CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 31-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Aug-2011 |
31-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2288 |
1.2247 |
-0.0041 |
-0.3% |
1.2735 |
| High |
1.2360 |
1.2550 |
0.0190 |
1.5% |
1.2809 |
| Low |
1.2200 |
1.2238 |
0.0038 |
0.3% |
1.2314 |
| Close |
1.2238 |
1.2472 |
0.0234 |
1.9% |
1.2440 |
| Range |
0.0160 |
0.0312 |
0.0152 |
95.0% |
0.0495 |
| ATR |
0.0240 |
0.0245 |
0.0005 |
2.2% |
0.0000 |
| Volume |
711 |
726 |
15 |
2.1% |
1,189 |
|
| Daily Pivots for day following 31-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3356 |
1.3226 |
1.2644 |
|
| R3 |
1.3044 |
1.2914 |
1.2558 |
|
| R2 |
1.2732 |
1.2732 |
1.2529 |
|
| R1 |
1.2602 |
1.2602 |
1.2501 |
1.2667 |
| PP |
1.2420 |
1.2420 |
1.2420 |
1.2453 |
| S1 |
1.2290 |
1.2290 |
1.2443 |
1.2355 |
| S2 |
1.2108 |
1.2108 |
1.2415 |
|
| S3 |
1.1796 |
1.1978 |
1.2386 |
|
| S4 |
1.1484 |
1.1666 |
1.2300 |
|
|
| 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 |
1.2709 |
1.2200 |
0.0509 |
4.1% |
0.0244 |
2.0% |
53% |
False |
False |
503 |
| 10 |
1.2858 |
1.2200 |
0.0658 |
5.3% |
0.0189 |
1.5% |
41% |
False |
False |
374 |
| 20 |
1.4150 |
1.2200 |
0.1950 |
15.6% |
0.0299 |
2.4% |
14% |
False |
False |
454 |
| 40 |
1.4150 |
1.1770 |
0.2380 |
19.1% |
0.0222 |
1.8% |
29% |
False |
False |
272 |
| 60 |
1.4150 |
1.1724 |
0.2426 |
19.5% |
0.0176 |
1.4% |
31% |
False |
False |
192 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
23.8% |
0.0134 |
1.1% |
44% |
False |
False |
146 |
| 100 |
1.4150 |
1.1000 |
0.3150 |
25.3% |
0.0108 |
0.9% |
47% |
False |
False |
117 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
26.7% |
0.0091 |
0.7% |
50% |
False |
False |
98 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3876 |
|
2.618 |
1.3367 |
|
1.618 |
1.3055 |
|
1.000 |
1.2862 |
|
0.618 |
1.2743 |
|
HIGH |
1.2550 |
|
0.618 |
1.2431 |
|
0.500 |
1.2394 |
|
0.382 |
1.2357 |
|
LOW |
1.2238 |
|
0.618 |
1.2045 |
|
1.000 |
1.1926 |
|
1.618 |
1.1733 |
|
2.618 |
1.1421 |
|
4.250 |
1.0912 |
|
|
| Fisher Pivots for day following 31-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2446 |
1.2440 |
| PP |
1.2420 |
1.2407 |
| S1 |
1.2394 |
1.2375 |
|