CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 15-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Sep-2011 |
15-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1398 |
1.1437 |
0.0039 |
0.3% |
1.2735 |
| High |
1.1489 |
1.1596 |
0.0107 |
0.9% |
1.2834 |
| Low |
1.1328 |
1.1403 |
0.0075 |
0.7% |
1.1317 |
| Close |
1.1447 |
1.1530 |
0.0083 |
0.7% |
1.1343 |
| Range |
0.0161 |
0.0193 |
0.0032 |
19.9% |
0.1517 |
| ATR |
0.0267 |
0.0262 |
-0.0005 |
-2.0% |
0.0000 |
| Volume |
10,689 |
16,221 |
5,532 |
51.8% |
10,231 |
|
| Daily Pivots for day following 15-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2089 |
1.2002 |
1.1636 |
|
| R3 |
1.1896 |
1.1809 |
1.1583 |
|
| R2 |
1.1703 |
1.1703 |
1.1565 |
|
| R1 |
1.1616 |
1.1616 |
1.1548 |
1.1660 |
| PP |
1.1510 |
1.1510 |
1.1510 |
1.1531 |
| S1 |
1.1423 |
1.1423 |
1.1512 |
1.1467 |
| S2 |
1.1317 |
1.1317 |
1.1495 |
|
| S3 |
1.1124 |
1.1230 |
1.1477 |
|
| S4 |
1.0931 |
1.1037 |
1.1424 |
|
|
| 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 |
1.1596 |
1.1234 |
0.0362 |
3.1% |
0.0173 |
1.5% |
82% |
True |
False |
8,167 |
| 10 |
1.2985 |
1.1234 |
0.1751 |
15.2% |
0.0304 |
2.6% |
17% |
False |
False |
4,951 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.2% |
0.0246 |
2.1% |
17% |
False |
False |
2,662 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.3% |
0.0270 |
2.3% |
10% |
False |
False |
1,503 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.3% |
0.0215 |
1.9% |
10% |
False |
False |
1,014 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.3% |
0.0172 |
1.5% |
10% |
False |
False |
765 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
25.8% |
0.0138 |
1.2% |
12% |
False |
False |
612 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
28.9% |
0.0116 |
1.0% |
21% |
False |
False |
511 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2416 |
|
2.618 |
1.2101 |
|
1.618 |
1.1908 |
|
1.000 |
1.1789 |
|
0.618 |
1.1715 |
|
HIGH |
1.1596 |
|
0.618 |
1.1522 |
|
0.500 |
1.1500 |
|
0.382 |
1.1477 |
|
LOW |
1.1403 |
|
0.618 |
1.1284 |
|
1.000 |
1.1210 |
|
1.618 |
1.1091 |
|
2.618 |
1.0898 |
|
4.250 |
1.0583 |
|
|
| Fisher Pivots for day following 15-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1520 |
1.1503 |
| PP |
1.1510 |
1.1475 |
| S1 |
1.1500 |
1.1448 |
|