CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 13-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2011 |
13-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1253 |
1.1355 |
0.0102 |
0.9% |
1.2685 |
| High |
1.1365 |
1.1419 |
0.0054 |
0.5% |
1.2792 |
| Low |
1.1201 |
1.1261 |
0.0060 |
0.5% |
1.1284 |
| Close |
1.1273 |
1.1392 |
0.0119 |
1.1% |
1.1310 |
| Range |
0.0164 |
0.0158 |
-0.0006 |
-3.7% |
0.1508 |
| ATR |
0.0304 |
0.0293 |
-0.0010 |
-3.4% |
0.0000 |
| Volume |
21,747 |
27,050 |
5,303 |
24.4% |
115,199 |
|
| Daily Pivots for day following 13-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1831 |
1.1770 |
1.1479 |
|
| R3 |
1.1673 |
1.1612 |
1.1435 |
|
| R2 |
1.1515 |
1.1515 |
1.1421 |
|
| R1 |
1.1454 |
1.1454 |
1.1406 |
1.1485 |
| PP |
1.1357 |
1.1357 |
1.1357 |
1.1373 |
| S1 |
1.1296 |
1.1296 |
1.1378 |
1.1327 |
| S2 |
1.1199 |
1.1199 |
1.1363 |
|
| S3 |
1.1041 |
1.1138 |
1.1349 |
|
| S4 |
1.0883 |
1.0980 |
1.1305 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.6319 |
1.5323 |
1.2139 |
|
| R3 |
1.4811 |
1.3815 |
1.1725 |
|
| R2 |
1.3303 |
1.3303 |
1.1586 |
|
| R1 |
1.2307 |
1.2307 |
1.1448 |
1.2051 |
| PP |
1.1795 |
1.1795 |
1.1795 |
1.1668 |
| S1 |
1.0799 |
1.0799 |
1.1172 |
1.0543 |
| S2 |
1.0287 |
1.0287 |
1.1034 |
|
| S3 |
0.8779 |
0.9291 |
1.0895 |
|
| S4 |
0.7271 |
0.7783 |
1.0481 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1714 |
1.1201 |
0.0513 |
4.5% |
0.0180 |
1.6% |
37% |
False |
False |
25,205 |
| 10 |
1.2978 |
1.1201 |
0.1777 |
15.6% |
0.0326 |
2.9% |
11% |
False |
False |
27,535 |
| 20 |
1.2978 |
1.1201 |
0.1777 |
15.6% |
0.0277 |
2.4% |
11% |
False |
False |
27,581 |
| 40 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0294 |
2.6% |
6% |
False |
False |
40,831 |
| 60 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0245 |
2.1% |
6% |
False |
False |
42,642 |
| 80 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0213 |
1.9% |
6% |
False |
False |
36,328 |
| 100 |
1.4167 |
1.1195 |
0.2972 |
26.1% |
0.0193 |
1.7% |
7% |
False |
False |
29,079 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
30.2% |
0.0171 |
1.5% |
19% |
False |
False |
24,237 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2091 |
|
2.618 |
1.1833 |
|
1.618 |
1.1675 |
|
1.000 |
1.1577 |
|
0.618 |
1.1517 |
|
HIGH |
1.1419 |
|
0.618 |
1.1359 |
|
0.500 |
1.1340 |
|
0.382 |
1.1321 |
|
LOW |
1.1261 |
|
0.618 |
1.1163 |
|
1.000 |
1.1103 |
|
1.618 |
1.1005 |
|
2.618 |
1.0847 |
|
4.250 |
1.0590 |
|
|
| Fisher Pivots for day following 13-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1375 |
1.1376 |
| PP |
1.1357 |
1.1360 |
| S1 |
1.1340 |
1.1344 |
|