CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 29-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Aug-2011 |
29-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2610 |
1.2399 |
-0.0211 |
-1.7% |
1.2675 |
| High |
1.2678 |
1.2404 |
-0.0274 |
-2.2% |
1.2779 |
| Low |
1.2265 |
1.2143 |
-0.0122 |
-1.0% |
1.2265 |
| Close |
1.2395 |
1.2274 |
-0.0121 |
-1.0% |
1.2395 |
| Range |
0.0413 |
0.0261 |
-0.0152 |
-36.8% |
0.0514 |
| ATR |
0.0273 |
0.0272 |
-0.0001 |
-0.3% |
0.0000 |
| Volume |
38,080 |
25,369 |
-12,711 |
-33.4% |
113,055 |
|
| Daily Pivots for day following 29-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3057 |
1.2926 |
1.2418 |
|
| R3 |
1.2796 |
1.2665 |
1.2346 |
|
| R2 |
1.2535 |
1.2535 |
1.2322 |
|
| R1 |
1.2404 |
1.2404 |
1.2298 |
1.2339 |
| PP |
1.2274 |
1.2274 |
1.2274 |
1.2241 |
| S1 |
1.2143 |
1.2143 |
1.2250 |
1.2078 |
| S2 |
1.2013 |
1.2013 |
1.2226 |
|
| S3 |
1.1752 |
1.1882 |
1.2202 |
|
| S4 |
1.1491 |
1.1621 |
1.2130 |
|
|
| 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 |
1.2751 |
1.2143 |
0.0608 |
5.0% |
0.0214 |
1.7% |
22% |
False |
True |
24,392 |
| 10 |
1.2884 |
1.2143 |
0.0741 |
6.0% |
0.0227 |
1.9% |
18% |
False |
True |
27,627 |
| 20 |
1.4167 |
1.2143 |
0.2024 |
16.5% |
0.0336 |
2.7% |
6% |
False |
True |
46,486 |
| 40 |
1.4167 |
1.1738 |
0.2429 |
19.8% |
0.0252 |
2.1% |
22% |
False |
False |
46,707 |
| 60 |
1.4167 |
1.1701 |
0.2466 |
20.1% |
0.0208 |
1.7% |
23% |
False |
False |
43,741 |
| 80 |
1.4167 |
1.1195 |
0.2972 |
24.2% |
0.0187 |
1.5% |
36% |
False |
False |
32,900 |
| 100 |
1.4167 |
1.0910 |
0.3257 |
26.5% |
0.0165 |
1.3% |
42% |
False |
False |
26,329 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
28.0% |
0.0146 |
1.2% |
45% |
False |
False |
21,944 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3513 |
|
2.618 |
1.3087 |
|
1.618 |
1.2826 |
|
1.000 |
1.2665 |
|
0.618 |
1.2565 |
|
HIGH |
1.2404 |
|
0.618 |
1.2304 |
|
0.500 |
1.2274 |
|
0.382 |
1.2243 |
|
LOW |
1.2143 |
|
0.618 |
1.1982 |
|
1.000 |
1.1882 |
|
1.618 |
1.1721 |
|
2.618 |
1.1460 |
|
4.250 |
1.1034 |
|
|
| Fisher Pivots for day following 29-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2274 |
1.2411 |
| PP |
1.2274 |
1.2365 |
| S1 |
1.2274 |
1.2320 |
|