CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 01-Nov-2011
Day Change Summary
Previous Current
31-Oct-2011 01-Nov-2011 Change Change % Previous Week
Open 1.1602 1.1419 -0.0183 -1.6% 1.1324
High 1.1621 1.1421 -0.0200 -1.7% 1.1682
Low 1.1389 1.1168 -0.0221 -1.9% 1.1274
Close 1.1460 1.1292 -0.0168 -1.5% 1.1610
Range 0.0232 0.0253 0.0021 9.1% 0.0408
ATR 0.0176 0.0185 0.0008 4.7% 0.0000
Volume 23,764 30,391 6,627 27.9% 127,087
Daily Pivots for day following 01-Nov-2011
Classic Woodie Camarilla DeMark
R4 1.2053 1.1925 1.1431
R3 1.1800 1.1672 1.1362
R2 1.1547 1.1547 1.1338
R1 1.1419 1.1419 1.1315 1.1357
PP 1.1294 1.1294 1.1294 1.1262
S1 1.1166 1.1166 1.1269 1.1104
S2 1.1041 1.1041 1.1246
S3 1.0788 1.0913 1.1222
S4 1.0535 1.0660 1.1153
Weekly Pivots for week ending 28-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.2746 1.2586 1.1834
R3 1.2338 1.2178 1.1722
R2 1.1930 1.1930 1.1685
R1 1.1770 1.1770 1.1647 1.1850
PP 1.1522 1.1522 1.1522 1.1562
S1 1.1362 1.1362 1.1573 1.1442
S2 1.1114 1.1114 1.1535
S3 1.0706 1.0954 1.1498
S4 1.0298 1.0546 1.1386
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.1682 1.1168 0.0514 4.6% 0.0214 1.9% 24% False True 26,313
10 1.1682 1.1020 0.0662 5.9% 0.0176 1.6% 41% False False 26,904
20 1.1682 1.0749 0.0933 8.3% 0.0171 1.5% 58% False False 25,315
40 1.1753 1.0749 0.1004 8.9% 0.0168 1.5% 54% False False 21,321
60 1.4150 1.0749 0.3401 30.1% 0.0229 2.0% 16% False False 14,424
80 1.4150 1.0749 0.3401 30.1% 0.0214 1.9% 16% False False 10,851
100 1.4150 1.0749 0.3401 30.1% 0.0190 1.7% 16% False False 8,688
120 1.4150 1.0749 0.3401 30.1% 0.0160 1.4% 16% False False 7,241
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0033
Widest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1.2496
2.618 1.2083
1.618 1.1830
1.000 1.1674
0.618 1.1577
HIGH 1.1421
0.618 1.1324
0.500 1.1295
0.382 1.1265
LOW 1.1168
0.618 1.1012
1.000 1.0915
1.618 1.0759
2.618 1.0506
4.250 1.0093
Fisher Pivots for day following 01-Nov-2011
Pivot 1 day 3 day
R1 1.1295 1.1405
PP 1.1294 1.1367
S1 1.1293 1.1330

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

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