CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 17-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Aug-2011 |
17-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2787 |
1.2561 |
-0.0226 |
-1.8% |
1.3185 |
| High |
1.2884 |
1.2798 |
-0.0086 |
-0.7% |
1.4167 |
| Low |
1.2577 |
1.2488 |
-0.0089 |
-0.7% |
1.2858 |
| Close |
1.2615 |
1.2693 |
0.0078 |
0.6% |
1.2898 |
| Range |
0.0307 |
0.0310 |
0.0003 |
1.0% |
0.1309 |
| ATR |
0.0321 |
0.0320 |
-0.0001 |
-0.2% |
0.0000 |
| Volume |
35,274 |
49,801 |
14,527 |
41.2% |
349,913 |
|
| Daily Pivots for day following 17-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3590 |
1.3451 |
1.2864 |
|
| R3 |
1.3280 |
1.3141 |
1.2778 |
|
| R2 |
1.2970 |
1.2970 |
1.2750 |
|
| R1 |
1.2831 |
1.2831 |
1.2721 |
1.2901 |
| PP |
1.2660 |
1.2660 |
1.2660 |
1.2694 |
| S1 |
1.2521 |
1.2521 |
1.2665 |
1.2591 |
| S2 |
1.2350 |
1.2350 |
1.2636 |
|
| S3 |
1.2040 |
1.2211 |
1.2608 |
|
| S4 |
1.1730 |
1.1901 |
1.2523 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.7235 |
1.6375 |
1.3618 |
|
| R3 |
1.5926 |
1.5066 |
1.3258 |
|
| R2 |
1.4617 |
1.4617 |
1.3138 |
|
| R1 |
1.3757 |
1.3757 |
1.3018 |
1.3533 |
| PP |
1.3308 |
1.3308 |
1.3308 |
1.3195 |
| S1 |
1.2448 |
1.2448 |
1.2778 |
1.2224 |
| S2 |
1.1999 |
1.1999 |
1.2658 |
|
| S3 |
1.0690 |
1.1139 |
1.2538 |
|
| S4 |
0.9381 |
0.9830 |
1.2178 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3845 |
1.2488 |
0.1357 |
10.7% |
0.0444 |
3.5% |
15% |
False |
True |
50,061 |
| 10 |
1.4167 |
1.2488 |
0.1679 |
13.2% |
0.0440 |
3.5% |
12% |
False |
True |
59,448 |
| 20 |
1.4167 |
1.2128 |
0.2039 |
16.1% |
0.0327 |
2.6% |
28% |
False |
False |
54,274 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.2% |
0.0238 |
1.9% |
39% |
False |
False |
50,690 |
| 60 |
1.4167 |
1.1253 |
0.2914 |
23.0% |
0.0199 |
1.6% |
49% |
False |
False |
40,656 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.4% |
0.0177 |
1.4% |
50% |
False |
False |
30,517 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.1% |
0.0154 |
1.2% |
57% |
False |
False |
24,419 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.3% |
0.0133 |
1.0% |
58% |
False |
False |
20,350 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4116 |
|
2.618 |
1.3610 |
|
1.618 |
1.3300 |
|
1.000 |
1.3108 |
|
0.618 |
1.2990 |
|
HIGH |
1.2798 |
|
0.618 |
1.2680 |
|
0.500 |
1.2643 |
|
0.382 |
1.2606 |
|
LOW |
1.2488 |
|
0.618 |
1.2296 |
|
1.000 |
1.2178 |
|
1.618 |
1.1986 |
|
2.618 |
1.1676 |
|
4.250 |
1.1171 |
|
|
| Fisher Pivots for day following 17-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2676 |
1.2693 |
| PP |
1.2660 |
1.2693 |
| S1 |
1.2643 |
1.2693 |
|