CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 04-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Nov-2011 |
04-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1322 |
1.1387 |
0.0065 |
0.6% |
1.1602 |
| High |
1.1424 |
1.1411 |
-0.0013 |
-0.1% |
1.1621 |
| Low |
1.1250 |
1.1235 |
-0.0015 |
-0.1% |
1.1168 |
| Close |
1.1399 |
1.1298 |
-0.0101 |
-0.9% |
1.1298 |
| Range |
0.0174 |
0.0176 |
0.0002 |
1.1% |
0.0453 |
| ATR |
0.0181 |
0.0180 |
0.0000 |
-0.2% |
0.0000 |
| Volume |
24,327 |
20,493 |
-3,834 |
-15.8% |
117,020 |
|
| Daily Pivots for day following 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1843 |
1.1746 |
1.1395 |
|
| R3 |
1.1667 |
1.1570 |
1.1346 |
|
| R2 |
1.1491 |
1.1491 |
1.1330 |
|
| R1 |
1.1394 |
1.1394 |
1.1314 |
1.1355 |
| PP |
1.1315 |
1.1315 |
1.1315 |
1.1295 |
| S1 |
1.1218 |
1.1218 |
1.1282 |
1.1179 |
| S2 |
1.1139 |
1.1139 |
1.1266 |
|
| S3 |
1.0963 |
1.1042 |
1.1250 |
|
| S4 |
1.0787 |
1.0866 |
1.1201 |
|
|
| Weekly Pivots for week ending 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2721 |
1.2463 |
1.1547 |
|
| R3 |
1.2268 |
1.2010 |
1.1423 |
|
| R2 |
1.1815 |
1.1815 |
1.1381 |
|
| R1 |
1.1557 |
1.1557 |
1.1340 |
1.1460 |
| PP |
1.1362 |
1.1362 |
1.1362 |
1.1314 |
| S1 |
1.1104 |
1.1104 |
1.1256 |
1.1007 |
| S2 |
1.0909 |
1.0909 |
1.1215 |
|
| S3 |
1.0456 |
1.0651 |
1.1173 |
|
| S4 |
1.0003 |
1.0198 |
1.1049 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1621 |
1.1168 |
0.0453 |
4.0% |
0.0195 |
1.7% |
29% |
False |
False |
23,404 |
| 10 |
1.1682 |
1.1168 |
0.0514 |
4.5% |
0.0177 |
1.6% |
25% |
False |
False |
24,410 |
| 20 |
1.1682 |
1.0800 |
0.0882 |
7.8% |
0.0174 |
1.5% |
56% |
False |
False |
24,195 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.3% |
0.0166 |
1.5% |
59% |
False |
False |
22,717 |
| 60 |
1.3295 |
1.0749 |
0.2546 |
22.5% |
0.0204 |
1.8% |
22% |
False |
False |
15,440 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0215 |
1.9% |
16% |
False |
False |
11,635 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0191 |
1.7% |
16% |
False |
False |
9,316 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0164 |
1.5% |
16% |
False |
False |
7,765 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2159 |
|
2.618 |
1.1872 |
|
1.618 |
1.1696 |
|
1.000 |
1.1587 |
|
0.618 |
1.1520 |
|
HIGH |
1.1411 |
|
0.618 |
1.1344 |
|
0.500 |
1.1323 |
|
0.382 |
1.1302 |
|
LOW |
1.1235 |
|
0.618 |
1.1126 |
|
1.000 |
1.1059 |
|
1.618 |
1.0950 |
|
2.618 |
1.0774 |
|
4.250 |
1.0487 |
|
|
| Fisher Pivots for day following 04-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1323 |
1.1330 |
| PP |
1.1315 |
1.1319 |
| S1 |
1.1306 |
1.1309 |
|