CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 02-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Nov-2011 |
02-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1419 |
1.1288 |
-0.0131 |
-1.1% |
1.1324 |
| High |
1.1421 |
1.1380 |
-0.0041 |
-0.4% |
1.1682 |
| Low |
1.1168 |
1.1242 |
0.0074 |
0.7% |
1.1274 |
| Close |
1.1292 |
1.1335 |
0.0043 |
0.4% |
1.1610 |
| Range |
0.0253 |
0.0138 |
-0.0115 |
-45.5% |
0.0408 |
| ATR |
0.0185 |
0.0181 |
-0.0003 |
-1.8% |
0.0000 |
| Volume |
30,391 |
18,045 |
-12,346 |
-40.6% |
127,087 |
|
| Daily Pivots for day following 02-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1733 |
1.1672 |
1.1411 |
|
| R3 |
1.1595 |
1.1534 |
1.1373 |
|
| R2 |
1.1457 |
1.1457 |
1.1360 |
|
| R1 |
1.1396 |
1.1396 |
1.1348 |
1.1427 |
| PP |
1.1319 |
1.1319 |
1.1319 |
1.1334 |
| S1 |
1.1258 |
1.1258 |
1.1322 |
1.1289 |
| S2 |
1.1181 |
1.1181 |
1.1310 |
|
| S3 |
1.1043 |
1.1120 |
1.1297 |
|
| S4 |
1.0905 |
1.0982 |
1.1259 |
|
|
| 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 |
4.5% |
0.0207 |
1.8% |
32% |
False |
False |
24,480 |
| 10 |
1.1682 |
1.1020 |
0.0662 |
5.8% |
0.0179 |
1.6% |
48% |
False |
False |
26,288 |
| 20 |
1.1682 |
1.0749 |
0.0933 |
8.2% |
0.0173 |
1.5% |
63% |
False |
False |
24,838 |
| 40 |
1.1690 |
1.0749 |
0.0941 |
8.3% |
0.0169 |
1.5% |
62% |
False |
False |
21,714 |
| 60 |
1.3974 |
1.0749 |
0.3225 |
28.5% |
0.0215 |
1.9% |
18% |
False |
False |
14,718 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0214 |
1.9% |
17% |
False |
False |
11,076 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0190 |
1.7% |
17% |
False |
False |
8,868 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0161 |
1.4% |
17% |
False |
False |
7,391 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1967 |
|
2.618 |
1.1741 |
|
1.618 |
1.1603 |
|
1.000 |
1.1518 |
|
0.618 |
1.1465 |
|
HIGH |
1.1380 |
|
0.618 |
1.1327 |
|
0.500 |
1.1311 |
|
0.382 |
1.1295 |
|
LOW |
1.1242 |
|
0.618 |
1.1157 |
|
1.000 |
1.1104 |
|
1.618 |
1.1019 |
|
2.618 |
1.0881 |
|
4.250 |
1.0656 |
|
|
| Fisher Pivots for day following 02-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1327 |
1.1395 |
| PP |
1.1319 |
1.1375 |
| S1 |
1.1311 |
1.1355 |
|