CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 03-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Sep-2011 |
03-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1157 |
1.1023 |
-0.0134 |
-1.2% |
1.1084 |
| High |
1.1170 |
1.1045 |
-0.0125 |
-1.1% |
1.1235 |
| Low |
1.1022 |
1.0864 |
-0.0158 |
-1.4% |
1.0958 |
| Close |
1.1061 |
1.0909 |
-0.0152 |
-1.4% |
1.1061 |
| Range |
0.0148 |
0.0181 |
0.0033 |
22.3% |
0.0277 |
| ATR |
0.0203 |
0.0203 |
0.0000 |
-0.2% |
0.0000 |
| Volume |
20,814 |
24,153 |
3,339 |
16.0% |
98,337 |
|
| Daily Pivots for day following 03-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1482 |
1.1377 |
1.1009 |
|
| R3 |
1.1301 |
1.1196 |
1.0959 |
|
| R2 |
1.1120 |
1.1120 |
1.0942 |
|
| R1 |
1.1015 |
1.1015 |
1.0926 |
1.0977 |
| PP |
1.0939 |
1.0939 |
1.0939 |
1.0921 |
| S1 |
1.0834 |
1.0834 |
1.0892 |
1.0796 |
| S2 |
1.0758 |
1.0758 |
1.0876 |
|
| S3 |
1.0577 |
1.0653 |
1.0859 |
|
| S4 |
1.0396 |
1.0472 |
1.0809 |
|
|
| Weekly Pivots for week ending 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1916 |
1.1765 |
1.1213 |
|
| R3 |
1.1639 |
1.1488 |
1.1137 |
|
| R2 |
1.1362 |
1.1362 |
1.1112 |
|
| R1 |
1.1211 |
1.1211 |
1.1086 |
1.1148 |
| PP |
1.1085 |
1.1085 |
1.1085 |
1.1053 |
| S1 |
1.0934 |
1.0934 |
1.1036 |
1.0871 |
| S2 |
1.0808 |
1.0808 |
1.1010 |
|
| S3 |
1.0531 |
1.0657 |
1.0985 |
|
| S4 |
1.0254 |
1.0380 |
1.0909 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1235 |
1.0864 |
0.0371 |
3.4% |
0.0144 |
1.3% |
12% |
False |
True |
20,017 |
| 10 |
1.1407 |
1.0864 |
0.0543 |
5.0% |
0.0166 |
1.5% |
8% |
False |
True |
23,967 |
| 20 |
1.2834 |
1.0864 |
0.1970 |
18.1% |
0.0218 |
2.0% |
2% |
False |
True |
16,331 |
| 40 |
1.4150 |
1.0864 |
0.3286 |
30.1% |
0.0260 |
2.4% |
1% |
False |
True |
8,406 |
| 60 |
1.4150 |
1.0864 |
0.3286 |
30.1% |
0.0226 |
2.1% |
1% |
False |
True |
5,645 |
| 80 |
1.4150 |
1.0864 |
0.3286 |
30.1% |
0.0194 |
1.8% |
1% |
False |
True |
4,242 |
| 100 |
1.4150 |
1.0864 |
0.3286 |
30.1% |
0.0157 |
1.4% |
1% |
False |
True |
3,395 |
| 120 |
1.4150 |
1.0864 |
0.3286 |
30.1% |
0.0131 |
1.2% |
1% |
False |
True |
2,830 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1814 |
|
2.618 |
1.1519 |
|
1.618 |
1.1338 |
|
1.000 |
1.1226 |
|
0.618 |
1.1157 |
|
HIGH |
1.1045 |
|
0.618 |
1.0976 |
|
0.500 |
1.0955 |
|
0.382 |
1.0933 |
|
LOW |
1.0864 |
|
0.618 |
1.0752 |
|
1.000 |
1.0683 |
|
1.618 |
1.0571 |
|
2.618 |
1.0390 |
|
4.250 |
1.0095 |
|
|
| Fisher Pivots for day following 03-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0955 |
1.1050 |
| PP |
1.0939 |
1.1003 |
| S1 |
1.0924 |
1.0956 |
|