CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 02-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Aug-2011 |
02-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2606 |
1.2774 |
0.0168 |
1.3% |
1.2304 |
| High |
1.2944 |
1.3129 |
0.0185 |
1.4% |
1.2746 |
| Low |
1.2582 |
1.2737 |
0.0155 |
1.2% |
1.2228 |
| Close |
1.2802 |
1.3031 |
0.0229 |
1.8% |
1.2682 |
| Range |
0.0362 |
0.0392 |
0.0030 |
8.3% |
0.0518 |
| ATR |
0.0166 |
0.0182 |
0.0016 |
9.8% |
0.0000 |
| Volume |
63,767 |
61,766 |
-2,001 |
-3.1% |
207,183 |
|
| Daily Pivots for day following 02-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4142 |
1.3978 |
1.3247 |
|
| R3 |
1.3750 |
1.3586 |
1.3139 |
|
| R2 |
1.3358 |
1.3358 |
1.3103 |
|
| R1 |
1.3194 |
1.3194 |
1.3067 |
1.3276 |
| PP |
1.2966 |
1.2966 |
1.2966 |
1.3007 |
| S1 |
1.2802 |
1.2802 |
1.2995 |
1.2884 |
| S2 |
1.2574 |
1.2574 |
1.2959 |
|
| S3 |
1.2182 |
1.2410 |
1.2923 |
|
| S4 |
1.1790 |
1.2018 |
1.2815 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4106 |
1.3912 |
1.2967 |
|
| R3 |
1.3588 |
1.3394 |
1.2824 |
|
| R2 |
1.3070 |
1.3070 |
1.2777 |
|
| R1 |
1.2876 |
1.2876 |
1.2729 |
1.2973 |
| PP |
1.2552 |
1.2552 |
1.2552 |
1.2601 |
| S1 |
1.2358 |
1.2358 |
1.2635 |
1.2455 |
| S2 |
1.2034 |
1.2034 |
1.2587 |
|
| S3 |
1.1516 |
1.1840 |
1.2540 |
|
| S4 |
1.0998 |
1.1322 |
1.2397 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3129 |
1.2430 |
0.0699 |
5.4% |
0.0243 |
1.9% |
86% |
True |
False |
52,150 |
| 10 |
1.3129 |
1.2119 |
0.1010 |
7.8% |
0.0198 |
1.5% |
90% |
True |
False |
44,401 |
| 20 |
1.3129 |
1.1738 |
0.1391 |
10.7% |
0.0179 |
1.4% |
93% |
True |
False |
47,345 |
| 40 |
1.3129 |
1.1701 |
0.1428 |
11.0% |
0.0152 |
1.2% |
93% |
True |
False |
43,793 |
| 60 |
1.3129 |
1.1195 |
0.1934 |
14.8% |
0.0141 |
1.1% |
95% |
True |
False |
29,398 |
| 80 |
1.3129 |
1.0950 |
0.2179 |
16.7% |
0.0127 |
1.0% |
96% |
True |
False |
22,062 |
| 100 |
1.3129 |
1.0725 |
0.2404 |
18.4% |
0.0112 |
0.9% |
96% |
True |
False |
17,653 |
| 120 |
1.3129 |
1.0291 |
0.2838 |
21.8% |
0.0095 |
0.7% |
97% |
True |
False |
14,711 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4795 |
|
2.618 |
1.4155 |
|
1.618 |
1.3763 |
|
1.000 |
1.3521 |
|
0.618 |
1.3371 |
|
HIGH |
1.3129 |
|
0.618 |
1.2979 |
|
0.500 |
1.2933 |
|
0.382 |
1.2887 |
|
LOW |
1.2737 |
|
0.618 |
1.2495 |
|
1.000 |
1.2345 |
|
1.618 |
1.2103 |
|
2.618 |
1.1711 |
|
4.250 |
1.1071 |
|
|
| Fisher Pivots for day following 02-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2998 |
1.2951 |
| PP |
1.2966 |
1.2872 |
| S1 |
1.2933 |
1.2792 |
|