CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 27-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2011 |
27-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2410 |
1.2487 |
0.0077 |
0.6% |
1.2352 |
| High |
1.2507 |
1.2511 |
0.0004 |
0.0% |
1.2355 |
| Low |
1.2396 |
1.2430 |
0.0034 |
0.3% |
1.2084 |
| Close |
1.2491 |
1.2474 |
-0.0017 |
-0.1% |
1.2228 |
| Range |
0.0111 |
0.0081 |
-0.0030 |
-27.0% |
0.0271 |
| ATR |
0.0148 |
0.0144 |
-0.0005 |
-3.2% |
0.0000 |
| Volume |
32,670 |
33,180 |
510 |
1.6% |
195,140 |
|
| Daily Pivots for day following 27-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2715 |
1.2675 |
1.2519 |
|
| R3 |
1.2634 |
1.2594 |
1.2496 |
|
| R2 |
1.2553 |
1.2553 |
1.2489 |
|
| R1 |
1.2513 |
1.2513 |
1.2481 |
1.2493 |
| PP |
1.2472 |
1.2472 |
1.2472 |
1.2461 |
| S1 |
1.2432 |
1.2432 |
1.2467 |
1.2412 |
| S2 |
1.2391 |
1.2391 |
1.2459 |
|
| S3 |
1.2310 |
1.2351 |
1.2452 |
|
| S4 |
1.2229 |
1.2270 |
1.2429 |
|
|
| 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 |
1.2511 |
1.2128 |
0.0383 |
3.1% |
0.0145 |
1.2% |
90% |
True |
False |
36,231 |
| 10 |
1.2511 |
1.2084 |
0.0427 |
3.4% |
0.0145 |
1.2% |
91% |
True |
False |
40,047 |
| 20 |
1.2511 |
1.1731 |
0.0780 |
6.3% |
0.0156 |
1.2% |
95% |
True |
False |
46,334 |
| 40 |
1.2511 |
1.1701 |
0.0810 |
6.5% |
0.0137 |
1.1% |
95% |
True |
False |
38,309 |
| 60 |
1.2511 |
1.1195 |
0.1316 |
10.5% |
0.0131 |
1.1% |
97% |
True |
False |
25,613 |
| 80 |
1.2511 |
1.0810 |
0.1701 |
13.6% |
0.0115 |
0.9% |
98% |
True |
False |
19,218 |
| 100 |
1.2511 |
1.0696 |
0.1815 |
14.6% |
0.0101 |
0.8% |
98% |
True |
False |
15,377 |
| 120 |
1.2511 |
1.0291 |
0.2220 |
17.8% |
0.0085 |
0.7% |
98% |
True |
False |
12,814 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2855 |
|
2.618 |
1.2723 |
|
1.618 |
1.2642 |
|
1.000 |
1.2592 |
|
0.618 |
1.2561 |
|
HIGH |
1.2511 |
|
0.618 |
1.2480 |
|
0.500 |
1.2471 |
|
0.382 |
1.2461 |
|
LOW |
1.2430 |
|
0.618 |
1.2380 |
|
1.000 |
1.2349 |
|
1.618 |
1.2299 |
|
2.618 |
1.2218 |
|
4.250 |
1.2086 |
|
|
| Fisher Pivots for day following 27-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2473 |
1.2439 |
| PP |
1.2472 |
1.2404 |
| S1 |
1.2471 |
1.2370 |
|