CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 06-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Sep-2011 |
06-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.2632 |
1.2735 |
0.0103 |
0.8% |
1.2417 |
| High |
1.2985 |
1.2834 |
-0.0151 |
-1.2% |
1.2985 |
| Low |
1.2622 |
1.1637 |
-0.0985 |
-7.8% |
1.2200 |
| Close |
1.2736 |
1.1654 |
-0.1082 |
-8.5% |
1.2736 |
| Range |
0.0363 |
0.1197 |
0.0834 |
229.8% |
0.0785 |
| ATR |
0.0254 |
0.0321 |
0.0067 |
26.6% |
0.0000 |
| Volume |
705 |
3,201 |
2,496 |
354.0% |
2,918 |
|
| Daily Pivots for day following 06-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.5633 |
1.4840 |
1.2312 |
|
| R3 |
1.4436 |
1.3643 |
1.1983 |
|
| R2 |
1.3239 |
1.3239 |
1.1873 |
|
| R1 |
1.2446 |
1.2446 |
1.1764 |
1.2244 |
| PP |
1.2042 |
1.2042 |
1.2042 |
1.1941 |
| S1 |
1.1249 |
1.1249 |
1.1544 |
1.1047 |
| S2 |
1.0845 |
1.0845 |
1.1435 |
|
| S3 |
0.9648 |
1.0052 |
1.1325 |
|
| S4 |
0.8451 |
0.8855 |
1.0996 |
|
|
| 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 |
1.1637 |
0.1348 |
11.6% |
0.0456 |
3.9% |
1% |
False |
True |
1,171 |
| 10 |
1.2985 |
1.1637 |
0.1348 |
11.6% |
0.0325 |
2.8% |
1% |
False |
True |
712 |
| 20 |
1.4150 |
1.1637 |
0.2513 |
21.6% |
0.0350 |
3.0% |
1% |
False |
True |
629 |
| 40 |
1.4150 |
1.1637 |
0.2513 |
21.6% |
0.0259 |
2.2% |
1% |
False |
True |
381 |
| 60 |
1.4150 |
1.1637 |
0.2513 |
21.6% |
0.0205 |
1.8% |
1% |
False |
True |
266 |
| 80 |
1.4150 |
1.1180 |
0.2970 |
25.5% |
0.0156 |
1.3% |
16% |
False |
False |
201 |
| 100 |
1.4150 |
1.1133 |
0.3017 |
25.9% |
0.0126 |
1.1% |
17% |
False |
False |
162 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
28.6% |
0.0106 |
0.9% |
25% |
False |
False |
135 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.7921 |
|
2.618 |
1.5968 |
|
1.618 |
1.4771 |
|
1.000 |
1.4031 |
|
0.618 |
1.3574 |
|
HIGH |
1.2834 |
|
0.618 |
1.2377 |
|
0.500 |
1.2236 |
|
0.382 |
1.2094 |
|
LOW |
1.1637 |
|
0.618 |
1.0897 |
|
1.000 |
1.0440 |
|
1.618 |
0.9700 |
|
2.618 |
0.8503 |
|
4.250 |
0.6550 |
|
|
| Fisher Pivots for day following 06-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2236 |
1.2311 |
| PP |
1.2042 |
1.2092 |
| S1 |
1.1848 |
1.1873 |
|