CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 25-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Nov-2011 |
25-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0940 |
1.0881 |
-0.0059 |
-0.5% |
1.0907 |
| High |
1.0959 |
1.0927 |
-0.0032 |
-0.3% |
1.0983 |
| Low |
1.0847 |
1.0705 |
-0.0142 |
-1.3% |
1.0705 |
| Close |
1.0865 |
1.0755 |
-0.0110 |
-1.0% |
1.0755 |
| Range |
0.0112 |
0.0222 |
0.0110 |
98.2% |
0.0278 |
| ATR |
0.0154 |
0.0159 |
0.0005 |
3.2% |
0.0000 |
| Volume |
21,348 |
27,424 |
6,076 |
28.5% |
84,392 |
|
| Daily Pivots for day following 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1462 |
1.1330 |
1.0877 |
|
| R3 |
1.1240 |
1.1108 |
1.0816 |
|
| R2 |
1.1018 |
1.1018 |
1.0796 |
|
| R1 |
1.0886 |
1.0886 |
1.0775 |
1.0841 |
| PP |
1.0796 |
1.0796 |
1.0796 |
1.0773 |
| S1 |
1.0664 |
1.0664 |
1.0735 |
1.0619 |
| S2 |
1.0574 |
1.0574 |
1.0714 |
|
| S3 |
1.0352 |
1.0442 |
1.0694 |
|
| S4 |
1.0130 |
1.0220 |
1.0633 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1648 |
1.1480 |
1.0908 |
|
| R3 |
1.1370 |
1.1202 |
1.0831 |
|
| R2 |
1.1092 |
1.1092 |
1.0806 |
|
| R1 |
1.0924 |
1.0924 |
1.0780 |
1.0869 |
| PP |
1.0814 |
1.0814 |
1.0814 |
1.0787 |
| S1 |
1.0646 |
1.0646 |
1.0730 |
1.0591 |
| S2 |
1.0536 |
1.0536 |
1.0704 |
|
| S3 |
1.0258 |
1.0368 |
1.0679 |
|
| S4 |
0.9980 |
1.0090 |
1.0602 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1013 |
1.0705 |
0.0308 |
2.9% |
0.0135 |
1.3% |
16% |
False |
True |
21,497 |
| 10 |
1.1175 |
1.0705 |
0.0470 |
4.4% |
0.0135 |
1.3% |
11% |
False |
True |
20,669 |
| 20 |
1.1642 |
1.0705 |
0.0937 |
8.7% |
0.0160 |
1.5% |
5% |
False |
True |
21,828 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.1% |
0.0163 |
1.5% |
5% |
False |
True |
23,448 |
| 60 |
1.2985 |
1.0705 |
0.2280 |
21.2% |
0.0186 |
1.7% |
2% |
False |
True |
20,347 |
| 80 |
1.4150 |
1.0705 |
0.3445 |
32.0% |
0.0214 |
2.0% |
1% |
False |
True |
15,373 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
32.0% |
0.0200 |
1.9% |
1% |
False |
True |
12,317 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
32.0% |
0.0181 |
1.7% |
1% |
False |
True |
10,269 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1871 |
|
2.618 |
1.1508 |
|
1.618 |
1.1286 |
|
1.000 |
1.1149 |
|
0.618 |
1.1064 |
|
HIGH |
1.0927 |
|
0.618 |
1.0842 |
|
0.500 |
1.0816 |
|
0.382 |
1.0790 |
|
LOW |
1.0705 |
|
0.618 |
1.0568 |
|
1.000 |
1.0483 |
|
1.618 |
1.0346 |
|
2.618 |
1.0124 |
|
4.250 |
0.9762 |
|
|
| Fisher Pivots for day following 25-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0816 |
1.0844 |
| PP |
1.0796 |
1.0814 |
| S1 |
1.0775 |
1.0785 |
|