CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 07-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2012 |
07-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0468 |
1.0488 |
0.0020 |
0.2% |
1.0476 |
| High |
1.0507 |
1.0600 |
0.0093 |
0.9% |
1.0600 |
| Low |
1.0421 |
1.0438 |
0.0017 |
0.2% |
1.0409 |
| Close |
1.0495 |
1.0577 |
0.0082 |
0.8% |
1.0577 |
| Range |
0.0086 |
0.0162 |
0.0076 |
88.4% |
0.0191 |
| ATR |
0.0083 |
0.0089 |
0.0006 |
6.8% |
0.0000 |
| Volume |
55,124 |
64,131 |
9,007 |
16.3% |
209,435 |
|
| Daily Pivots for day following 07-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1024 |
1.0963 |
1.0666 |
|
| R3 |
1.0862 |
1.0801 |
1.0622 |
|
| R2 |
1.0700 |
1.0700 |
1.0607 |
|
| R1 |
1.0639 |
1.0639 |
1.0592 |
1.0670 |
| PP |
1.0538 |
1.0538 |
1.0538 |
1.0554 |
| S1 |
1.0477 |
1.0477 |
1.0562 |
1.0508 |
| S2 |
1.0376 |
1.0376 |
1.0547 |
|
| S3 |
1.0214 |
1.0315 |
1.0532 |
|
| S4 |
1.0052 |
1.0153 |
1.0488 |
|
|
| Weekly Pivots for week ending 07-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1102 |
1.1030 |
1.0682 |
|
| R3 |
1.0911 |
1.0839 |
1.0630 |
|
| R2 |
1.0720 |
1.0720 |
1.0612 |
|
| R1 |
1.0648 |
1.0648 |
1.0595 |
1.0684 |
| PP |
1.0529 |
1.0529 |
1.0529 |
1.0547 |
| S1 |
1.0457 |
1.0457 |
1.0559 |
1.0493 |
| S2 |
1.0338 |
1.0338 |
1.0542 |
|
| S3 |
1.0147 |
1.0266 |
1.0524 |
|
| S4 |
0.9956 |
1.0075 |
1.0472 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0600 |
1.0406 |
0.0194 |
1.8% |
0.0103 |
1.0% |
88% |
True |
False |
51,737 |
| 10 |
1.0600 |
1.0382 |
0.0218 |
2.1% |
0.0083 |
0.8% |
89% |
True |
False |
39,820 |
| 20 |
1.0600 |
1.0201 |
0.0399 |
3.8% |
0.0081 |
0.8% |
94% |
True |
False |
36,958 |
| 40 |
1.0600 |
1.0040 |
0.0560 |
5.3% |
0.0091 |
0.9% |
96% |
True |
False |
40,004 |
| 60 |
1.0902 |
1.0040 |
0.0862 |
8.1% |
0.0099 |
0.9% |
62% |
False |
False |
38,596 |
| 80 |
1.0902 |
1.0040 |
0.0862 |
8.1% |
0.0095 |
0.9% |
62% |
False |
False |
29,823 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.7% |
0.0080 |
0.8% |
53% |
False |
False |
23,860 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.1% |
0.0070 |
0.7% |
50% |
False |
False |
19,885 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1289 |
|
2.618 |
1.1024 |
|
1.618 |
1.0862 |
|
1.000 |
1.0762 |
|
0.618 |
1.0700 |
|
HIGH |
1.0600 |
|
0.618 |
1.0538 |
|
0.500 |
1.0519 |
|
0.382 |
1.0500 |
|
LOW |
1.0438 |
|
0.618 |
1.0338 |
|
1.000 |
1.0276 |
|
1.618 |
1.0176 |
|
2.618 |
1.0014 |
|
4.250 |
0.9750 |
|
|
| Fisher Pivots for day following 07-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0558 |
1.0553 |
| PP |
1.0538 |
1.0529 |
| S1 |
1.0519 |
1.0505 |
|