CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 26-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Aug-2011 |
26-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2630 |
1.2661 |
0.0031 |
0.2% |
1.2735 |
| High |
1.2683 |
1.2709 |
0.0026 |
0.2% |
1.2809 |
| Low |
1.2570 |
1.2314 |
-0.0256 |
-2.0% |
1.2314 |
| Close |
1.2639 |
1.2440 |
-0.0199 |
-1.6% |
1.2440 |
| Range |
0.0113 |
0.0395 |
0.0282 |
249.6% |
0.0495 |
| ATR |
0.0235 |
0.0246 |
0.0011 |
4.9% |
0.0000 |
| Volume |
474 |
343 |
-131 |
-27.6% |
1,189 |
|
| Daily Pivots for day following 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3673 |
1.3451 |
1.2657 |
|
| R3 |
1.3278 |
1.3056 |
1.2549 |
|
| R2 |
1.2883 |
1.2883 |
1.2512 |
|
| R1 |
1.2661 |
1.2661 |
1.2476 |
1.2575 |
| PP |
1.2488 |
1.2488 |
1.2488 |
1.2444 |
| S1 |
1.2266 |
1.2266 |
1.2404 |
1.2180 |
| S2 |
1.2093 |
1.2093 |
1.2368 |
|
| S3 |
1.1698 |
1.1871 |
1.2331 |
|
| S4 |
1.1303 |
1.1476 |
1.2223 |
|
|
| Weekly Pivots for week ending 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4006 |
1.3718 |
1.2712 |
|
| R3 |
1.3511 |
1.3223 |
1.2576 |
|
| R2 |
1.3016 |
1.3016 |
1.2531 |
|
| R1 |
1.2728 |
1.2728 |
1.2485 |
1.2625 |
| PP |
1.2521 |
1.2521 |
1.2521 |
1.2469 |
| S1 |
1.2233 |
1.2233 |
1.2395 |
1.2130 |
| S2 |
1.2026 |
1.2026 |
1.2349 |
|
| S3 |
1.1531 |
1.1738 |
1.2304 |
|
| S4 |
1.1036 |
1.1243 |
1.2168 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2809 |
1.2314 |
0.0495 |
4.0% |
0.0164 |
1.3% |
25% |
False |
True |
237 |
| 10 |
1.2918 |
1.2314 |
0.0604 |
4.9% |
0.0210 |
1.7% |
21% |
False |
True |
349 |
| 20 |
1.4150 |
1.2314 |
0.1836 |
14.8% |
0.0311 |
2.5% |
7% |
False |
True |
419 |
| 40 |
1.4150 |
1.1770 |
0.2380 |
19.1% |
0.0210 |
1.7% |
28% |
False |
False |
231 |
| 60 |
1.4150 |
1.1724 |
0.2426 |
19.5% |
0.0165 |
1.3% |
30% |
False |
False |
166 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
23.9% |
0.0125 |
1.0% |
42% |
False |
False |
125 |
| 100 |
1.4150 |
1.0889 |
0.3261 |
26.2% |
0.0102 |
0.8% |
48% |
False |
False |
100 |
| 120 |
1.4150 |
1.0748 |
0.3402 |
27.3% |
0.0085 |
0.7% |
50% |
False |
False |
84 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4388 |
|
2.618 |
1.3743 |
|
1.618 |
1.3348 |
|
1.000 |
1.3104 |
|
0.618 |
1.2953 |
|
HIGH |
1.2709 |
|
0.618 |
1.2558 |
|
0.500 |
1.2512 |
|
0.382 |
1.2465 |
|
LOW |
1.2314 |
|
0.618 |
1.2070 |
|
1.000 |
1.1919 |
|
1.618 |
1.1675 |
|
2.618 |
1.1280 |
|
4.250 |
1.0635 |
|
|
| Fisher Pivots for day following 26-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2512 |
1.2539 |
| PP |
1.2488 |
1.2506 |
| S1 |
1.2464 |
1.2473 |
|