CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 14-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Sep-2011 |
14-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1393 |
1.1398 |
0.0005 |
0.0% |
1.2735 |
| High |
1.1448 |
1.1489 |
0.0041 |
0.4% |
1.2834 |
| Low |
1.1300 |
1.1328 |
0.0028 |
0.2% |
1.1317 |
| Close |
1.1422 |
1.1447 |
0.0025 |
0.2% |
1.1343 |
| Range |
0.0148 |
0.0161 |
0.0013 |
8.8% |
0.1517 |
| ATR |
0.0276 |
0.0267 |
-0.0008 |
-3.0% |
0.0000 |
| Volume |
7,533 |
10,689 |
3,156 |
41.9% |
10,231 |
|
| Daily Pivots for day following 14-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1904 |
1.1837 |
1.1536 |
|
| R3 |
1.1743 |
1.1676 |
1.1491 |
|
| R2 |
1.1582 |
1.1582 |
1.1477 |
|
| R1 |
1.1515 |
1.1515 |
1.1462 |
1.1549 |
| PP |
1.1421 |
1.1421 |
1.1421 |
1.1438 |
| S1 |
1.1354 |
1.1354 |
1.1432 |
1.1388 |
| S2 |
1.1260 |
1.1260 |
1.1417 |
|
| S3 |
1.1099 |
1.1193 |
1.1403 |
|
| S4 |
1.0938 |
1.1032 |
1.1358 |
|
|
| 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 |
1.1690 |
1.1234 |
0.0456 |
4.0% |
0.0185 |
1.6% |
47% |
False |
False |
5,311 |
| 10 |
1.2985 |
1.1234 |
0.1751 |
15.3% |
0.0316 |
2.8% |
12% |
False |
False |
3,402 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.3% |
0.0251 |
2.2% |
12% |
False |
False |
1,861 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0267 |
2.3% |
7% |
False |
False |
1,099 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0213 |
1.9% |
7% |
False |
False |
745 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0169 |
1.5% |
7% |
False |
False |
562 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
25.9% |
0.0136 |
1.2% |
9% |
False |
False |
450 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.1% |
0.0115 |
1.0% |
19% |
False |
False |
375 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2173 |
|
2.618 |
1.1910 |
|
1.618 |
1.1749 |
|
1.000 |
1.1650 |
|
0.618 |
1.1588 |
|
HIGH |
1.1489 |
|
0.618 |
1.1427 |
|
0.500 |
1.1409 |
|
0.382 |
1.1390 |
|
LOW |
1.1328 |
|
0.618 |
1.1229 |
|
1.000 |
1.1167 |
|
1.618 |
1.1068 |
|
2.618 |
1.0907 |
|
4.250 |
1.0644 |
|
|
| Fisher Pivots for day following 14-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1434 |
1.1419 |
| PP |
1.1421 |
1.1390 |
| S1 |
1.1409 |
1.1362 |
|