CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 16-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2011 |
16-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1406 |
1.1493 |
0.0087 |
0.8% |
1.1253 |
| High |
1.1565 |
1.1499 |
-0.0066 |
-0.6% |
1.1565 |
| Low |
1.1369 |
1.1394 |
0.0025 |
0.2% |
1.1201 |
| Close |
1.1499 |
1.1416 |
-0.0083 |
-0.7% |
1.1416 |
| Range |
0.0196 |
0.0105 |
-0.0091 |
-46.4% |
0.0364 |
| ATR |
0.0277 |
0.0265 |
-0.0012 |
-4.4% |
0.0000 |
| Volume |
19,094 |
3,412 |
-15,682 |
-82.1% |
96,951 |
|
| Daily Pivots for day following 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1751 |
1.1689 |
1.1474 |
|
| R3 |
1.1646 |
1.1584 |
1.1445 |
|
| R2 |
1.1541 |
1.1541 |
1.1435 |
|
| R1 |
1.1479 |
1.1479 |
1.1426 |
1.1458 |
| PP |
1.1436 |
1.1436 |
1.1436 |
1.1426 |
| S1 |
1.1374 |
1.1374 |
1.1406 |
1.1353 |
| S2 |
1.1331 |
1.1331 |
1.1397 |
|
| S3 |
1.1226 |
1.1269 |
1.1387 |
|
| S4 |
1.1121 |
1.1164 |
1.1358 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2486 |
1.2315 |
1.1616 |
|
| R3 |
1.2122 |
1.1951 |
1.1516 |
|
| R2 |
1.1758 |
1.1758 |
1.1483 |
|
| R1 |
1.1587 |
1.1587 |
1.1449 |
1.1673 |
| PP |
1.1394 |
1.1394 |
1.1394 |
1.1437 |
| S1 |
1.1223 |
1.1223 |
1.1383 |
1.1309 |
| S2 |
1.1030 |
1.1030 |
1.1349 |
|
| S3 |
1.0666 |
1.0859 |
1.1316 |
|
| S4 |
1.0302 |
1.0495 |
1.1216 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1565 |
1.1201 |
0.0364 |
3.2% |
0.0157 |
1.4% |
59% |
False |
False |
19,390 |
| 10 |
1.2978 |
1.1201 |
0.1777 |
15.6% |
0.0297 |
2.6% |
12% |
False |
False |
24,911 |
| 20 |
1.2978 |
1.1201 |
0.1777 |
15.6% |
0.0258 |
2.3% |
12% |
False |
False |
24,288 |
| 40 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0294 |
2.6% |
7% |
False |
False |
38,864 |
| 60 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0246 |
2.2% |
7% |
False |
False |
41,720 |
| 80 |
1.4167 |
1.1201 |
0.2966 |
26.0% |
0.0215 |
1.9% |
7% |
False |
False |
36,923 |
| 100 |
1.4167 |
1.1195 |
0.2972 |
26.0% |
0.0194 |
1.7% |
7% |
False |
False |
29,560 |
| 120 |
1.4167 |
1.0725 |
0.3442 |
30.2% |
0.0172 |
1.5% |
20% |
False |
False |
24,638 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1945 |
|
2.618 |
1.1774 |
|
1.618 |
1.1669 |
|
1.000 |
1.1604 |
|
0.618 |
1.1564 |
|
HIGH |
1.1499 |
|
0.618 |
1.1459 |
|
0.500 |
1.1447 |
|
0.382 |
1.1434 |
|
LOW |
1.1394 |
|
0.618 |
1.1329 |
|
1.000 |
1.1289 |
|
1.618 |
1.1224 |
|
2.618 |
1.1119 |
|
4.250 |
1.0948 |
|
|
| Fisher Pivots for day following 16-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1447 |
1.1431 |
| PP |
1.1436 |
1.1426 |
| S1 |
1.1426 |
1.1421 |
|