CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 09-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Sep-2011 |
09-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1659 |
1.1461 |
-0.0198 |
-1.7% |
1.2735 |
| High |
1.1690 |
1.1516 |
-0.0174 |
-1.5% |
1.2834 |
| Low |
1.1439 |
1.1317 |
-0.0122 |
-1.1% |
1.1317 |
| Close |
1.1467 |
1.1343 |
-0.0124 |
-1.1% |
1.1343 |
| Range |
0.0251 |
0.0199 |
-0.0052 |
-20.7% |
0.1517 |
| ATR |
0.0302 |
0.0295 |
-0.0007 |
-2.4% |
0.0000 |
| Volume |
1,943 |
2,768 |
825 |
42.5% |
10,231 |
|
| Daily Pivots for day following 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1989 |
1.1865 |
1.1452 |
|
| R3 |
1.1790 |
1.1666 |
1.1398 |
|
| R2 |
1.1591 |
1.1591 |
1.1379 |
|
| R1 |
1.1467 |
1.1467 |
1.1361 |
1.1430 |
| PP |
1.1392 |
1.1392 |
1.1392 |
1.1373 |
| S1 |
1.1268 |
1.1268 |
1.1325 |
1.1231 |
| S2 |
1.1193 |
1.1193 |
1.1307 |
|
| S3 |
1.0994 |
1.1069 |
1.1288 |
|
| S4 |
1.0795 |
1.0870 |
1.1234 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.6382 |
1.5380 |
1.2177 |
|
| R3 |
1.4865 |
1.3863 |
1.1760 |
|
| R2 |
1.3348 |
1.3348 |
1.1621 |
|
| R1 |
1.2346 |
1.2346 |
1.1482 |
1.2089 |
| PP |
1.1831 |
1.1831 |
1.1831 |
1.1703 |
| S1 |
1.0829 |
1.0829 |
1.1204 |
1.0572 |
| S2 |
1.0314 |
1.0314 |
1.1065 |
|
| S3 |
0.8797 |
0.9312 |
1.0926 |
|
| S4 |
0.7280 |
0.7795 |
1.0509 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2985 |
1.1317 |
0.1668 |
14.7% |
0.0425 |
3.7% |
2% |
False |
True |
2,187 |
| 10 |
1.2985 |
1.1317 |
0.1668 |
14.7% |
0.0348 |
3.1% |
2% |
False |
True |
1,349 |
| 20 |
1.3295 |
1.1317 |
0.1978 |
17.4% |
0.0279 |
2.5% |
1% |
False |
True |
887 |
| 40 |
1.4150 |
1.1317 |
0.2833 |
25.0% |
0.0263 |
2.3% |
1% |
False |
True |
554 |
| 60 |
1.4150 |
1.1317 |
0.2833 |
25.0% |
0.0208 |
1.8% |
1% |
False |
True |
382 |
| 80 |
1.4150 |
1.1317 |
0.2833 |
25.0% |
0.0163 |
1.4% |
1% |
False |
True |
289 |
| 100 |
1.4150 |
1.1133 |
0.3017 |
26.6% |
0.0132 |
1.2% |
7% |
False |
False |
232 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.3% |
0.0111 |
1.0% |
16% |
False |
False |
193 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2362 |
|
2.618 |
1.2037 |
|
1.618 |
1.1838 |
|
1.000 |
1.1715 |
|
0.618 |
1.1639 |
|
HIGH |
1.1516 |
|
0.618 |
1.1440 |
|
0.500 |
1.1417 |
|
0.382 |
1.1393 |
|
LOW |
1.1317 |
|
0.618 |
1.1194 |
|
1.000 |
1.1118 |
|
1.618 |
1.0995 |
|
2.618 |
1.0796 |
|
4.250 |
1.0471 |
|
|
| Fisher Pivots for day following 09-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1417 |
1.1535 |
| PP |
1.1392 |
1.1471 |
| S1 |
1.1368 |
1.1407 |
|