |
0.0150 |
1.2% |
69% |
False |
False |
48,684 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.3% |
0.0139 |
1.2% |
72% |
False |
False |
44,484 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.5% |
0.0127 |
1.1% |
88% |
False |
False |
25,416 |
| 60 |
1.2091 |
1.1122 |
0.0969 |
8.1% |
0.0116 |
1.0% |
89% |
False |
False |
16,968 |
| 80 |
1.2091 |
1.0725 |
0.1366 |
11.4% |
0.0102 |
0.9% |
92% |
False |
False |
12,731 |
| 100 |
1.2091 |
1.0456 |
0.1635 |
13.6% |
0.0084 |
0.7% |
93% |
False |
False |
10,185 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.0% |
0.0070 |
0.6% |
94% |
False |
False |
8,488 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2369 |
|
2.618 |
1.2232 |
|
1.618 |
1.2148 |
|
1.000 |
1.2096 |
|
0.618 |
1.2064 |
|
HIGH |
1.2012 |
|
0.618 |
1.1980 |
|
0.500 |
1.1970 |
|
0.382 |
1.1960 |
|
LOW |
1.1928 |
|
0.618 |
1.1876 |
|
1.000 |
1.1844 |
|
1.618 |
1.1792 |
|
2.618 |
1.1708 |
|
4.250 |
1.1571 |
|
|
| Fisher Pivots for day following 11-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1977 |
1.1946 |
| PP |
1.1974 |
1.1910 |
| S1 |
1.1970 |
1.1875 |
|