CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 24-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Oct-2011 |
24-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1188 |
1.1324 |
0.0136 |
1.2% |
1.1230 |
| High |
1.1368 |
1.1385 |
0.0017 |
0.1% |
1.1368 |
| Low |
1.1179 |
1.1274 |
0.0095 |
0.8% |
1.1020 |
| Close |
1.1316 |
1.1372 |
0.0056 |
0.5% |
1.1316 |
| Range |
0.0189 |
0.0111 |
-0.0078 |
-41.3% |
0.0348 |
| ATR |
0.0177 |
0.0172 |
-0.0005 |
-2.7% |
0.0000 |
| Volume |
27,717 |
19,401 |
-8,316 |
-30.0% |
130,467 |
|
| Daily Pivots for day following 24-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1677 |
1.1635 |
1.1433 |
|
| R3 |
1.1566 |
1.1524 |
1.1403 |
|
| R2 |
1.1455 |
1.1455 |
1.1392 |
|
| R1 |
1.1413 |
1.1413 |
1.1382 |
1.1434 |
| PP |
1.1344 |
1.1344 |
1.1344 |
1.1354 |
| S1 |
1.1302 |
1.1302 |
1.1362 |
1.1323 |
| S2 |
1.1233 |
1.1233 |
1.1352 |
|
| S3 |
1.1122 |
1.1191 |
1.1341 |
|
| S4 |
1.1011 |
1.1080 |
1.1311 |
|
|
| 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 |
1.1385 |
1.1020 |
0.0365 |
3.2% |
0.0145 |
1.3% |
96% |
True |
False |
26,647 |
| 10 |
1.1385 |
1.0977 |
0.0408 |
3.6% |
0.0151 |
1.3% |
97% |
True |
False |
23,504 |
| 20 |
1.1385 |
1.0749 |
0.0636 |
5.6% |
0.0156 |
1.4% |
98% |
True |
False |
23,383 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
19.7% |
0.0202 |
1.8% |
28% |
False |
False |
17,428 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
29.9% |
0.0238 |
2.1% |
18% |
False |
False |
11,758 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
29.9% |
0.0206 |
1.8% |
18% |
False |
False |
8,830 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
29.9% |
0.0180 |
1.6% |
18% |
False |
False |
7,071 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
29.9% |
0.0150 |
1.3% |
18% |
False |
False |
5,892 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1857 |
|
2.618 |
1.1676 |
|
1.618 |
1.1565 |
|
1.000 |
1.1496 |
|
0.618 |
1.1454 |
|
HIGH |
1.1385 |
|
0.618 |
1.1343 |
|
0.500 |
1.1330 |
|
0.382 |
1.1316 |
|
LOW |
1.1274 |
|
0.618 |
1.1205 |
|
1.000 |
1.1163 |
|
1.618 |
1.1094 |
|
2.618 |
1.0983 |
|
4.250 |
1.0802 |
|
|
| Fisher Pivots for day following 24-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1358 |
1.1316 |
| PP |
1.1344 |
1.1259 |
| S1 |
1.1330 |
1.1203 |
|