CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 01-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Aug-2011 |
01-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2247 |
1.2439 |
0.0192 |
1.6% |
1.2735 |
| High |
1.2550 |
1.2660 |
0.0110 |
0.9% |
1.2809 |
| Low |
1.2238 |
1.2410 |
0.0172 |
1.4% |
1.2314 |
| Close |
1.2472 |
1.2642 |
0.0170 |
1.4% |
1.2440 |
| Range |
0.0312 |
0.0250 |
-0.0062 |
-19.9% |
0.0495 |
| ATR |
0.0245 |
0.0245 |
0.0000 |
0.2% |
0.0000 |
| Volume |
726 |
512 |
-214 |
-29.5% |
1,189 |
|
| Daily Pivots for day following 01-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3321 |
1.3231 |
1.2780 |
|
| R3 |
1.3071 |
1.2981 |
1.2711 |
|
| R2 |
1.2821 |
1.2821 |
1.2688 |
|
| R1 |
1.2731 |
1.2731 |
1.2665 |
1.2776 |
| PP |
1.2571 |
1.2571 |
1.2571 |
1.2593 |
| S1 |
1.2481 |
1.2481 |
1.2619 |
1.2526 |
| S2 |
1.2321 |
1.2321 |
1.2596 |
|
| S3 |
1.2071 |
1.2231 |
1.2573 |
|
| S4 |
1.1821 |
1.1981 |
1.2505 |
|
|
| 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 |
4.0% |
0.0271 |
2.1% |
87% |
False |
False |
511 |
| 10 |
1.2858 |
1.2200 |
0.0658 |
5.2% |
0.0198 |
1.6% |
67% |
False |
False |
371 |
| 20 |
1.4150 |
1.2200 |
0.1950 |
15.4% |
0.0297 |
2.4% |
23% |
False |
False |
465 |
| 40 |
1.4150 |
1.1770 |
0.2380 |
18.8% |
0.0226 |
1.8% |
37% |
False |
False |
284 |
| 60 |
1.4150 |
1.1724 |
0.2426 |
19.2% |
0.0180 |
1.4% |
38% |
False |
False |
201 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
23.5% |
0.0137 |
1.1% |
49% |
False |
False |
152 |
| 100 |
1.4150 |
1.1133 |
0.3017 |
23.9% |
0.0111 |
0.9% |
50% |
False |
False |
123 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
26.3% |
0.0093 |
0.7% |
55% |
False |
False |
103 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3723 |
|
2.618 |
1.3315 |
|
1.618 |
1.3065 |
|
1.000 |
1.2910 |
|
0.618 |
1.2815 |
|
HIGH |
1.2660 |
|
0.618 |
1.2565 |
|
0.500 |
1.2535 |
|
0.382 |
1.2506 |
|
LOW |
1.2410 |
|
0.618 |
1.2256 |
|
1.000 |
1.2160 |
|
1.618 |
1.2006 |
|
2.618 |
1.1756 |
|
4.250 |
1.1348 |
|
|
| Fisher Pivots for day following 01-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2606 |
1.2571 |
| PP |
1.2571 |
1.2501 |
| S1 |
1.2535 |
1.2430 |
|