CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 09-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Aug-2011 |
09-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.3185 |
1.3251 |
0.0066 |
0.5% |
1.2606 |
| High |
1.3375 |
1.4167 |
0.0792 |
5.9% |
1.3206 |
| Low |
1.3048 |
1.3182 |
0.0134 |
1.0% |
1.2582 |
| Close |
1.3242 |
1.3996 |
0.0754 |
5.7% |
1.3048 |
| Range |
0.0327 |
0.0985 |
0.0658 |
201.2% |
0.0624 |
| ATR |
0.0210 |
0.0266 |
0.0055 |
26.3% |
0.0000 |
| Volume |
64,254 |
97,266 |
33,012 |
51.4% |
330,487 |
|
| Daily Pivots for day following 09-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.6737 |
1.6351 |
1.4538 |
|
| R3 |
1.5752 |
1.5366 |
1.4267 |
|
| R2 |
1.4767 |
1.4767 |
1.4177 |
|
| R1 |
1.4381 |
1.4381 |
1.4086 |
1.4574 |
| PP |
1.3782 |
1.3782 |
1.3782 |
1.3878 |
| S1 |
1.3396 |
1.3396 |
1.3906 |
1.3589 |
| S2 |
1.2797 |
1.2797 |
1.3815 |
|
| S3 |
1.1812 |
1.2411 |
1.3725 |
|
| S4 |
1.0827 |
1.1426 |
1.3454 |
|
|
| Weekly Pivots for week ending 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4817 |
1.4557 |
1.3391 |
|
| R3 |
1.4193 |
1.3933 |
1.3220 |
|
| R2 |
1.3569 |
1.3569 |
1.3162 |
|
| R1 |
1.3309 |
1.3309 |
1.3105 |
1.3439 |
| PP |
1.2945 |
1.2945 |
1.2945 |
1.3011 |
| S1 |
1.2685 |
1.2685 |
1.2991 |
1.2815 |
| S2 |
1.2321 |
1.2321 |
1.2934 |
|
| S3 |
1.1697 |
1.2061 |
1.2876 |
|
| S4 |
1.1073 |
1.1437 |
1.2705 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.4167 |
1.2829 |
0.1338 |
9.6% |
0.0430 |
3.1% |
87% |
True |
False |
73,294 |
| 10 |
1.4167 |
1.2430 |
0.1737 |
12.4% |
0.0337 |
2.4% |
90% |
True |
False |
62,722 |
| 20 |
1.4167 |
1.2010 |
0.2157 |
15.4% |
0.0248 |
1.8% |
92% |
True |
False |
52,648 |
| 40 |
1.4167 |
1.1701 |
0.2466 |
17.6% |
0.0194 |
1.4% |
93% |
True |
False |
49,245 |
| 60 |
1.4167 |
1.1205 |
0.2962 |
21.2% |
0.0168 |
1.2% |
94% |
True |
False |
35,497 |
| 80 |
1.4167 |
1.1122 |
0.3045 |
21.8% |
0.0150 |
1.1% |
94% |
True |
False |
26,641 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
24.6% |
0.0132 |
0.9% |
95% |
True |
False |
21,316 |
| 120 |
1.4167 |
1.0550 |
0.3617 |
25.8% |
0.0113 |
0.8% |
95% |
True |
False |
17,765 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.8353 |
|
2.618 |
1.6746 |
|
1.618 |
1.5761 |
|
1.000 |
1.5152 |
|
0.618 |
1.4776 |
|
HIGH |
1.4167 |
|
0.618 |
1.3791 |
|
0.500 |
1.3675 |
|
0.382 |
1.3558 |
|
LOW |
1.3182 |
|
0.618 |
1.2573 |
|
1.000 |
1.2197 |
|
1.618 |
1.1588 |
|
2.618 |
1.0603 |
|
4.250 |
0.8996 |
|
|
| Fisher Pivots for day following 09-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3889 |
1.3846 |
| PP |
1.3782 |
1.3697 |
| S1 |
1.3675 |
1.3547 |
|