CME Swiss Franc Future December 2011
| 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 |
|
|
|
| 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 |
|