CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 15-Aug-2011
Day Change Summary
Previous Current
12-Aug-2011 15-Aug-2011 Change Change % Previous Week
Open 1.3184 1.2844 -0.0340 -2.6% 1.3205
High 1.3295 1.2879 -0.0416 -3.1% 1.4150
Low 1.2897 1.2556 -0.0341 -2.6% 1.2897
Close 1.2928 1.2792 -0.0136 -1.1% 1.2928
Range 0.0398 0.0323 -0.0075 -18.8% 0.1253
ATR 0.0288 0.0294 0.0006 2.1% 0.0000
Volume 1,100 941 -159 -14.5% 3,209
Daily Pivots for day following 15-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.3711 1.3575 1.2970
R3 1.3388 1.3252 1.2881
R2 1.3065 1.3065 1.2851
R1 1.2929 1.2929 1.2822 1.2836
PP 1.2742 1.2742 1.2742 1.2696
S1 1.2606 1.2606 1.2762 1.2513
S2 1.2419 1.2419 1.2733
S3 1.2096 1.2283 1.2703
S4 1.1773 1.1960 1.2614
Weekly Pivots for week ending 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.7084 1.6259 1.3617
R3 1.5831 1.5006 1.3273
R2 1.4578 1.4578 1.3158
R1 1.3753 1.3753 1.3043 1.3539
PP 1.3325 1.3325 1.3325 1.3218
S1 1.2500 1.2500 1.2813 1.2286
S2 1.2072 1.2072 1.2698
S3 1.0819 1.1247 1.2583
S4 0.9566 0.9994 1.2239
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.4150 1.2556 0.1594 12.5% 0.0540 4.2% 15% False True 783
10 1.4150 1.2556 0.1594 12.5% 0.0412 3.2% 15% False True 564
20 1.4150 1.2131 0.2019 15.8% 0.0274 2.1% 33% False False 322
40 1.4150 1.1770 0.2380 18.6% 0.0189 1.5% 43% False False 180
60 1.4150 1.1342 0.2808 22.0% 0.0137 1.1% 52% False False 124
80 1.4150 1.1180 0.2970 23.2% 0.0104 0.8% 54% False False 94
100 1.4150 1.0821 0.3329 26.0% 0.0084 0.7% 59% False False 75
120 1.4150 1.0705 0.3445 26.9% 0.0070 0.6% 61% False False 63
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0065
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1.4252
2.618 1.3725
1.618 1.3402
1.000 1.3202
0.618 1.3079
HIGH 1.2879
0.618 1.2756
0.500 1.2718
0.382 1.2679
LOW 1.2556
0.618 1.2356
1.000 1.2233
1.618 1.2033
2.618 1.1710
4.250 1.1183
Fisher Pivots for day following 15-Aug-2011
Pivot 1 day 3 day
R1 1.2767 1.3202
PP 1.2742 1.3065
S1 1.2718 1.2929

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These figures are updated between 7pm and 10pm EST after a trading day.

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