CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 27-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2011 |
27-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1084 |
1.1111 |
0.0027 |
0.2% |
1.1359 |
| High |
1.1128 |
1.1222 |
0.0094 |
0.8% |
1.1447 |
| Low |
1.0958 |
1.1059 |
0.0101 |
0.9% |
1.0916 |
| Close |
1.1061 |
1.1190 |
0.0129 |
1.2% |
1.1047 |
| Range |
0.0170 |
0.0163 |
-0.0007 |
-4.1% |
0.0531 |
| ATR |
0.0227 |
0.0222 |
-0.0005 |
-2.0% |
0.0000 |
| Volume |
22,401 |
18,389 |
-4,012 |
-17.9% |
137,003 |
|
| Daily Pivots for day following 27-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1646 |
1.1581 |
1.1280 |
|
| R3 |
1.1483 |
1.1418 |
1.1235 |
|
| R2 |
1.1320 |
1.1320 |
1.1220 |
|
| R1 |
1.1255 |
1.1255 |
1.1205 |
1.1288 |
| PP |
1.1157 |
1.1157 |
1.1157 |
1.1173 |
| S1 |
1.1092 |
1.1092 |
1.1175 |
1.1125 |
| S2 |
1.0994 |
1.0994 |
1.1160 |
|
| S3 |
1.0831 |
1.0929 |
1.1145 |
|
| S4 |
1.0668 |
1.0766 |
1.1100 |
|
|
| 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 |
1.1321 |
1.0916 |
0.0405 |
3.6% |
0.0185 |
1.7% |
68% |
False |
False |
25,474 |
| 10 |
1.1596 |
1.0916 |
0.0680 |
6.1% |
0.0173 |
1.5% |
40% |
False |
False |
22,354 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.5% |
0.0244 |
2.2% |
13% |
False |
False |
12,379 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
28.9% |
0.0275 |
2.5% |
8% |
False |
False |
6,401 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
28.9% |
0.0224 |
2.0% |
8% |
False |
False |
4,285 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
28.9% |
0.0187 |
1.7% |
8% |
False |
False |
3,222 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
28.9% |
0.0151 |
1.3% |
8% |
False |
False |
2,578 |
| 120 |
1.4150 |
1.0916 |
0.3234 |
28.9% |
0.0127 |
1.1% |
8% |
False |
False |
2,149 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1915 |
|
2.618 |
1.1649 |
|
1.618 |
1.1486 |
|
1.000 |
1.1385 |
|
0.618 |
1.1323 |
|
HIGH |
1.1222 |
|
0.618 |
1.1160 |
|
0.500 |
1.1141 |
|
0.382 |
1.1121 |
|
LOW |
1.1059 |
|
0.618 |
1.0958 |
|
1.000 |
1.0896 |
|
1.618 |
1.0795 |
|
2.618 |
1.0632 |
|
4.250 |
1.0366 |
|
|
| Fisher Pivots for day following 27-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1174 |
1.1157 |
| PP |
1.1157 |
1.1123 |
| S1 |
1.1141 |
1.1090 |
|