CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 22-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Sep-2011 |
22-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1304 |
1.1130 |
-0.0174 |
-1.5% |
1.1273 |
| High |
1.1321 |
1.1207 |
-0.0114 |
-1.0% |
1.1596 |
| Low |
1.1125 |
1.0916 |
-0.0209 |
-1.9% |
1.1234 |
| Close |
1.1207 |
1.1035 |
-0.0172 |
-1.5% |
1.1447 |
| Range |
0.0196 |
0.0291 |
0.0095 |
48.5% |
0.0362 |
| ATR |
0.0237 |
0.0240 |
0.0004 |
1.6% |
0.0000 |
| Volume |
27,999 |
32,037 |
4,038 |
14.4% |
56,910 |
|
| Daily Pivots for day following 22-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1926 |
1.1771 |
1.1195 |
|
| R3 |
1.1635 |
1.1480 |
1.1115 |
|
| R2 |
1.1344 |
1.1344 |
1.1088 |
|
| R1 |
1.1189 |
1.1189 |
1.1062 |
1.1121 |
| PP |
1.1053 |
1.1053 |
1.1053 |
1.1019 |
| S1 |
1.0898 |
1.0898 |
1.1008 |
1.0830 |
| S2 |
1.0762 |
1.0762 |
1.0982 |
|
| S3 |
1.0471 |
1.0607 |
1.0955 |
|
| S4 |
1.0180 |
1.0316 |
1.0875 |
|
|
| 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 |
1.1539 |
1.0916 |
0.0623 |
5.6% |
0.0186 |
1.7% |
19% |
False |
True |
25,859 |
| 10 |
1.1596 |
1.0916 |
0.0680 |
6.2% |
0.0180 |
1.6% |
18% |
False |
True |
17,013 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.7% |
0.0260 |
2.4% |
6% |
False |
True |
9,066 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0281 |
2.5% |
4% |
False |
True |
4,725 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0223 |
2.0% |
4% |
False |
True |
3,163 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0183 |
1.7% |
4% |
False |
True |
2,381 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0147 |
1.3% |
4% |
False |
True |
1,905 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
30.2% |
0.0124 |
1.1% |
6% |
False |
False |
1,588 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2444 |
|
2.618 |
1.1969 |
|
1.618 |
1.1678 |
|
1.000 |
1.1498 |
|
0.618 |
1.1387 |
|
HIGH |
1.1207 |
|
0.618 |
1.1096 |
|
0.500 |
1.1062 |
|
0.382 |
1.1027 |
|
LOW |
1.0916 |
|
0.618 |
1.0736 |
|
1.000 |
1.0625 |
|
1.618 |
1.0445 |
|
2.618 |
1.0154 |
|
4.250 |
0.9679 |
|
|
| Fisher Pivots for day following 22-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1062 |
1.1162 |
| PP |
1.1053 |
1.1119 |
| S1 |
1.1044 |
1.1077 |
|