CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 19-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Jul-2011 |
19-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2352 |
1.2233 |
-0.0119 |
-1.0% |
1.1966 |
| High |
1.2355 |
1.2273 |
-0.0082 |
-0.7% |
1.2372 |
| Low |
1.2211 |
1.2084 |
-0.0127 |
-1.0% |
1.1910 |
| Close |
1.2228 |
1.2142 |
-0.0086 |
-0.7% |
1.2290 |
| Range |
0.0144 |
0.0189 |
0.0045 |
31.3% |
0.0462 |
| ATR |
0.0143 |
0.0146 |
0.0003 |
2.3% |
0.0000 |
| Volume |
37,929 |
45,911 |
7,982 |
21.0% |
267,354 |
|
| Daily Pivots for day following 19-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2733 |
1.2627 |
1.2246 |
|
| R3 |
1.2544 |
1.2438 |
1.2194 |
|
| R2 |
1.2355 |
1.2355 |
1.2177 |
|
| R1 |
1.2249 |
1.2249 |
1.2159 |
1.2208 |
| PP |
1.2166 |
1.2166 |
1.2166 |
1.2146 |
| S1 |
1.2060 |
1.2060 |
1.2125 |
1.2019 |
| S2 |
1.1977 |
1.1977 |
1.2107 |
|
| S3 |
1.1788 |
1.1871 |
1.2090 |
|
| S4 |
1.1599 |
1.1682 |
1.2038 |
|
|
| 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 |
1.2010 |
0.0362 |
3.0% |
0.0167 |
1.4% |
36% |
False |
False |
48,495 |
| 10 |
1.2372 |
1.1738 |
0.0634 |
5.2% |
0.0160 |
1.3% |
64% |
False |
False |
50,290 |
| 20 |
1.2372 |
1.1731 |
0.0641 |
5.3% |
0.0148 |
1.2% |
64% |
False |
False |
46,773 |
| 40 |
1.2372 |
1.1253 |
0.1119 |
9.2% |
0.0135 |
1.1% |
79% |
False |
False |
32,969 |
| 60 |
1.2372 |
1.1195 |
0.1177 |
9.7% |
0.0127 |
1.0% |
80% |
False |
False |
22,010 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.6% |
0.0111 |
0.9% |
86% |
False |
False |
16,514 |
| 100 |
1.2372 |
1.0696 |
0.1676 |
13.8% |
0.0093 |
0.8% |
86% |
False |
False |
13,213 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
17.1% |
0.0078 |
0.6% |
89% |
False |
False |
11,011 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3076 |
|
2.618 |
1.2768 |
|
1.618 |
1.2579 |
|
1.000 |
1.2462 |
|
0.618 |
1.2390 |
|
HIGH |
1.2273 |
|
0.618 |
1.2201 |
|
0.500 |
1.2179 |
|
0.382 |
1.2156 |
|
LOW |
1.2084 |
|
0.618 |
1.1967 |
|
1.000 |
1.1895 |
|
1.618 |
1.1778 |
|
2.618 |
1.1589 |
|
4.250 |
1.1281 |
|
|
| Fisher Pivots for day following 19-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2179 |
1.2220 |
| PP |
1.2166 |
1.2194 |
| S1 |
1.2154 |
1.2168 |
|