CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 28-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Nov-2011 |
28-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0881 |
1.0769 |
-0.0112 |
-1.0% |
1.0907 |
| High |
1.0927 |
1.0905 |
-0.0022 |
-0.2% |
1.0983 |
| Low |
1.0705 |
1.0748 |
0.0043 |
0.4% |
1.0705 |
| Close |
1.0755 |
1.0832 |
0.0077 |
0.7% |
1.0755 |
| Range |
0.0222 |
0.0157 |
-0.0065 |
-29.3% |
0.0278 |
| ATR |
0.0159 |
0.0159 |
0.0000 |
-0.1% |
0.0000 |
| Volume |
27,424 |
19,850 |
-7,574 |
-27.6% |
84,392 |
|
| Daily Pivots for day following 28-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1299 |
1.1223 |
1.0918 |
|
| R3 |
1.1142 |
1.1066 |
1.0875 |
|
| R2 |
1.0985 |
1.0985 |
1.0861 |
|
| R1 |
1.0909 |
1.0909 |
1.0846 |
1.0947 |
| PP |
1.0828 |
1.0828 |
1.0828 |
1.0848 |
| S1 |
1.0752 |
1.0752 |
1.0818 |
1.0790 |
| S2 |
1.0671 |
1.0671 |
1.0803 |
|
| S3 |
1.0514 |
1.0595 |
1.0789 |
|
| S4 |
1.0357 |
1.0438 |
1.0746 |
|
|
| 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 |
1.0983 |
1.0705 |
0.0278 |
2.6% |
0.0133 |
1.2% |
46% |
False |
False |
20,848 |
| 10 |
1.1164 |
1.0705 |
0.0459 |
4.2% |
0.0134 |
1.2% |
28% |
False |
False |
21,012 |
| 20 |
1.1621 |
1.0705 |
0.0916 |
8.5% |
0.0164 |
1.5% |
14% |
False |
False |
21,877 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0163 |
1.5% |
13% |
False |
False |
23,424 |
| 60 |
1.2985 |
1.0705 |
0.2280 |
21.0% |
0.0185 |
1.7% |
6% |
False |
False |
20,669 |
| 80 |
1.4150 |
1.0705 |
0.3445 |
31.8% |
0.0213 |
2.0% |
4% |
False |
False |
15,618 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.8% |
0.0201 |
1.9% |
4% |
False |
False |
12,515 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.8% |
0.0182 |
1.7% |
4% |
False |
False |
10,435 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1572 |
|
2.618 |
1.1316 |
|
1.618 |
1.1159 |
|
1.000 |
1.1062 |
|
0.618 |
1.1002 |
|
HIGH |
1.0905 |
|
0.618 |
1.0845 |
|
0.500 |
1.0827 |
|
0.382 |
1.0808 |
|
LOW |
1.0748 |
|
0.618 |
1.0651 |
|
1.000 |
1.0591 |
|
1.618 |
1.0494 |
|
2.618 |
1.0337 |
|
4.250 |
1.0081 |
|
|
| Fisher Pivots for day following 28-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0830 |
1.0832 |
| PP |
1.0828 |
1.0832 |
| S1 |
1.0827 |
1.0832 |
|