CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 28-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Oct-2011 |
28-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1349 |
1.1638 |
0.0289 |
2.5% |
1.1324 |
| High |
1.1682 |
1.1642 |
-0.0040 |
-0.3% |
1.1682 |
| Low |
1.1342 |
1.1569 |
0.0227 |
2.0% |
1.1274 |
| Close |
1.1642 |
1.1610 |
-0.0032 |
-0.3% |
1.1610 |
| Range |
0.0340 |
0.0073 |
-0.0267 |
-78.5% |
0.0408 |
| ATR |
0.0180 |
0.0172 |
-0.0008 |
-4.2% |
0.0000 |
| Volume |
31,343 |
18,860 |
-12,483 |
-39.8% |
127,087 |
|
| Daily Pivots for day following 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1826 |
1.1791 |
1.1650 |
|
| R3 |
1.1753 |
1.1718 |
1.1630 |
|
| R2 |
1.1680 |
1.1680 |
1.1623 |
|
| R1 |
1.1645 |
1.1645 |
1.1617 |
1.1626 |
| PP |
1.1607 |
1.1607 |
1.1607 |
1.1598 |
| S1 |
1.1572 |
1.1572 |
1.1603 |
1.1553 |
| S2 |
1.1534 |
1.1534 |
1.1597 |
|
| S3 |
1.1461 |
1.1499 |
1.1590 |
|
| S4 |
1.1388 |
1.1426 |
1.1570 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2746 |
1.2586 |
1.1834 |
|
| R3 |
1.2338 |
1.2178 |
1.1722 |
|
| R2 |
1.1930 |
1.1930 |
1.1685 |
|
| R1 |
1.1770 |
1.1770 |
1.1647 |
1.1850 |
| PP |
1.1522 |
1.1522 |
1.1522 |
1.1562 |
| S1 |
1.1362 |
1.1362 |
1.1573 |
1.1442 |
| S2 |
1.1114 |
1.1114 |
1.1535 |
|
| S3 |
1.0706 |
1.0954 |
1.1498 |
|
| S4 |
1.0298 |
1.0546 |
1.1386 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1682 |
1.1274 |
0.0408 |
3.5% |
0.0158 |
1.4% |
82% |
False |
False |
25,417 |
| 10 |
1.1682 |
1.1020 |
0.0662 |
5.7% |
0.0156 |
1.3% |
89% |
False |
False |
25,755 |
| 20 |
1.1682 |
1.0749 |
0.0933 |
8.0% |
0.0163 |
1.4% |
92% |
False |
False |
24,970 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
19.3% |
0.0195 |
1.7% |
39% |
False |
False |
20,065 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
29.3% |
0.0229 |
2.0% |
25% |
False |
False |
13,531 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
29.3% |
0.0210 |
1.8% |
25% |
False |
False |
10,174 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
29.3% |
0.0186 |
1.6% |
25% |
False |
False |
8,146 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
29.3% |
0.0156 |
1.3% |
25% |
False |
False |
6,790 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1952 |
|
2.618 |
1.1833 |
|
1.618 |
1.1760 |
|
1.000 |
1.1715 |
|
0.618 |
1.1687 |
|
HIGH |
1.1642 |
|
0.618 |
1.1614 |
|
0.500 |
1.1606 |
|
0.382 |
1.1597 |
|
LOW |
1.1569 |
|
0.618 |
1.1524 |
|
1.000 |
1.1496 |
|
1.618 |
1.1451 |
|
2.618 |
1.1378 |
|
4.250 |
1.1259 |
|
|
| Fisher Pivots for day following 28-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1609 |
1.1570 |
| PP |
1.1607 |
1.1529 |
| S1 |
1.1606 |
1.1489 |
|