CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 05-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Aug-2011 |
05-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2974 |
1.3090 |
0.0116 |
0.9% |
1.2609 |
| High |
1.3130 |
1.3232 |
0.0102 |
0.8% |
1.3232 |
| Low |
1.2855 |
1.2975 |
0.0120 |
0.9% |
1.2609 |
| Close |
1.3053 |
1.3072 |
0.0019 |
0.1% |
1.3072 |
| Range |
0.0275 |
0.0257 |
-0.0018 |
-6.5% |
0.0623 |
| ATR |
0.0165 |
0.0171 |
0.0007 |
4.0% |
0.0000 |
| Volume |
305 |
386 |
81 |
26.6% |
1,694 |
|
| Daily Pivots for day following 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3864 |
1.3725 |
1.3213 |
|
| R3 |
1.3607 |
1.3468 |
1.3143 |
|
| R2 |
1.3350 |
1.3350 |
1.3119 |
|
| R1 |
1.3211 |
1.3211 |
1.3096 |
1.3152 |
| PP |
1.3093 |
1.3093 |
1.3093 |
1.3064 |
| S1 |
1.2954 |
1.2954 |
1.3048 |
1.2895 |
| S2 |
1.2836 |
1.2836 |
1.3025 |
|
| S3 |
1.2579 |
1.2697 |
1.3001 |
|
| S4 |
1.2322 |
1.2440 |
1.2931 |
|
|
| Weekly Pivots for week ending 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4840 |
1.4579 |
1.3415 |
|
| R3 |
1.4217 |
1.3956 |
1.3243 |
|
| R2 |
1.3594 |
1.3594 |
1.3186 |
|
| R1 |
1.3333 |
1.3333 |
1.3129 |
1.3464 |
| PP |
1.2971 |
1.2971 |
1.2971 |
1.3036 |
| S1 |
1.2710 |
1.2710 |
1.3015 |
1.2841 |
| S2 |
1.2348 |
1.2348 |
1.2958 |
|
| S3 |
1.1725 |
1.2087 |
1.2901 |
|
| S4 |
1.1102 |
1.1464 |
1.2729 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.3232 |
1.2609 |
0.0623 |
4.8% |
0.0298 |
2.3% |
74% |
True |
False |
338 |
| 10 |
1.3232 |
1.2290 |
0.0942 |
7.2% |
0.0208 |
1.6% |
83% |
True |
False |
218 |
| 20 |
1.3232 |
1.1943 |
0.1289 |
9.9% |
0.0157 |
1.2% |
88% |
True |
False |
123 |
| 40 |
1.3232 |
1.1724 |
0.1508 |
11.5% |
0.0127 |
1.0% |
89% |
True |
False |
78 |
| 60 |
1.3232 |
1.1180 |
0.2052 |
15.7% |
0.0088 |
0.7% |
92% |
True |
False |
55 |
| 80 |
1.3232 |
1.1133 |
0.2099 |
16.1% |
0.0067 |
0.5% |
92% |
True |
False |
42 |
| 100 |
1.3232 |
1.0821 |
0.2411 |
18.4% |
0.0055 |
0.4% |
93% |
True |
False |
34 |
| 120 |
1.3232 |
1.0378 |
0.2854 |
21.8% |
0.0046 |
0.3% |
94% |
True |
False |
29 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4324 |
|
2.618 |
1.3905 |
|
1.618 |
1.3648 |
|
1.000 |
1.3489 |
|
0.618 |
1.3391 |
|
HIGH |
1.3232 |
|
0.618 |
1.3134 |
|
0.500 |
1.3104 |
|
0.382 |
1.3073 |
|
LOW |
1.2975 |
|
0.618 |
1.2816 |
|
1.000 |
1.2718 |
|
1.618 |
1.2559 |
|
2.618 |
1.2302 |
|
4.250 |
1.1883 |
|
|
| Fisher Pivots for day following 05-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.3104 |
1.3063 |
| PP |
1.3093 |
1.3053 |
| S1 |
1.3083 |
1.3044 |
|