CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 31-Jul-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jul-2012 |
31-Jul-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0252 |
1.0213 |
-0.0039 |
-0.4% |
1.0102 |
| High |
1.0260 |
1.0277 |
0.0017 |
0.2% |
1.0324 |
| Low |
1.0190 |
1.0209 |
0.0019 |
0.2% |
1.0040 |
| Close |
1.0218 |
1.0257 |
0.0039 |
0.4% |
1.0259 |
| Range |
0.0070 |
0.0068 |
-0.0002 |
-2.9% |
0.0284 |
| ATR |
0.0099 |
0.0097 |
-0.0002 |
-2.2% |
0.0000 |
| Volume |
28,911 |
36,821 |
7,910 |
27.4% |
270,145 |
|
| Daily Pivots for day following 31-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0452 |
1.0422 |
1.0294 |
|
| R3 |
1.0384 |
1.0354 |
1.0276 |
|
| R2 |
1.0316 |
1.0316 |
1.0269 |
|
| R1 |
1.0286 |
1.0286 |
1.0263 |
1.0301 |
| PP |
1.0248 |
1.0248 |
1.0248 |
1.0255 |
| S1 |
1.0218 |
1.0218 |
1.0251 |
1.0233 |
| S2 |
1.0180 |
1.0180 |
1.0245 |
|
| S3 |
1.0112 |
1.0150 |
1.0238 |
|
| S4 |
1.0044 |
1.0082 |
1.0220 |
|
|
| Weekly Pivots for week ending 27-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1060 |
1.0943 |
1.0415 |
|
| R3 |
1.0776 |
1.0659 |
1.0337 |
|
| R2 |
1.0492 |
1.0492 |
1.0311 |
|
| R1 |
1.0375 |
1.0375 |
1.0285 |
1.0434 |
| PP |
1.0208 |
1.0208 |
1.0208 |
1.0237 |
| S1 |
1.0091 |
1.0091 |
1.0233 |
1.0150 |
| S2 |
0.9924 |
0.9924 |
1.0207 |
|
| S3 |
0.9640 |
0.9807 |
1.0181 |
|
| S4 |
0.9356 |
0.9523 |
1.0103 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0324 |
1.0049 |
0.0275 |
2.7% |
0.0107 |
1.0% |
76% |
False |
False |
47,827 |
| 10 |
1.0324 |
1.0040 |
0.0284 |
2.8% |
0.0095 |
0.9% |
76% |
False |
False |
44,755 |
| 20 |
1.0533 |
1.0040 |
0.0493 |
4.8% |
0.0094 |
0.9% |
44% |
False |
False |
36,804 |
| 40 |
1.0902 |
1.0040 |
0.0862 |
8.4% |
0.0107 |
1.0% |
25% |
False |
False |
33,588 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.4% |
0.0089 |
0.9% |
25% |
False |
False |
22,431 |
| 80 |
1.1061 |
1.0040 |
0.1021 |
10.0% |
0.0072 |
0.7% |
21% |
False |
False |
16,826 |
| 100 |
1.1108 |
1.0040 |
0.1068 |
10.4% |
0.0060 |
0.6% |
20% |
False |
False |
13,467 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0566 |
|
2.618 |
1.0455 |
|
1.618 |
1.0387 |
|
1.000 |
1.0345 |
|
0.618 |
1.0319 |
|
HIGH |
1.0277 |
|
0.618 |
1.0251 |
|
0.500 |
1.0243 |
|
0.382 |
1.0235 |
|
LOW |
1.0209 |
|
0.618 |
1.0167 |
|
1.000 |
1.0141 |
|
1.618 |
1.0099 |
|
2.618 |
1.0031 |
|
4.250 |
0.9920 |
|
|
| Fisher Pivots for day following 31-Jul-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0252 |
1.0257 |
| PP |
1.0248 |
1.0257 |
| S1 |
1.0243 |
1.0257 |
|