CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 01-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Jul-2011 |
01-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2491 |
1.2609 |
0.0118 |
0.9% |
1.2290 |
| High |
1.2755 |
1.2939 |
0.0184 |
1.4% |
1.2755 |
| Low |
1.2490 |
1.2609 |
0.0119 |
1.0% |
1.2290 |
| Close |
1.2695 |
1.2815 |
0.0120 |
0.9% |
1.2695 |
| Range |
0.0265 |
0.0330 |
0.0065 |
24.5% |
0.0465 |
| ATR |
0.0116 |
0.0132 |
0.0015 |
13.1% |
0.0000 |
| Volume |
88 |
199 |
111 |
126.1% |
493 |
|
| Daily Pivots for day following 01-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3778 |
1.3626 |
1.2997 |
|
| R3 |
1.3448 |
1.3296 |
1.2906 |
|
| R2 |
1.3118 |
1.3118 |
1.2876 |
|
| R1 |
1.2966 |
1.2966 |
1.2845 |
1.3042 |
| PP |
1.2788 |
1.2788 |
1.2788 |
1.2826 |
| S1 |
1.2636 |
1.2636 |
1.2785 |
1.2712 |
| S2 |
1.2458 |
1.2458 |
1.2755 |
|
| S3 |
1.2128 |
1.2306 |
1.2724 |
|
| S4 |
1.1798 |
1.1976 |
1.2634 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3975 |
1.3800 |
1.2951 |
|
| R3 |
1.3510 |
1.3335 |
1.2823 |
|
| R2 |
1.3045 |
1.3045 |
1.2780 |
|
| R1 |
1.2870 |
1.2870 |
1.2738 |
1.2958 |
| PP |
1.2580 |
1.2580 |
1.2580 |
1.2624 |
| S1 |
1.2405 |
1.2405 |
1.2652 |
1.2493 |
| S2 |
1.2115 |
1.2115 |
1.2610 |
|
| S3 |
1.1650 |
1.1940 |
1.2567 |
|
| S4 |
1.1185 |
1.1475 |
1.2439 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2939 |
1.2453 |
0.0486 |
3.8% |
0.0146 |
1.1% |
74% |
True |
False |
106 |
| 10 |
1.2939 |
1.2131 |
0.0808 |
6.3% |
0.0136 |
1.1% |
85% |
True |
False |
80 |
| 20 |
1.2939 |
1.1770 |
0.1169 |
9.1% |
0.0122 |
1.0% |
89% |
True |
False |
52 |
| 40 |
1.2939 |
1.1724 |
0.1215 |
9.5% |
0.0099 |
0.8% |
90% |
True |
False |
44 |
| 60 |
1.2939 |
1.1180 |
0.1759 |
13.7% |
0.0068 |
0.5% |
93% |
True |
False |
30 |
| 80 |
1.2939 |
1.0935 |
0.2004 |
15.6% |
0.0053 |
0.4% |
94% |
True |
False |
23 |
| 100 |
1.2939 |
1.0748 |
0.2191 |
17.1% |
0.0043 |
0.3% |
94% |
True |
False |
19 |
| 120 |
1.2939 |
1.0303 |
0.2636 |
20.6% |
0.0036 |
0.3% |
95% |
True |
False |
17 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4342 |
|
2.618 |
1.3803 |
|
1.618 |
1.3473 |
|
1.000 |
1.3269 |
|
0.618 |
1.3143 |
|
HIGH |
1.2939 |
|
0.618 |
1.2813 |
|
0.500 |
1.2774 |
|
0.382 |
1.2735 |
|
LOW |
1.2609 |
|
0.618 |
1.2405 |
|
1.000 |
1.2279 |
|
1.618 |
1.2075 |
|
2.618 |
1.1745 |
|
4.250 |
1.1207 |
|
|
| Fisher Pivots for day following 01-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2801 |
1.2775 |
| PP |
1.2788 |
1.2736 |
| S1 |
1.2774 |
1.2696 |
|