CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 18-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Jul-2011 |
18-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2267 |
1.2352 |
0.0085 |
0.7% |
1.1966 |
| High |
1.2318 |
1.2355 |
0.0037 |
0.3% |
1.2372 |
| Low |
1.2214 |
1.2211 |
-0.0003 |
0.0% |
1.1910 |
| Close |
1.2290 |
1.2228 |
-0.0062 |
-0.5% |
1.2290 |
| Range |
0.0104 |
0.0144 |
0.0040 |
38.5% |
0.0462 |
| ATR |
0.0143 |
0.0143 |
0.0000 |
0.0% |
0.0000 |
| Volume |
40,237 |
37,929 |
-2,308 |
-5.7% |
267,354 |
|
| Daily Pivots for day following 18-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2697 |
1.2606 |
1.2307 |
|
| R3 |
1.2553 |
1.2462 |
1.2268 |
|
| R2 |
1.2409 |
1.2409 |
1.2254 |
|
| R1 |
1.2318 |
1.2318 |
1.2241 |
1.2292 |
| PP |
1.2265 |
1.2265 |
1.2265 |
1.2251 |
| S1 |
1.2174 |
1.2174 |
1.2215 |
1.2148 |
| S2 |
1.2121 |
1.2121 |
1.2202 |
|
| S3 |
1.1977 |
1.2030 |
1.2188 |
|
| S4 |
1.1833 |
1.1886 |
1.2149 |
|
|
| Weekly Pivots for week ending 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3577 |
1.3395 |
1.2544 |
|
| R3 |
1.3115 |
1.2933 |
1.2417 |
|
| R2 |
1.2653 |
1.2653 |
1.2375 |
|
| R1 |
1.2471 |
1.2471 |
1.2332 |
1.2562 |
| PP |
1.2191 |
1.2191 |
1.2191 |
1.2236 |
| S1 |
1.2009 |
1.2009 |
1.2248 |
1.2100 |
| S2 |
1.1729 |
1.1729 |
1.2205 |
|
| S3 |
1.1267 |
1.1547 |
1.2163 |
|
| S4 |
1.0805 |
1.1085 |
1.2036 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2372 |
1.1910 |
0.0462 |
3.8% |
0.0163 |
1.3% |
69% |
False |
False |
51,374 |
| 10 |
1.2372 |
1.1738 |
0.0634 |
5.2% |
0.0158 |
1.3% |
77% |
False |
False |
51,041 |
| 20 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0146 |
1.2% |
78% |
False |
False |
46,264 |
| 40 |
1.2372 |
1.1253 |
0.1119 |
9.2% |
0.0133 |
1.1% |
87% |
False |
False |
31,825 |
| 60 |
1.2372 |
1.1195 |
0.1177 |
9.6% |
0.0125 |
1.0% |
88% |
False |
False |
21,245 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.5% |
0.0109 |
0.9% |
91% |
False |
False |
15,940 |
| 100 |
1.2372 |
1.0696 |
0.1676 |
13.7% |
0.0091 |
0.7% |
91% |
False |
False |
12,754 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
17.0% |
0.0077 |
0.6% |
93% |
False |
False |
10,628 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2967 |
|
2.618 |
1.2732 |
|
1.618 |
1.2588 |
|
1.000 |
1.2499 |
|
0.618 |
1.2444 |
|
HIGH |
1.2355 |
|
0.618 |
1.2300 |
|
0.500 |
1.2283 |
|
0.382 |
1.2266 |
|
LOW |
1.2211 |
|
0.618 |
1.2122 |
|
1.000 |
1.2067 |
|
1.618 |
1.1978 |
|
2.618 |
1.1834 |
|
4.250 |
1.1599 |
|
|
| Fisher Pivots for day following 18-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2283 |
1.2287 |
| PP |
1.2265 |
1.2267 |
| S1 |
1.2246 |
1.2248 |
|