CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 26-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Sep-2011 |
26-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1041 |
1.1084 |
0.0043 |
0.4% |
1.1359 |
| High |
1.1143 |
1.1128 |
-0.0015 |
-0.1% |
1.1447 |
| Low |
1.1036 |
1.0958 |
-0.0078 |
-0.7% |
1.0916 |
| Close |
1.1047 |
1.1061 |
0.0014 |
0.1% |
1.1047 |
| Range |
0.0107 |
0.0170 |
0.0063 |
58.9% |
0.0531 |
| ATR |
0.0231 |
0.0227 |
-0.0004 |
-1.9% |
0.0000 |
| Volume |
26,545 |
22,401 |
-4,144 |
-15.6% |
137,003 |
|
| Daily Pivots for day following 26-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1559 |
1.1480 |
1.1155 |
|
| R3 |
1.1389 |
1.1310 |
1.1108 |
|
| R2 |
1.1219 |
1.1219 |
1.1092 |
|
| R1 |
1.1140 |
1.1140 |
1.1077 |
1.1095 |
| PP |
1.1049 |
1.1049 |
1.1049 |
1.1026 |
| S1 |
1.0970 |
1.0970 |
1.1045 |
1.0925 |
| S2 |
1.0879 |
1.0879 |
1.1030 |
|
| S3 |
1.0709 |
1.0800 |
1.1014 |
|
| S4 |
1.0539 |
1.0630 |
1.0968 |
|
|
| 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 |
1.1407 |
1.0916 |
0.0491 |
4.4% |
0.0187 |
1.7% |
30% |
False |
False |
27,916 |
| 10 |
1.1596 |
1.0916 |
0.0680 |
6.1% |
0.0171 |
1.5% |
21% |
False |
False |
21,268 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.7% |
0.0248 |
2.2% |
7% |
False |
False |
11,473 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0279 |
2.5% |
4% |
False |
False |
5,946 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0223 |
2.0% |
4% |
False |
False |
3,978 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0186 |
1.7% |
4% |
False |
False |
2,993 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0149 |
1.4% |
4% |
False |
False |
2,394 |
| 120 |
1.4150 |
1.0889 |
0.3261 |
29.5% |
0.0126 |
1.1% |
5% |
False |
False |
1,996 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1851 |
|
2.618 |
1.1573 |
|
1.618 |
1.1403 |
|
1.000 |
1.1298 |
|
0.618 |
1.1233 |
|
HIGH |
1.1128 |
|
0.618 |
1.1063 |
|
0.500 |
1.1043 |
|
0.382 |
1.1023 |
|
LOW |
1.0958 |
|
0.618 |
1.0853 |
|
1.000 |
1.0788 |
|
1.618 |
1.0683 |
|
2.618 |
1.0513 |
|
4.250 |
1.0236 |
|
|
| Fisher Pivots for day following 26-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1055 |
1.1062 |
| PP |
1.1049 |
1.1061 |
| S1 |
1.1043 |
1.1061 |
|