CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 20-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jul-2011 |
20-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2233 |
1.2139 |
-0.0094 |
-0.8% |
1.1966 |
| High |
1.2273 |
1.2232 |
-0.0041 |
-0.3% |
1.2372 |
| Low |
1.2084 |
1.2119 |
0.0035 |
0.3% |
1.1910 |
| Close |
1.2142 |
1.2214 |
0.0072 |
0.6% |
1.2290 |
| Range |
0.0189 |
0.0113 |
-0.0076 |
-40.2% |
0.0462 |
| ATR |
0.0146 |
0.0144 |
-0.0002 |
-1.6% |
0.0000 |
| Volume |
45,911 |
35,290 |
-10,621 |
-23.1% |
267,354 |
|
| Daily Pivots for day following 20-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2527 |
1.2484 |
1.2276 |
|
| R3 |
1.2414 |
1.2371 |
1.2245 |
|
| R2 |
1.2301 |
1.2301 |
1.2235 |
|
| R1 |
1.2258 |
1.2258 |
1.2224 |
1.2280 |
| PP |
1.2188 |
1.2188 |
1.2188 |
1.2199 |
| S1 |
1.2145 |
1.2145 |
1.2204 |
1.2167 |
| S2 |
1.2075 |
1.2075 |
1.2193 |
|
| S3 |
1.1962 |
1.2032 |
1.2183 |
|
| S4 |
1.1849 |
1.1919 |
1.2152 |
|
|
| 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 |
1.2084 |
0.0288 |
2.4% |
0.0144 |
1.2% |
45% |
False |
False |
43,864 |
| 10 |
1.2372 |
1.1738 |
0.0634 |
5.2% |
0.0160 |
1.3% |
75% |
False |
False |
49,335 |
| 20 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0149 |
1.2% |
75% |
False |
False |
47,105 |
| 40 |
1.2372 |
1.1253 |
0.1119 |
9.2% |
0.0135 |
1.1% |
86% |
False |
False |
33,847 |
| 60 |
1.2372 |
1.1195 |
0.1177 |
9.6% |
0.0127 |
1.0% |
87% |
False |
False |
22,597 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.5% |
0.0111 |
0.9% |
90% |
False |
False |
16,955 |
| 100 |
1.2372 |
1.0696 |
0.1676 |
13.7% |
0.0094 |
0.8% |
91% |
False |
False |
13,566 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
17.0% |
0.0079 |
0.6% |
92% |
False |
False |
11,305 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2712 |
|
2.618 |
1.2528 |
|
1.618 |
1.2415 |
|
1.000 |
1.2345 |
|
0.618 |
1.2302 |
|
HIGH |
1.2232 |
|
0.618 |
1.2189 |
|
0.500 |
1.2176 |
|
0.382 |
1.2162 |
|
LOW |
1.2119 |
|
0.618 |
1.2049 |
|
1.000 |
1.2006 |
|
1.618 |
1.1936 |
|
2.618 |
1.1823 |
|
4.250 |
1.1639 |
|
|
| Fisher Pivots for day following 20-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2201 |
1.2220 |
| PP |
1.2188 |
1.2218 |
| S1 |
1.2176 |
1.2216 |
|