CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 23-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Sep-2011 |
23-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1130 |
1.1041 |
-0.0089 |
-0.8% |
1.1359 |
| High |
1.1207 |
1.1143 |
-0.0064 |
-0.6% |
1.1447 |
| Low |
1.0916 |
1.1036 |
0.0120 |
1.1% |
1.0916 |
| Close |
1.1035 |
1.1047 |
0.0012 |
0.1% |
1.1047 |
| Range |
0.0291 |
0.0107 |
-0.0184 |
-63.2% |
0.0531 |
| ATR |
0.0240 |
0.0231 |
-0.0009 |
-3.9% |
0.0000 |
| Volume |
32,037 |
26,545 |
-5,492 |
-17.1% |
137,003 |
|
| Daily Pivots for day following 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1396 |
1.1329 |
1.1106 |
|
| R3 |
1.1289 |
1.1222 |
1.1076 |
|
| R2 |
1.1182 |
1.1182 |
1.1067 |
|
| R1 |
1.1115 |
1.1115 |
1.1057 |
1.1149 |
| PP |
1.1075 |
1.1075 |
1.1075 |
1.1092 |
| S1 |
1.1008 |
1.1008 |
1.1037 |
1.1042 |
| S2 |
1.0968 |
1.0968 |
1.1027 |
|
| S3 |
1.0861 |
1.0901 |
1.1018 |
|
| S4 |
1.0754 |
1.0794 |
1.0988 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2730 |
1.2419 |
1.1339 |
|
| R3 |
1.2199 |
1.1888 |
1.1193 |
|
| R2 |
1.1668 |
1.1668 |
1.1144 |
|
| R1 |
1.1357 |
1.1357 |
1.1096 |
1.1247 |
| PP |
1.1137 |
1.1137 |
1.1137 |
1.1082 |
| S1 |
1.0826 |
1.0826 |
1.0998 |
1.0716 |
| S2 |
1.0606 |
1.0606 |
1.0950 |
|
| S3 |
1.0075 |
1.0295 |
1.0901 |
|
| S4 |
0.9544 |
0.9764 |
1.0755 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1447 |
1.0916 |
0.0531 |
4.8% |
0.0184 |
1.7% |
25% |
False |
False |
27,400 |
| 10 |
1.1596 |
1.0916 |
0.0680 |
6.2% |
0.0171 |
1.5% |
19% |
False |
False |
19,391 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.7% |
0.0259 |
2.3% |
6% |
False |
False |
10,370 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0282 |
2.6% |
4% |
False |
False |
5,388 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0223 |
2.0% |
4% |
False |
False |
3,605 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0184 |
1.7% |
4% |
False |
False |
2,713 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
29.3% |
0.0148 |
1.3% |
4% |
False |
False |
2,170 |
| 120 |
1.4150 |
1.0821 |
0.3329 |
30.1% |
0.0125 |
1.1% |
7% |
False |
False |
1,809 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1598 |
|
2.618 |
1.1423 |
|
1.618 |
1.1316 |
|
1.000 |
1.1250 |
|
0.618 |
1.1209 |
|
HIGH |
1.1143 |
|
0.618 |
1.1102 |
|
0.500 |
1.1090 |
|
0.382 |
1.1077 |
|
LOW |
1.1036 |
|
0.618 |
1.0970 |
|
1.000 |
1.0929 |
|
1.618 |
1.0863 |
|
2.618 |
1.0756 |
|
4.250 |
1.0581 |
|
|
| Fisher Pivots for day following 23-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1090 |
1.1119 |
| PP |
1.1075 |
1.1095 |
| S1 |
1.1061 |
1.1071 |
|