CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 16-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Aug-2011 |
16-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2844 |
1.2801 |
-0.0043 |
-0.3% |
1.3205 |
| High |
1.2879 |
1.2918 |
0.0039 |
0.3% |
1.4150 |
| Low |
1.2556 |
1.2608 |
0.0052 |
0.4% |
1.2897 |
| Close |
1.2792 |
1.2643 |
-0.0149 |
-1.2% |
1.2928 |
| Range |
0.0323 |
0.0310 |
-0.0013 |
-4.0% |
0.1253 |
| ATR |
0.0294 |
0.0295 |
0.0001 |
0.4% |
0.0000 |
| Volume |
941 |
311 |
-630 |
-67.0% |
3,209 |
|
| Daily Pivots for day following 16-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3653 |
1.3458 |
1.2814 |
|
| R3 |
1.3343 |
1.3148 |
1.2728 |
|
| R2 |
1.3033 |
1.3033 |
1.2700 |
|
| R1 |
1.2838 |
1.2838 |
1.2671 |
1.2781 |
| PP |
1.2723 |
1.2723 |
1.2723 |
1.2694 |
| S1 |
1.2528 |
1.2528 |
1.2615 |
1.2471 |
| S2 |
1.2413 |
1.2413 |
1.2586 |
|
| S3 |
1.2103 |
1.2218 |
1.2558 |
|
| S4 |
1.1793 |
1.1908 |
1.2473 |
|
|
| 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 |
1.3974 |
1.2556 |
0.1418 |
11.2% |
0.0415 |
3.3% |
6% |
False |
False |
776 |
| 10 |
1.4150 |
1.2556 |
0.1594 |
12.6% |
0.0405 |
3.2% |
5% |
False |
False |
542 |
| 20 |
1.4150 |
1.2145 |
0.2005 |
15.9% |
0.0282 |
2.2% |
25% |
False |
False |
336 |
| 40 |
1.4150 |
1.1770 |
0.2380 |
18.8% |
0.0194 |
1.5% |
37% |
False |
False |
187 |
| 60 |
1.4150 |
1.1342 |
0.2808 |
22.2% |
0.0142 |
1.1% |
46% |
False |
False |
129 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
23.5% |
0.0108 |
0.9% |
49% |
False |
False |
97 |
| 100 |
1.4150 |
1.0821 |
0.3329 |
26.3% |
0.0088 |
0.7% |
55% |
False |
False |
78 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
27.2% |
0.0073 |
0.6% |
56% |
False |
False |
66 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4236 |
|
2.618 |
1.3730 |
|
1.618 |
1.3420 |
|
1.000 |
1.3228 |
|
0.618 |
1.3110 |
|
HIGH |
1.2918 |
|
0.618 |
1.2800 |
|
0.500 |
1.2763 |
|
0.382 |
1.2726 |
|
LOW |
1.2608 |
|
0.618 |
1.2416 |
|
1.000 |
1.2298 |
|
1.618 |
1.2106 |
|
2.618 |
1.1796 |
|
4.250 |
1.1291 |
|
|
| Fisher Pivots for day following 16-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2763 |
1.2926 |
| PP |
1.2723 |
1.2831 |
| S1 |
1.2683 |
1.2737 |
|