CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 11-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Sep-2012 |
11-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0592 |
1.0567 |
-0.0025 |
-0.2% |
1.0476 |
| High |
1.0599 |
1.0663 |
0.0064 |
0.6% |
1.0600 |
| Low |
1.0545 |
1.0564 |
0.0019 |
0.2% |
1.0409 |
| Close |
1.0565 |
1.0654 |
0.0089 |
0.8% |
1.0577 |
| Range |
0.0054 |
0.0099 |
0.0045 |
83.3% |
0.0191 |
| ATR |
0.0086 |
0.0087 |
0.0001 |
1.0% |
0.0000 |
| Volume |
46,334 |
37,830 |
-8,504 |
-18.4% |
209,435 |
|
| Daily Pivots for day following 11-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0924 |
1.0888 |
1.0708 |
|
| R3 |
1.0825 |
1.0789 |
1.0681 |
|
| R2 |
1.0726 |
1.0726 |
1.0672 |
|
| R1 |
1.0690 |
1.0690 |
1.0663 |
1.0708 |
| PP |
1.0627 |
1.0627 |
1.0627 |
1.0636 |
| S1 |
1.0591 |
1.0591 |
1.0645 |
1.0609 |
| S2 |
1.0528 |
1.0528 |
1.0636 |
|
| S3 |
1.0429 |
1.0492 |
1.0627 |
|
| S4 |
1.0330 |
1.0393 |
1.0600 |
|
|
| 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 |
1.0663 |
1.0409 |
0.0254 |
2.4% |
0.0097 |
0.9% |
96% |
True |
False |
50,252 |
| 10 |
1.0663 |
1.0382 |
0.0281 |
2.6% |
0.0087 |
0.8% |
97% |
True |
False |
42,653 |
| 20 |
1.0663 |
1.0209 |
0.0454 |
4.3% |
0.0080 |
0.8% |
98% |
True |
False |
38,295 |
| 40 |
1.0663 |
1.0040 |
0.0623 |
5.8% |
0.0091 |
0.9% |
99% |
True |
False |
40,316 |
| 60 |
1.0663 |
1.0040 |
0.0623 |
5.8% |
0.0094 |
0.9% |
99% |
True |
False |
38,906 |
| 80 |
1.0902 |
1.0040 |
0.0862 |
8.1% |
0.0096 |
0.9% |
71% |
False |
False |
30,873 |
| 100 |
1.1061 |
1.0040 |
0.1021 |
9.6% |
0.0081 |
0.8% |
60% |
False |
False |
24,701 |
| 120 |
1.1108 |
1.0040 |
0.1068 |
10.0% |
0.0071 |
0.7% |
57% |
False |
False |
20,586 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1084 |
|
2.618 |
1.0922 |
|
1.618 |
1.0823 |
|
1.000 |
1.0762 |
|
0.618 |
1.0724 |
|
HIGH |
1.0663 |
|
0.618 |
1.0625 |
|
0.500 |
1.0614 |
|
0.382 |
1.0602 |
|
LOW |
1.0564 |
|
0.618 |
1.0503 |
|
1.000 |
1.0465 |
|
1.618 |
1.0404 |
|
2.618 |
1.0305 |
|
4.250 |
1.0143 |
|
|
| Fisher Pivots for day following 11-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0641 |
1.0620 |
| PP |
1.0627 |
1.0585 |
| S1 |
1.0614 |
1.0551 |
|