CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 19-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Aug-2011 |
19-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2685 |
1.2607 |
-0.0078 |
-0.6% |
1.2805 |
| High |
1.2750 |
1.2830 |
0.0080 |
0.6% |
1.2898 |
| Low |
1.2531 |
1.2580 |
0.0049 |
0.4% |
1.2488 |
| Close |
1.2636 |
1.2713 |
0.0077 |
0.6% |
1.2713 |
| Range |
0.0219 |
0.0250 |
0.0031 |
14.2% |
0.0410 |
| ATR |
0.0313 |
0.0308 |
-0.0004 |
-1.4% |
0.0000 |
| Volume |
28,940 |
23,832 |
-5,108 |
-17.7% |
174,676 |
|
| Daily Pivots for day following 19-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3458 |
1.3335 |
1.2851 |
|
| R3 |
1.3208 |
1.3085 |
1.2782 |
|
| R2 |
1.2958 |
1.2958 |
1.2759 |
|
| R1 |
1.2835 |
1.2835 |
1.2736 |
1.2897 |
| PP |
1.2708 |
1.2708 |
1.2708 |
1.2738 |
| S1 |
1.2585 |
1.2585 |
1.2690 |
1.2647 |
| S2 |
1.2458 |
1.2458 |
1.2667 |
|
| S3 |
1.2208 |
1.2335 |
1.2644 |
|
| S4 |
1.1958 |
1.2085 |
1.2576 |
|
|
| Weekly Pivots for week ending 19-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3930 |
1.3731 |
1.2939 |
|
| R3 |
1.3520 |
1.3321 |
1.2826 |
|
| R2 |
1.3110 |
1.3110 |
1.2788 |
|
| R1 |
1.2911 |
1.2911 |
1.2751 |
1.2806 |
| PP |
1.2700 |
1.2700 |
1.2700 |
1.2647 |
| S1 |
1.2501 |
1.2501 |
1.2675 |
1.2396 |
| S2 |
1.2290 |
1.2290 |
1.2638 |
|
| S3 |
1.1880 |
1.2091 |
1.2600 |
|
| S4 |
1.1470 |
1.1681 |
1.2488 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2898 |
1.2488 |
0.0410 |
3.2% |
0.0293 |
2.3% |
55% |
False |
False |
34,935 |
| 10 |
1.4167 |
1.2488 |
0.1679 |
13.2% |
0.0430 |
3.4% |
13% |
False |
False |
52,458 |
| 20 |
1.4167 |
1.2228 |
0.1939 |
15.3% |
0.0335 |
2.6% |
25% |
False |
False |
53,112 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.2% |
0.0244 |
1.9% |
40% |
False |
False |
49,857 |
| 60 |
1.4167 |
1.1468 |
0.2699 |
21.2% |
0.0202 |
1.6% |
46% |
False |
False |
41,525 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.4% |
0.0179 |
1.4% |
51% |
False |
False |
31,176 |
| 100 |
1.4167 |
1.0725 |
0.3442 |
27.1% |
0.0158 |
1.2% |
58% |
False |
False |
24,946 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.3% |
0.0136 |
1.1% |
58% |
False |
False |
20,790 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3893 |
|
2.618 |
1.3485 |
|
1.618 |
1.3235 |
|
1.000 |
1.3080 |
|
0.618 |
1.2985 |
|
HIGH |
1.2830 |
|
0.618 |
1.2735 |
|
0.500 |
1.2705 |
|
0.382 |
1.2676 |
|
LOW |
1.2580 |
|
0.618 |
1.2426 |
|
1.000 |
1.2330 |
|
1.618 |
1.2176 |
|
2.618 |
1.1926 |
|
4.250 |
1.1518 |
|
|
| Fisher Pivots for day following 19-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2710 |
1.2695 |
| PP |
1.2708 |
1.2677 |
| S1 |
1.2705 |
1.2659 |
|