CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 29-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Sep-2011 |
29-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1164 |
1.1121 |
-0.0043 |
-0.4% |
1.1359 |
| High |
1.1224 |
1.1235 |
0.0011 |
0.1% |
1.1447 |
| Low |
1.1127 |
1.1103 |
-0.0024 |
-0.2% |
1.0916 |
| Close |
1.1162 |
1.1142 |
-0.0020 |
-0.2% |
1.1047 |
| Range |
0.0097 |
0.0132 |
0.0035 |
36.1% |
0.0531 |
| ATR |
0.0213 |
0.0207 |
-0.0006 |
-2.7% |
0.0000 |
| Volume |
18,680 |
18,053 |
-627 |
-3.4% |
137,003 |
|
| Daily Pivots for day following 29-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1556 |
1.1481 |
1.1215 |
|
| R3 |
1.1424 |
1.1349 |
1.1178 |
|
| R2 |
1.1292 |
1.1292 |
1.1166 |
|
| R1 |
1.1217 |
1.1217 |
1.1154 |
1.1255 |
| PP |
1.1160 |
1.1160 |
1.1160 |
1.1179 |
| S1 |
1.1085 |
1.1085 |
1.1130 |
1.1123 |
| S2 |
1.1028 |
1.1028 |
1.1118 |
|
| S3 |
1.0896 |
1.0953 |
1.1106 |
|
| S4 |
1.0764 |
1.0821 |
1.1069 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2730 |
1.2419 |
1.1339 |
|
| R3 |
1.2199 |
1.1888 |
1.1193 |
|
| R2 |
1.1668 |
1.1668 |
1.1144 |
|
| R1 |
1.1357 |
1.1357 |
1.1096 |
1.1247 |
| PP |
1.1137 |
1.1137 |
1.1137 |
1.1082 |
| S1 |
1.0826 |
1.0826 |
1.0998 |
1.0716 |
| S2 |
1.0606 |
1.0606 |
1.0950 |
|
| S3 |
1.0075 |
1.0295 |
1.0901 |
|
| S4 |
0.9544 |
0.9764 |
1.0755 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1235 |
1.0958 |
0.0277 |
2.5% |
0.0134 |
1.2% |
66% |
True |
False |
20,813 |
| 10 |
1.1539 |
1.0916 |
0.0623 |
5.6% |
0.0160 |
1.4% |
36% |
False |
False |
23,336 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.6% |
0.0232 |
2.1% |
11% |
False |
False |
14,144 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0265 |
2.4% |
7% |
False |
False |
7,299 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0225 |
2.0% |
7% |
False |
False |
4,896 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0190 |
1.7% |
7% |
False |
False |
3,680 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0153 |
1.4% |
7% |
False |
False |
2,945 |
| 120 |
1.4150 |
1.0916 |
0.3234 |
29.0% |
0.0129 |
1.2% |
7% |
False |
False |
2,455 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1796 |
|
2.618 |
1.1581 |
|
1.618 |
1.1449 |
|
1.000 |
1.1367 |
|
0.618 |
1.1317 |
|
HIGH |
1.1235 |
|
0.618 |
1.1185 |
|
0.500 |
1.1169 |
|
0.382 |
1.1153 |
|
LOW |
1.1103 |
|
0.618 |
1.1021 |
|
1.000 |
1.0971 |
|
1.618 |
1.0889 |
|
2.618 |
1.0757 |
|
4.250 |
1.0542 |
|
|
| Fisher Pivots for day following 29-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1169 |
1.1147 |
| PP |
1.1160 |
1.1145 |
| S1 |
1.1151 |
1.1144 |
|