CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 13-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2011 |
13-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1273 |
1.1393 |
0.0120 |
1.1% |
1.2735 |
| High |
1.1399 |
1.1448 |
0.0049 |
0.4% |
1.2834 |
| Low |
1.1234 |
1.1300 |
0.0066 |
0.6% |
1.1317 |
| Close |
1.1310 |
1.1422 |
0.0112 |
1.0% |
1.1343 |
| Range |
0.0165 |
0.0148 |
-0.0017 |
-10.3% |
0.1517 |
| ATR |
0.0285 |
0.0276 |
-0.0010 |
-3.4% |
0.0000 |
| Volume |
3,626 |
7,533 |
3,907 |
107.7% |
10,231 |
|
| Daily Pivots for day following 13-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1834 |
1.1776 |
1.1503 |
|
| R3 |
1.1686 |
1.1628 |
1.1463 |
|
| R2 |
1.1538 |
1.1538 |
1.1449 |
|
| R1 |
1.1480 |
1.1480 |
1.1436 |
1.1509 |
| PP |
1.1390 |
1.1390 |
1.1390 |
1.1405 |
| S1 |
1.1332 |
1.1332 |
1.1408 |
1.1361 |
| S2 |
1.1242 |
1.1242 |
1.1395 |
|
| S3 |
1.1094 |
1.1184 |
1.1381 |
|
| S4 |
1.0946 |
1.1036 |
1.1341 |
|
|
| 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 |
1.1753 |
1.1234 |
0.0519 |
4.5% |
0.0175 |
1.5% |
36% |
False |
False |
3,637 |
| 10 |
1.2985 |
1.1234 |
0.1751 |
15.3% |
0.0316 |
2.8% |
11% |
False |
False |
2,404 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.3% |
0.0259 |
2.3% |
11% |
False |
False |
1,343 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0266 |
2.3% |
6% |
False |
False |
832 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0212 |
1.9% |
6% |
False |
False |
567 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0167 |
1.5% |
6% |
False |
False |
428 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
26.0% |
0.0135 |
1.2% |
8% |
False |
False |
343 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.1% |
0.0113 |
1.0% |
18% |
False |
False |
286 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2077 |
|
2.618 |
1.1835 |
|
1.618 |
1.1687 |
|
1.000 |
1.1596 |
|
0.618 |
1.1539 |
|
HIGH |
1.1448 |
|
0.618 |
1.1391 |
|
0.500 |
1.1374 |
|
0.382 |
1.1357 |
|
LOW |
1.1300 |
|
0.618 |
1.1209 |
|
1.000 |
1.1152 |
|
1.618 |
1.1061 |
|
2.618 |
1.0913 |
|
4.250 |
1.0671 |
|
|
| Fisher Pivots for day following 13-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1406 |
1.1406 |
| PP |
1.1390 |
1.1391 |
| S1 |
1.1374 |
1.1375 |
|