CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 22-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Jul-2011 |
22-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2204 |
1.2250 |
0.0046 |
0.4% |
1.2352 |
| High |
1.2294 |
1.2269 |
-0.0025 |
-0.2% |
1.2355 |
| Low |
1.2144 |
1.2128 |
-0.0016 |
-0.1% |
1.2084 |
| Close |
1.2256 |
1.2228 |
-0.0028 |
-0.2% |
1.2228 |
| Range |
0.0150 |
0.0141 |
-0.0009 |
-6.0% |
0.0271 |
| ATR |
0.0144 |
0.0144 |
0.0000 |
-0.2% |
0.0000 |
| Volume |
45,626 |
30,384 |
-15,242 |
-33.4% |
195,140 |
|
| Daily Pivots for day following 22-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2631 |
1.2571 |
1.2306 |
|
| R3 |
1.2490 |
1.2430 |
1.2267 |
|
| R2 |
1.2349 |
1.2349 |
1.2254 |
|
| R1 |
1.2289 |
1.2289 |
1.2241 |
1.2249 |
| PP |
1.2208 |
1.2208 |
1.2208 |
1.2188 |
| S1 |
1.2148 |
1.2148 |
1.2215 |
1.2108 |
| S2 |
1.2067 |
1.2067 |
1.2202 |
|
| S3 |
1.1926 |
1.2007 |
1.2189 |
|
| S4 |
1.1785 |
1.1866 |
1.2150 |
|
|
| Weekly Pivots for week ending 22-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3035 |
1.2903 |
1.2377 |
|
| R3 |
1.2764 |
1.2632 |
1.2303 |
|
| R2 |
1.2493 |
1.2493 |
1.2278 |
|
| R1 |
1.2361 |
1.2361 |
1.2253 |
1.2292 |
| PP |
1.2222 |
1.2222 |
1.2222 |
1.2188 |
| S1 |
1.2090 |
1.2090 |
1.2203 |
1.2021 |
| S2 |
1.1951 |
1.1951 |
1.2178 |
|
| S3 |
1.1680 |
1.1819 |
1.2153 |
|
| S4 |
1.1409 |
1.1548 |
1.2079 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2355 |
1.2084 |
0.0271 |
2.2% |
0.0147 |
1.2% |
53% |
False |
False |
39,028 |
| 10 |
1.2372 |
1.1910 |
0.0462 |
3.8% |
0.0149 |
1.2% |
69% |
False |
False |
46,249 |
| 20 |
1.2372 |
1.1731 |
0.0641 |
5.2% |
0.0152 |
1.2% |
78% |
False |
False |
46,601 |
| 40 |
1.2372 |
1.1468 |
0.0904 |
7.4% |
0.0136 |
1.1% |
84% |
False |
False |
35,731 |
| 60 |
1.2372 |
1.1195 |
0.1177 |
9.6% |
0.0127 |
1.0% |
88% |
False |
False |
23,863 |
| 80 |
1.2372 |
1.0725 |
0.1647 |
13.5% |
0.0113 |
0.9% |
91% |
False |
False |
17,905 |
| 100 |
1.2372 |
1.0696 |
0.1676 |
13.7% |
0.0097 |
0.8% |
91% |
False |
False |
14,326 |
| 120 |
1.2372 |
1.0291 |
0.2081 |
17.0% |
0.0082 |
0.7% |
93% |
False |
False |
11,938 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2868 |
|
2.618 |
1.2638 |
|
1.618 |
1.2497 |
|
1.000 |
1.2410 |
|
0.618 |
1.2356 |
|
HIGH |
1.2269 |
|
0.618 |
1.2215 |
|
0.500 |
1.2199 |
|
0.382 |
1.2182 |
|
LOW |
1.2128 |
|
0.618 |
1.2041 |
|
1.000 |
1.1987 |
|
1.618 |
1.1900 |
|
2.618 |
1.1759 |
|
4.250 |
1.1529 |
|
|
| Fisher Pivots for day following 22-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2218 |
1.2221 |
| PP |
1.2208 |
1.2214 |
| S1 |
1.2199 |
1.2207 |
|