CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 02-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Sep-2011 |
02-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2439 |
1.2632 |
0.0193 |
1.6% |
1.2417 |
| High |
1.2660 |
1.2985 |
0.0325 |
2.6% |
1.2985 |
| Low |
1.2410 |
1.2622 |
0.0212 |
1.7% |
1.2200 |
| Close |
1.2642 |
1.2736 |
0.0094 |
0.7% |
1.2736 |
| Range |
0.0250 |
0.0363 |
0.0113 |
45.2% |
0.0785 |
| ATR |
0.0245 |
0.0254 |
0.0008 |
3.4% |
0.0000 |
| Volume |
512 |
705 |
193 |
37.7% |
2,918 |
|
| Daily Pivots for day following 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3870 |
1.3666 |
1.2936 |
|
| R3 |
1.3507 |
1.3303 |
1.2836 |
|
| R2 |
1.3144 |
1.3144 |
1.2803 |
|
| R1 |
1.2940 |
1.2940 |
1.2769 |
1.3042 |
| PP |
1.2781 |
1.2781 |
1.2781 |
1.2832 |
| S1 |
1.2577 |
1.2577 |
1.2703 |
1.2679 |
| S2 |
1.2418 |
1.2418 |
1.2669 |
|
| S3 |
1.2055 |
1.2214 |
1.2636 |
|
| S4 |
1.1692 |
1.1851 |
1.2536 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.4995 |
1.4651 |
1.3168 |
|
| R3 |
1.4210 |
1.3866 |
1.2952 |
|
| R2 |
1.3425 |
1.3425 |
1.2880 |
|
| R1 |
1.3081 |
1.3081 |
1.2808 |
1.3253 |
| PP |
1.2640 |
1.2640 |
1.2640 |
1.2727 |
| S1 |
1.2296 |
1.2296 |
1.2664 |
1.2468 |
| S2 |
1.1855 |
1.1855 |
1.2592 |
|
| S3 |
1.1070 |
1.1511 |
1.2520 |
|
| S4 |
1.0285 |
1.0726 |
1.2304 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2985 |
1.2200 |
0.0785 |
6.2% |
0.0265 |
2.1% |
68% |
True |
False |
583 |
| 10 |
1.2985 |
1.2200 |
0.0785 |
6.2% |
0.0215 |
1.7% |
68% |
True |
False |
410 |
| 20 |
1.4150 |
1.2200 |
0.1950 |
15.3% |
0.0303 |
2.4% |
27% |
False |
False |
481 |
| 40 |
1.4150 |
1.1943 |
0.2207 |
17.3% |
0.0230 |
1.8% |
36% |
False |
False |
302 |
| 60 |
1.4150 |
1.1724 |
0.2426 |
19.0% |
0.0185 |
1.5% |
42% |
False |
False |
212 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
23.3% |
0.0141 |
1.1% |
52% |
False |
False |
161 |
| 100 |
1.4150 |
1.1133 |
0.3017 |
23.7% |
0.0114 |
0.9% |
53% |
False |
False |
130 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
26.1% |
0.0096 |
0.8% |
58% |
False |
False |
108 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.4528 |
|
2.618 |
1.3935 |
|
1.618 |
1.3572 |
|
1.000 |
1.3348 |
|
0.618 |
1.3209 |
|
HIGH |
1.2985 |
|
0.618 |
1.2846 |
|
0.500 |
1.2804 |
|
0.382 |
1.2761 |
|
LOW |
1.2622 |
|
0.618 |
1.2398 |
|
1.000 |
1.2259 |
|
1.618 |
1.2035 |
|
2.618 |
1.1672 |
|
4.250 |
1.1079 |
|
|
| Fisher Pivots for day following 02-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2804 |
1.2695 |
| PP |
1.2781 |
1.2653 |
| S1 |
1.2759 |
1.2612 |
|