CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 25-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Aug-2011 |
25-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2636 |
1.2578 |
-0.0058 |
-0.5% |
1.2805 |
| High |
1.2717 |
1.2655 |
-0.0062 |
-0.5% |
1.2898 |
| Low |
1.2576 |
1.2523 |
-0.0053 |
-0.4% |
1.2488 |
| Close |
1.2599 |
1.2601 |
0.0002 |
0.0% |
1.2713 |
| Range |
0.0141 |
0.0132 |
-0.0009 |
-6.4% |
0.0410 |
| ATR |
0.0272 |
0.0262 |
-0.0010 |
-3.7% |
0.0000 |
| Volume |
18,782 |
23,764 |
4,982 |
26.5% |
174,676 |
|
| Daily Pivots for day following 25-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2989 |
1.2927 |
1.2674 |
|
| R3 |
1.2857 |
1.2795 |
1.2637 |
|
| R2 |
1.2725 |
1.2725 |
1.2625 |
|
| R1 |
1.2663 |
1.2663 |
1.2613 |
1.2694 |
| PP |
1.2593 |
1.2593 |
1.2593 |
1.2609 |
| S1 |
1.2531 |
1.2531 |
1.2589 |
1.2562 |
| S2 |
1.2461 |
1.2461 |
1.2577 |
|
| S3 |
1.2329 |
1.2399 |
1.2565 |
|
| S4 |
1.2197 |
1.2267 |
1.2528 |
|
|
| 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 |
1.2830 |
1.2523 |
0.0307 |
2.4% |
0.0153 |
1.2% |
25% |
False |
True |
19,761 |
| 10 |
1.3264 |
1.2488 |
0.0776 |
6.2% |
0.0239 |
1.9% |
15% |
False |
False |
29,735 |
| 20 |
1.4167 |
1.2455 |
0.1712 |
13.6% |
0.0335 |
2.7% |
9% |
False |
False |
50,035 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.3% |
0.0245 |
1.9% |
36% |
False |
False |
47,823 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.6% |
0.0201 |
1.6% |
36% |
False |
False |
42,726 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
23.6% |
0.0182 |
1.4% |
47% |
False |
False |
32,109 |
| 100 |
1.4167 |
1.0810 |
0.3357 |
26.6% |
0.0160 |
1.3% |
53% |
False |
False |
25,695 |
| 120 |
1.4167 |
1.0696 |
0.3471 |
27.5% |
0.0141 |
1.1% |
55% |
False |
False |
21,415 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3216 |
|
2.618 |
1.3001 |
|
1.618 |
1.2869 |
|
1.000 |
1.2787 |
|
0.618 |
1.2737 |
|
HIGH |
1.2655 |
|
0.618 |
1.2605 |
|
0.500 |
1.2589 |
|
0.382 |
1.2573 |
|
LOW |
1.2523 |
|
0.618 |
1.2441 |
|
1.000 |
1.2391 |
|
1.618 |
1.2309 |
|
2.618 |
1.2177 |
|
4.250 |
1.1962 |
|
|
| Fisher Pivots for day following 25-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2597 |
1.2637 |
| PP |
1.2593 |
1.2625 |
| S1 |
1.2589 |
1.2613 |
|