CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 27-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Aug-2012 |
27-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0466 |
1.0418 |
-0.0048 |
-0.5% |
1.0275 |
| High |
1.0471 |
1.0441 |
-0.0030 |
-0.3% |
1.0488 |
| Low |
1.0396 |
1.0403 |
0.0007 |
0.1% |
1.0242 |
| Close |
1.0428 |
1.0414 |
-0.0014 |
-0.1% |
1.0428 |
| Range |
0.0075 |
0.0038 |
-0.0037 |
-49.3% |
0.0246 |
| ATR |
0.0089 |
0.0085 |
-0.0004 |
-4.1% |
0.0000 |
| Volume |
35,754 |
20,076 |
-15,678 |
-43.8% |
189,105 |
|
| Daily Pivots for day following 27-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0533 |
1.0512 |
1.0435 |
|
| R3 |
1.0495 |
1.0474 |
1.0424 |
|
| R2 |
1.0457 |
1.0457 |
1.0421 |
|
| R1 |
1.0436 |
1.0436 |
1.0417 |
1.0428 |
| PP |
1.0419 |
1.0419 |
1.0419 |
1.0415 |
| S1 |
1.0398 |
1.0398 |
1.0411 |
1.0390 |
| S2 |
1.0381 |
1.0381 |
1.0407 |
|
| S3 |
1.0343 |
1.0360 |
1.0404 |
|
| S4 |
1.0305 |
1.0322 |
1.0393 |
|
|
| Weekly Pivots for week ending 24-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1124 |
1.1022 |
1.0563 |
|
| R3 |
1.0878 |
1.0776 |
1.0496 |
|
| R2 |
1.0632 |
1.0632 |
1.0473 |
|
| R1 |
1.0530 |
1.0530 |
1.0451 |
1.0581 |
| PP |
1.0386 |
1.0386 |
1.0386 |
1.0412 |
| S1 |
1.0284 |
1.0284 |
1.0405 |
1.0335 |
| S2 |
1.0140 |
1.0140 |
1.0383 |
|
| S3 |
0.9894 |
1.0038 |
1.0360 |
|
| S4 |
0.9648 |
0.9792 |
1.0293 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0488 |
1.0283 |
0.0205 |
2.0% |
0.0075 |
0.7% |
64% |
False |
False |
36,506 |
| 10 |
1.0488 |
1.0209 |
0.0279 |
2.7% |
0.0074 |
0.7% |
73% |
False |
False |
33,937 |
| 20 |
1.0488 |
1.0112 |
0.0376 |
3.6% |
0.0089 |
0.9% |
80% |
False |
False |
36,723 |
| 40 |
1.0566 |
1.0040 |
0.0526 |
5.1% |
0.0092 |
0.9% |
71% |
False |
False |
36,803 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.3% |
0.0101 |
1.0% |
43% |
False |
False |
34,030 |
| 80 |
1.0917 |
1.0040 |
0.0877 |
8.4% |
0.0088 |
0.8% |
43% |
False |
False |
25,544 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.8% |
0.0075 |
0.7% |
37% |
False |
False |
20,438 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.3% |
0.0064 |
0.6% |
35% |
False |
False |
17,036 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0603 |
|
2.618 |
1.0540 |
|
1.618 |
1.0502 |
|
1.000 |
1.0479 |
|
0.618 |
1.0464 |
|
HIGH |
1.0441 |
|
0.618 |
1.0426 |
|
0.500 |
1.0422 |
|
0.382 |
1.0418 |
|
LOW |
1.0403 |
|
0.618 |
1.0380 |
|
1.000 |
1.0365 |
|
1.618 |
1.0342 |
|
2.618 |
1.0304 |
|
4.250 |
1.0242 |
|
|
| Fisher Pivots for day following 27-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0422 |
1.0442 |
| PP |
1.0419 |
1.0433 |
| S1 |
1.0417 |
1.0423 |
|