CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 27-Oct-2011
Day Change Summary
Previous Current
26-Oct-2011 27-Oct-2011 Change Change % Previous Week
Open 1.1402 1.1349 -0.0053 -0.5% 1.1230
High 1.1467 1.1682 0.0215 1.9% 1.1368
Low 1.1296 1.1342 0.0046 0.4% 1.1020
Close 1.1348 1.1642 0.0294 2.6% 1.1316
Range 0.0171 0.0340 0.0169 98.8% 0.0348
ATR 0.0167 0.0180 0.0012 7.4% 0.0000
Volume 27,208 31,343 4,135 15.2% 130,467
Daily Pivots for day following 27-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.2575 1.2449 1.1829
R3 1.2235 1.2109 1.1736
R2 1.1895 1.1895 1.1704
R1 1.1769 1.1769 1.1673 1.1832
PP 1.1555 1.1555 1.1555 1.1587
S1 1.1429 1.1429 1.1611 1.1492
S2 1.1215 1.1215 1.1580
S3 1.0875 1.1089 1.1549
S4 1.0535 1.0749 1.1455
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 1.1682 1.1179 0.0503 4.3% 0.0182 1.6% 92% True False 27,188
10 1.1682 1.1020 0.0662 5.7% 0.0162 1.4% 94% True False 25,637
20 1.1682 1.0749 0.0933 8.0% 0.0167 1.4% 96% True False 25,068
40 1.2985 1.0749 0.2236 19.2% 0.0199 1.7% 40% False False 19,606
60 1.4150 1.0749 0.3401 29.2% 0.0232 2.0% 26% False False 13,222
80 1.4150 1.0749 0.3401 29.2% 0.0211 1.8% 26% False False 9,939
100 1.4150 1.0749 0.3401 29.2% 0.0185 1.6% 26% False False 7,958
120 1.4150 1.0749 0.3401 29.2% 0.0156 1.3% 26% False False 6,633
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 0.0044
Widest range in 37 trading days
Fibonacci Retracements and Extensions
4.250 1.3127
2.618 1.2572
1.618 1.2232
1.000 1.2022
0.618 1.1892
HIGH 1.1682
0.618 1.1552
0.500 1.1512
0.382 1.1472
LOW 1.1342
0.618 1.1132
1.000 1.1002
1.618 1.0792
2.618 1.0452
4.250 0.9897
Fisher Pivots for day following 27-Oct-2011
Pivot 1 day 3 day
R1 1.1599 1.1591
PP 1.1555 1.1540
S1 1.1512 1.1489

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

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