CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 19-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Sep-2011 |
19-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1535 |
1.1359 |
-0.0176 |
-1.5% |
1.1273 |
| High |
1.1539 |
1.1447 |
-0.0092 |
-0.8% |
1.1596 |
| Low |
1.1422 |
1.1289 |
-0.0133 |
-1.2% |
1.1234 |
| Close |
1.1447 |
1.1360 |
-0.0087 |
-0.8% |
1.1447 |
| Range |
0.0117 |
0.0158 |
0.0041 |
35.0% |
0.0362 |
| ATR |
0.0252 |
0.0245 |
-0.0007 |
-2.7% |
0.0000 |
| Volume |
18,841 |
19,821 |
980 |
5.2% |
56,910 |
|
| Daily Pivots for day following 19-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1839 |
1.1758 |
1.1447 |
|
| R3 |
1.1681 |
1.1600 |
1.1403 |
|
| R2 |
1.1523 |
1.1523 |
1.1389 |
|
| R1 |
1.1442 |
1.1442 |
1.1374 |
1.1483 |
| PP |
1.1365 |
1.1365 |
1.1365 |
1.1386 |
| S1 |
1.1284 |
1.1284 |
1.1346 |
1.1325 |
| S2 |
1.1207 |
1.1207 |
1.1331 |
|
| S3 |
1.1049 |
1.1126 |
1.1317 |
|
| S4 |
1.0891 |
1.0968 |
1.1273 |
|
|
| 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 |
1.1289 |
0.0307 |
2.7% |
0.0155 |
1.4% |
23% |
False |
True |
14,621 |
| 10 |
1.2834 |
1.1234 |
0.1600 |
14.1% |
0.0270 |
2.4% |
8% |
False |
False |
8,696 |
| 20 |
1.2985 |
1.1234 |
0.1751 |
15.4% |
0.0242 |
2.1% |
7% |
False |
False |
4,553 |
| 40 |
1.4150 |
1.1234 |
0.2916 |
25.7% |
0.0271 |
2.4% |
4% |
False |
False |
2,469 |
| 60 |
1.4150 |
1.1234 |
0.2916 |
25.7% |
0.0216 |
1.9% |
4% |
False |
False |
1,657 |
| 80 |
1.4150 |
1.1234 |
0.2916 |
25.7% |
0.0175 |
1.5% |
4% |
False |
False |
1,248 |
| 100 |
1.4150 |
1.1180 |
0.2970 |
26.1% |
0.0140 |
1.2% |
6% |
False |
False |
999 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.3% |
0.0119 |
1.0% |
16% |
False |
False |
833 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2119 |
|
2.618 |
1.1861 |
|
1.618 |
1.1703 |
|
1.000 |
1.1605 |
|
0.618 |
1.1545 |
|
HIGH |
1.1447 |
|
0.618 |
1.1387 |
|
0.500 |
1.1368 |
|
0.382 |
1.1349 |
|
LOW |
1.1289 |
|
0.618 |
1.1191 |
|
1.000 |
1.1131 |
|
1.618 |
1.1033 |
|
2.618 |
1.0875 |
|
4.250 |
1.0618 |
|
|
| Fisher Pivots for day following 19-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1368 |
1.1443 |
| PP |
1.1365 |
1.1415 |
| S1 |
1.1363 |
1.1388 |
|