CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 20-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Aug-2012 |
20-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0293 |
1.0275 |
-0.0018 |
-0.2% |
1.0238 |
| High |
1.0314 |
1.0303 |
-0.0011 |
-0.1% |
1.0319 |
| Low |
1.0237 |
1.0242 |
0.0005 |
0.0% |
1.0209 |
| Close |
1.0265 |
1.0284 |
0.0019 |
0.2% |
1.0265 |
| Range |
0.0077 |
0.0061 |
-0.0016 |
-20.8% |
0.0110 |
| ATR |
0.0093 |
0.0091 |
-0.0002 |
-2.5% |
0.0000 |
| Volume |
30,810 |
26,649 |
-4,161 |
-13.5% |
159,346 |
|
| Daily Pivots for day following 20-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0459 |
1.0433 |
1.0318 |
|
| R3 |
1.0398 |
1.0372 |
1.0301 |
|
| R2 |
1.0337 |
1.0337 |
1.0295 |
|
| R1 |
1.0311 |
1.0311 |
1.0290 |
1.0324 |
| PP |
1.0276 |
1.0276 |
1.0276 |
1.0283 |
| S1 |
1.0250 |
1.0250 |
1.0278 |
1.0263 |
| S2 |
1.0215 |
1.0215 |
1.0273 |
|
| S3 |
1.0154 |
1.0189 |
1.0267 |
|
| S4 |
1.0093 |
1.0128 |
1.0250 |
|
|
| Weekly Pivots for week ending 17-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0594 |
1.0540 |
1.0326 |
|
| R3 |
1.0484 |
1.0430 |
1.0295 |
|
| R2 |
1.0374 |
1.0374 |
1.0285 |
|
| R1 |
1.0320 |
1.0320 |
1.0275 |
1.0347 |
| PP |
1.0264 |
1.0264 |
1.0264 |
1.0278 |
| S1 |
1.0210 |
1.0210 |
1.0255 |
1.0237 |
| S2 |
1.0154 |
1.0154 |
1.0245 |
|
| S3 |
1.0044 |
1.0100 |
1.0235 |
|
| S4 |
0.9934 |
0.9990 |
1.0205 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0319 |
1.0209 |
0.0110 |
1.1% |
0.0072 |
0.7% |
68% |
False |
False |
31,369 |
| 10 |
1.0362 |
1.0201 |
0.0161 |
1.6% |
0.0074 |
0.7% |
52% |
False |
False |
30,720 |
| 20 |
1.0366 |
1.0040 |
0.0326 |
3.2% |
0.0097 |
0.9% |
75% |
False |
False |
39,784 |
| 40 |
1.0588 |
1.0040 |
0.0548 |
5.3% |
0.0095 |
0.9% |
45% |
False |
False |
37,222 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.4% |
0.0102 |
1.0% |
28% |
False |
False |
31,008 |
| 80 |
1.1061 |
1.0040 |
0.1021 |
9.9% |
0.0085 |
0.8% |
24% |
False |
False |
23,263 |
| 100 |
1.1108 |
1.0040 |
0.1068 |
10.4% |
0.0072 |
0.7% |
23% |
False |
False |
18,613 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.4% |
0.0061 |
0.6% |
23% |
False |
False |
15,515 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0562 |
|
2.618 |
1.0463 |
|
1.618 |
1.0402 |
|
1.000 |
1.0364 |
|
0.618 |
1.0341 |
|
HIGH |
1.0303 |
|
0.618 |
1.0280 |
|
0.500 |
1.0273 |
|
0.382 |
1.0265 |
|
LOW |
1.0242 |
|
0.618 |
1.0204 |
|
1.000 |
1.0181 |
|
1.618 |
1.0143 |
|
2.618 |
1.0082 |
|
4.250 |
0.9983 |
|
|
| Fisher Pivots for day following 20-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0280 |
1.0277 |
| PP |
1.0276 |
1.0269 |
| S1 |
1.0273 |
1.0262 |
|