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CME Swiss Franc Future December 2011


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Trading Metrics calculated at close of trading on 21-Oct-2011
Day Change Summary
Previous Current
20-Oct-2011 21-Oct-2011 Change Change % Previous Week
Open 1.1092 1.1188 0.0096 0.9% 1.1230
High 1.1208 1.1368 0.0160 1.4% 1.1368
Low 1.1020 1.1179 0.0159 1.4% 1.1020
Close 1.1191 1.1316 0.0125 1.1% 1.1316
Range 0.0188 0.0189 0.0001 0.5% 0.0348
ATR 0.0176 0.0177 0.0001 0.5% 0.0000
Volume 35,885 27,717 -8,168 -22.8% 130,467
Daily Pivots for day following 21-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.1855 1.1774 1.1420
R3 1.1666 1.1585 1.1368
R2 1.1477 1.1477 1.1351
R1 1.1396 1.1396 1.1333 1.1437
PP 1.1288 1.1288 1.1288 1.1308
S1 1.1207 1.1207 1.1299 1.1248
S2 1.1099 1.1099 1.1281
S3 1.0910 1.1018 1.1264
S4 1.0721 1.0829 1.1212
Weekly Pivots for week ending 21-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.2279 1.2145 1.1507
R3 1.1931 1.1797 1.1412
R2 1.1583 1.1583 1.1380
R1 1.1449 1.1449 1.1348 1.1516
PP 1.1235 1.1235 1.1235 1.1268
S1 1.1101 1.1101 1.1284 1.1168
S2 1.0887 1.0887 1.1252
S3 1.0539 1.0753 1.1220
S4 1.0191 1.0405 1.1125
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.1368 1.1020 0.0348 3.1% 0.0154 1.4% 85% True False 26,093
10 1.1368 1.0800 0.0568 5.0% 0.0172 1.5% 91% True False 23,979
20 1.1368 1.0749 0.0619 5.5% 0.0159 1.4% 92% True False 23,533
40 1.2985 1.0749 0.2236 19.8% 0.0209 1.8% 25% False False 16,951
60 1.4150 1.0749 0.3401 30.1% 0.0241 2.1% 17% False False 11,436
80 1.4150 1.0749 0.3401 30.1% 0.0207 1.8% 17% False False 8,587
100 1.4150 1.0749 0.3401 30.1% 0.0179 1.6% 17% False False 6,877
120 1.4150 1.0749 0.3401 30.1% 0.0150 1.3% 17% False False 5,731
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0038
Widest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1.2171
2.618 1.1863
1.618 1.1674
1.000 1.1557
0.618 1.1485
HIGH 1.1368
0.618 1.1296
0.500 1.1274
0.382 1.1251
LOW 1.1179
0.618 1.1062
1.000 1.0990
1.618 1.0873
2.618 1.0684
4.250 1.0376
Fisher Pivots for day following 21-Oct-2011
Pivot 1 day 3 day
R1 1.1302 1.1275
PP 1.1288 1.1235
S1 1.1274 1.1194

These figures are updated between 7pm and 10pm EST after a trading day.

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