CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 08-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Sep-2011 |
08-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1640 |
1.1659 |
0.0019 |
0.2% |
1.2417 |
| High |
1.1753 |
1.1690 |
-0.0063 |
-0.5% |
1.2985 |
| Low |
1.1640 |
1.1439 |
-0.0201 |
-1.7% |
1.2200 |
| Close |
1.1690 |
1.1467 |
-0.0223 |
-1.9% |
1.2736 |
| Range |
0.0113 |
0.0251 |
0.0138 |
122.1% |
0.0785 |
| ATR |
0.0306 |
0.0302 |
-0.0004 |
-1.3% |
0.0000 |
| Volume |
2,319 |
1,943 |
-376 |
-16.2% |
2,918 |
|
| Daily Pivots for day following 08-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2285 |
1.2127 |
1.1605 |
|
| R3 |
1.2034 |
1.1876 |
1.1536 |
|
| R2 |
1.1783 |
1.1783 |
1.1513 |
|
| R1 |
1.1625 |
1.1625 |
1.1490 |
1.1579 |
| PP |
1.1532 |
1.1532 |
1.1532 |
1.1509 |
| S1 |
1.1374 |
1.1374 |
1.1444 |
1.1328 |
| S2 |
1.1281 |
1.1281 |
1.1421 |
|
| S3 |
1.1030 |
1.1123 |
1.1398 |
|
| S4 |
1.0779 |
1.0872 |
1.1329 |
|
|
| 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 |
1.1439 |
0.1546 |
13.5% |
0.0435 |
3.8% |
2% |
False |
True |
1,736 |
| 10 |
1.2985 |
1.1439 |
0.1546 |
13.5% |
0.0339 |
3.0% |
2% |
False |
True |
1,119 |
| 20 |
1.3848 |
1.1439 |
0.2409 |
21.0% |
0.0307 |
2.7% |
1% |
False |
True |
795 |
| 40 |
1.4150 |
1.1439 |
0.2711 |
23.6% |
0.0262 |
2.3% |
1% |
False |
True |
487 |
| 60 |
1.4150 |
1.1439 |
0.2711 |
23.6% |
0.0207 |
1.8% |
1% |
False |
True |
336 |
| 80 |
1.4150 |
1.1342 |
0.2808 |
24.5% |
0.0161 |
1.4% |
4% |
False |
False |
254 |
| 100 |
1.4150 |
1.1133 |
0.3017 |
26.3% |
0.0130 |
1.1% |
11% |
False |
False |
204 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.0% |
0.0109 |
1.0% |
19% |
False |
False |
170 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2757 |
|
2.618 |
1.2347 |
|
1.618 |
1.2096 |
|
1.000 |
1.1941 |
|
0.618 |
1.1845 |
|
HIGH |
1.1690 |
|
0.618 |
1.1594 |
|
0.500 |
1.1565 |
|
0.382 |
1.1535 |
|
LOW |
1.1439 |
|
0.618 |
1.1284 |
|
1.000 |
1.1188 |
|
1.618 |
1.1033 |
|
2.618 |
1.0782 |
|
4.250 |
1.0372 |
|
|
| Fisher Pivots for day following 08-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1565 |
1.2137 |
| PP |
1.1532 |
1.1913 |
| S1 |
1.1500 |
1.1690 |
|