CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 05-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Oct-2011 |
05-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0874 |
1.0922 |
0.0048 |
0.4% |
1.1084 |
| High |
1.0956 |
1.0938 |
-0.0018 |
-0.2% |
1.1235 |
| Low |
1.0815 |
1.0829 |
0.0014 |
0.1% |
1.0958 |
| Close |
1.0836 |
1.0841 |
0.0005 |
0.0% |
1.1061 |
| Range |
0.0141 |
0.0109 |
-0.0032 |
-22.7% |
0.0277 |
| ATR |
0.0198 |
0.0192 |
-0.0006 |
-3.2% |
0.0000 |
| Volume |
23,100 |
27,584 |
4,484 |
19.4% |
98,337 |
|
| Daily Pivots for day following 05-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1196 |
1.1128 |
1.0901 |
|
| R3 |
1.1087 |
1.1019 |
1.0871 |
|
| R2 |
1.0978 |
1.0978 |
1.0861 |
|
| R1 |
1.0910 |
1.0910 |
1.0851 |
1.0890 |
| PP |
1.0869 |
1.0869 |
1.0869 |
1.0859 |
| S1 |
1.0801 |
1.0801 |
1.0831 |
1.0781 |
| S2 |
1.0760 |
1.0760 |
1.0821 |
|
| S3 |
1.0651 |
1.0692 |
1.0811 |
|
| S4 |
1.0542 |
1.0583 |
1.0781 |
|
|
| 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 |
1.0815 |
0.0420 |
3.9% |
0.0142 |
1.3% |
6% |
False |
False |
22,740 |
| 10 |
1.1235 |
1.0815 |
0.0420 |
3.9% |
0.0154 |
1.4% |
6% |
False |
False |
23,175 |
| 20 |
1.1690 |
1.0815 |
0.0875 |
8.1% |
0.0165 |
1.5% |
3% |
False |
False |
18,589 |
| 40 |
1.3974 |
1.0815 |
0.3159 |
29.1% |
0.0237 |
2.2% |
1% |
False |
False |
9,658 |
| 60 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0228 |
2.1% |
1% |
False |
False |
6,489 |
| 80 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0195 |
1.8% |
1% |
False |
False |
4,875 |
| 100 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0159 |
1.5% |
1% |
False |
False |
3,902 |
| 120 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0134 |
1.2% |
1% |
False |
False |
3,252 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1401 |
|
2.618 |
1.1223 |
|
1.618 |
1.1114 |
|
1.000 |
1.1047 |
|
0.618 |
1.1005 |
|
HIGH |
1.0938 |
|
0.618 |
1.0896 |
|
0.500 |
1.0884 |
|
0.382 |
1.0871 |
|
LOW |
1.0829 |
|
0.618 |
1.0762 |
|
1.000 |
1.0720 |
|
1.618 |
1.0653 |
|
2.618 |
1.0544 |
|
4.250 |
1.0366 |
|
|
| Fisher Pivots for day following 05-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0884 |
1.0930 |
| PP |
1.0869 |
1.0900 |
| S1 |
1.0855 |
1.0871 |
|