CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 16-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2011 |
16-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1437 |
1.1535 |
0.0098 |
0.9% |
1.1273 |
| High |
1.1596 |
1.1539 |
-0.0057 |
-0.5% |
1.1596 |
| Low |
1.1403 |
1.1422 |
0.0019 |
0.2% |
1.1234 |
| Close |
1.1530 |
1.1447 |
-0.0083 |
-0.7% |
1.1447 |
| Range |
0.0193 |
0.0117 |
-0.0076 |
-39.4% |
0.0362 |
| ATR |
0.0262 |
0.0252 |
-0.0010 |
-4.0% |
0.0000 |
| Volume |
16,221 |
18,841 |
2,620 |
16.2% |
56,910 |
|
| Daily Pivots for day following 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1820 |
1.1751 |
1.1511 |
|
| R3 |
1.1703 |
1.1634 |
1.1479 |
|
| R2 |
1.1586 |
1.1586 |
1.1468 |
|
| R1 |
1.1517 |
1.1517 |
1.1458 |
1.1493 |
| PP |
1.1469 |
1.1469 |
1.1469 |
1.1458 |
| S1 |
1.1400 |
1.1400 |
1.1436 |
1.1376 |
| S2 |
1.1352 |
1.1352 |
1.1426 |
|
| S3 |
1.1235 |
1.1283 |
1.1415 |
|
| S4 |
1.1118 |
1.1166 |
1.1383 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2512 |
1.2341 |
1.1646 |
|
| R3 |
1.2150 |
1.1979 |
1.1547 |
|
| R2 |
1.1788 |
1.1788 |
1.1513 |
|
| R1 |
1.1617 |
1.1617 |
1.1480 |
1.1703 |
| PP |
1.1426 |
1.1426 |
1.1426 |
1.1468 |
| S1 |
1.1255 |
1.1255 |
1.1414 |
1.1341 |
| S2 |
1.1064 |
1.1064 |
1.1381 |
|
| S3 |
1.0702 |
1.0893 |
1.1347 |
|
| S4 |
1.0340 |
1.0531 |
1.1248 |
|
|
| 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 |
3.2% |
0.0157 |
1.4% |
59% |
False |
False |
11,382 |
| 10 |
1.2985 |
1.1234 |
0.1751 |
15.3% |
0.0291 |
2.5% |
12% |
False |
False |
6,784 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.3% |
0.0244 |
2.1% |
12% |
False |
False |
3,578 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0270 |
2.4% |
7% |
False |
False |
1,974 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0215 |
1.9% |
7% |
False |
False |
1,328 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.5% |
0.0173 |
1.5% |
7% |
False |
False |
1,000 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
25.9% |
0.0140 |
1.2% |
9% |
False |
False |
801 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.1% |
0.0117 |
1.0% |
19% |
False |
False |
668 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2036 |
|
2.618 |
1.1845 |
|
1.618 |
1.1728 |
|
1.000 |
1.1656 |
|
0.618 |
1.1611 |
|
HIGH |
1.1539 |
|
0.618 |
1.1494 |
|
0.500 |
1.1481 |
|
0.382 |
1.1467 |
|
LOW |
1.1422 |
|
0.618 |
1.1350 |
|
1.000 |
1.1305 |
|
1.618 |
1.1233 |
|
2.618 |
1.1116 |
|
4.250 |
1.0925 |
|
|
| Fisher Pivots for day following 16-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1481 |
1.1462 |
| PP |
1.1469 |
1.1457 |
| S1 |
1.1458 |
1.1452 |
|