CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 21-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Sep-2011 |
21-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1371 |
1.1304 |
-0.0067 |
-0.6% |
1.1273 |
| High |
1.1407 |
1.1321 |
-0.0086 |
-0.8% |
1.1596 |
| Low |
1.1237 |
1.1125 |
-0.0112 |
-1.0% |
1.1234 |
| Close |
1.1276 |
1.1207 |
-0.0069 |
-0.6% |
1.1447 |
| Range |
0.0170 |
0.0196 |
0.0026 |
15.3% |
0.0362 |
| ATR |
0.0240 |
0.0237 |
-0.0003 |
-1.3% |
0.0000 |
| Volume |
30,601 |
27,999 |
-2,602 |
-8.5% |
56,910 |
|
| Daily Pivots for day following 21-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1806 |
1.1702 |
1.1315 |
|
| R3 |
1.1610 |
1.1506 |
1.1261 |
|
| R2 |
1.1414 |
1.1414 |
1.1243 |
|
| R1 |
1.1310 |
1.1310 |
1.1225 |
1.1264 |
| PP |
1.1218 |
1.1218 |
1.1218 |
1.1195 |
| S1 |
1.1114 |
1.1114 |
1.1189 |
1.1068 |
| S2 |
1.1022 |
1.1022 |
1.1171 |
|
| S3 |
1.0826 |
1.0918 |
1.1153 |
|
| S4 |
1.0630 |
1.0722 |
1.1099 |
|
|
| 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 |
1.1125 |
0.0471 |
4.2% |
0.0167 |
1.5% |
17% |
False |
True |
22,696 |
| 10 |
1.1690 |
1.1125 |
0.0565 |
5.0% |
0.0176 |
1.6% |
15% |
False |
True |
14,004 |
| 20 |
1.2985 |
1.1125 |
0.1860 |
16.6% |
0.0252 |
2.2% |
4% |
False |
True |
7,468 |
| 40 |
1.4150 |
1.1125 |
0.3025 |
27.0% |
0.0274 |
2.4% |
3% |
False |
True |
3,926 |
| 60 |
1.4150 |
1.1125 |
0.3025 |
27.0% |
0.0220 |
2.0% |
3% |
False |
True |
2,630 |
| 80 |
1.4150 |
1.1125 |
0.3025 |
27.0% |
0.0180 |
1.6% |
3% |
False |
True |
1,980 |
| 100 |
1.4150 |
1.1125 |
0.3025 |
27.0% |
0.0144 |
1.3% |
3% |
False |
True |
1,585 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
29.7% |
0.0122 |
1.1% |
12% |
False |
False |
1,321 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2154 |
|
2.618 |
1.1834 |
|
1.618 |
1.1638 |
|
1.000 |
1.1517 |
|
0.618 |
1.1442 |
|
HIGH |
1.1321 |
|
0.618 |
1.1246 |
|
0.500 |
1.1223 |
|
0.382 |
1.1200 |
|
LOW |
1.1125 |
|
0.618 |
1.1004 |
|
1.000 |
1.0929 |
|
1.618 |
1.0808 |
|
2.618 |
1.0612 |
|
4.250 |
1.0292 |
|
|
| Fisher Pivots for day following 21-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1223 |
1.1286 |
| PP |
1.1218 |
1.1260 |
| S1 |
1.1212 |
1.1233 |
|