CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 14-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Nov-2011 |
14-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1045 |
1.1124 |
0.0079 |
0.7% |
1.1277 |
| High |
1.1175 |
1.1164 |
-0.0011 |
-0.1% |
1.1298 |
| Low |
1.1013 |
1.1001 |
-0.0012 |
-0.1% |
1.0926 |
| Close |
1.1102 |
1.1017 |
-0.0085 |
-0.8% |
1.1102 |
| Range |
0.0162 |
0.0163 |
0.0001 |
0.6% |
0.0372 |
| ATR |
0.0183 |
0.0182 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
16,421 |
18,838 |
2,417 |
14.7% |
110,412 |
|
| Daily Pivots for day following 14-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1550 |
1.1446 |
1.1107 |
|
| R3 |
1.1387 |
1.1283 |
1.1062 |
|
| R2 |
1.1224 |
1.1224 |
1.1047 |
|
| R1 |
1.1120 |
1.1120 |
1.1032 |
1.1091 |
| PP |
1.1061 |
1.1061 |
1.1061 |
1.1046 |
| S1 |
1.0957 |
1.0957 |
1.1002 |
1.0928 |
| S2 |
1.0898 |
1.0898 |
1.0987 |
|
| S3 |
1.0735 |
1.0794 |
1.0972 |
|
| S4 |
1.0572 |
1.0631 |
1.0927 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2225 |
1.2035 |
1.1307 |
|
| R3 |
1.1853 |
1.1663 |
1.1204 |
|
| R2 |
1.1481 |
1.1481 |
1.1170 |
|
| R1 |
1.1291 |
1.1291 |
1.1136 |
1.1200 |
| PP |
1.1109 |
1.1109 |
1.1109 |
1.1063 |
| S1 |
1.0919 |
1.0919 |
1.1068 |
1.0828 |
| S2 |
1.0737 |
1.0737 |
1.1034 |
|
| S3 |
1.0365 |
1.0547 |
1.1000 |
|
| S4 |
0.9993 |
1.0175 |
1.0897 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1215 |
1.0926 |
0.0289 |
2.6% |
0.0181 |
1.6% |
31% |
False |
False |
20,704 |
| 10 |
1.1424 |
1.0926 |
0.0498 |
4.5% |
0.0187 |
1.7% |
18% |
False |
False |
22,250 |
| 20 |
1.1682 |
1.0926 |
0.0756 |
6.9% |
0.0175 |
1.6% |
12% |
False |
False |
24,359 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.5% |
0.0171 |
1.5% |
29% |
False |
False |
24,030 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.3% |
0.0195 |
1.8% |
12% |
False |
False |
17,537 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.9% |
0.0221 |
2.0% |
8% |
False |
False |
13,249 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.9% |
0.0198 |
1.8% |
8% |
False |
False |
10,606 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.9% |
0.0174 |
1.6% |
8% |
False |
False |
8,842 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1857 |
|
2.618 |
1.1591 |
|
1.618 |
1.1428 |
|
1.000 |
1.1327 |
|
0.618 |
1.1265 |
|
HIGH |
1.1164 |
|
0.618 |
1.1102 |
|
0.500 |
1.1083 |
|
0.382 |
1.1063 |
|
LOW |
1.1001 |
|
0.618 |
1.0900 |
|
1.000 |
1.0838 |
|
1.618 |
1.0737 |
|
2.618 |
1.0574 |
|
4.250 |
1.0308 |
|
|
| Fisher Pivots for day following 14-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1083 |
1.1051 |
| PP |
1.1061 |
1.1039 |
| S1 |
1.1039 |
1.1028 |
|