CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 26-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Aug-2011 |
26-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2578 |
1.2610 |
0.0032 |
0.3% |
1.2675 |
| High |
1.2655 |
1.2678 |
0.0023 |
0.2% |
1.2779 |
| Low |
1.2523 |
1.2265 |
-0.0258 |
-2.1% |
1.2265 |
| Close |
1.2601 |
1.2395 |
-0.0206 |
-1.6% |
1.2395 |
| Range |
0.0132 |
0.0413 |
0.0281 |
212.9% |
0.0514 |
| ATR |
0.0262 |
0.0273 |
0.0011 |
4.1% |
0.0000 |
| Volume |
23,764 |
38,080 |
14,316 |
60.2% |
113,055 |
|
| Daily Pivots for day following 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3685 |
1.3453 |
1.2622 |
|
| R3 |
1.3272 |
1.3040 |
1.2509 |
|
| R2 |
1.2859 |
1.2859 |
1.2471 |
|
| R1 |
1.2627 |
1.2627 |
1.2433 |
1.2537 |
| PP |
1.2446 |
1.2446 |
1.2446 |
1.2401 |
| S1 |
1.2214 |
1.2214 |
1.2357 |
1.2124 |
| S2 |
1.2033 |
1.2033 |
1.2319 |
|
| S3 |
1.1620 |
1.1801 |
1.2281 |
|
| S4 |
1.1207 |
1.1388 |
1.2168 |
|
|
| Weekly Pivots for week ending 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4022 |
1.3722 |
1.2678 |
|
| R3 |
1.3508 |
1.3208 |
1.2536 |
|
| R2 |
1.2994 |
1.2994 |
1.2489 |
|
| R1 |
1.2694 |
1.2694 |
1.2442 |
1.2587 |
| PP |
1.2480 |
1.2480 |
1.2480 |
1.2426 |
| S1 |
1.2180 |
1.2180 |
1.2348 |
1.2073 |
| S2 |
1.1966 |
1.1966 |
1.2301 |
|
| S3 |
1.1452 |
1.1666 |
1.2254 |
|
| S4 |
1.0938 |
1.1152 |
1.2112 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2779 |
1.2265 |
0.0514 |
4.1% |
0.0185 |
1.5% |
25% |
False |
True |
22,611 |
| 10 |
1.2898 |
1.2265 |
0.0633 |
5.1% |
0.0239 |
1.9% |
21% |
False |
True |
28,773 |
| 20 |
1.4167 |
1.2265 |
0.1902 |
15.3% |
0.0341 |
2.7% |
7% |
False |
True |
48,406 |
| 40 |
1.4167 |
1.1731 |
0.2436 |
19.7% |
0.0250 |
2.0% |
27% |
False |
False |
47,347 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
19.9% |
0.0206 |
1.7% |
28% |
False |
False |
43,344 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
24.0% |
0.0186 |
1.5% |
40% |
False |
False |
32,585 |
| 100 |
1.4167 |
1.0810 |
0.3357 |
27.1% |
0.0164 |
1.3% |
47% |
False |
False |
26,076 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
27.8% |
0.0144 |
1.2% |
49% |
False |
False |
21,732 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4433 |
|
2.618 |
1.3759 |
|
1.618 |
1.3346 |
|
1.000 |
1.3091 |
|
0.618 |
1.2933 |
|
HIGH |
1.2678 |
|
0.618 |
1.2520 |
|
0.500 |
1.2472 |
|
0.382 |
1.2423 |
|
LOW |
1.2265 |
|
0.618 |
1.2010 |
|
1.000 |
1.1852 |
|
1.618 |
1.1597 |
|
2.618 |
1.1184 |
|
4.250 |
1.0510 |
|
|
| Fisher Pivots for day following 26-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2472 |
1.2491 |
| PP |
1.2446 |
1.2459 |
| S1 |
1.2421 |
1.2427 |
|