CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 29-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Nov-2011 |
29-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0769 |
1.0837 |
0.0068 |
0.6% |
1.0907 |
| High |
1.0905 |
1.0946 |
0.0041 |
0.4% |
1.0983 |
| Low |
1.0748 |
1.0821 |
0.0073 |
0.7% |
1.0705 |
| Close |
1.0832 |
1.0871 |
0.0039 |
0.4% |
1.0755 |
| Range |
0.0157 |
0.0125 |
-0.0032 |
-20.4% |
0.0278 |
| ATR |
0.0159 |
0.0156 |
-0.0002 |
-1.5% |
0.0000 |
| Volume |
19,850 |
18,698 |
-1,152 |
-5.8% |
84,392 |
|
| Daily Pivots for day following 29-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1254 |
1.1188 |
1.0940 |
|
| R3 |
1.1129 |
1.1063 |
1.0905 |
|
| R2 |
1.1004 |
1.1004 |
1.0894 |
|
| R1 |
1.0938 |
1.0938 |
1.0882 |
1.0971 |
| PP |
1.0879 |
1.0879 |
1.0879 |
1.0896 |
| S1 |
1.0813 |
1.0813 |
1.0860 |
1.0846 |
| S2 |
1.0754 |
1.0754 |
1.0848 |
|
| S3 |
1.0629 |
1.0688 |
1.0837 |
|
| S4 |
1.0504 |
1.0563 |
1.0802 |
|
|
| 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% |
0.0142 |
1.3% |
60% |
False |
False |
20,780 |
| 10 |
1.1017 |
1.0705 |
0.0312 |
2.9% |
0.0130 |
1.2% |
53% |
False |
False |
20,998 |
| 20 |
1.1424 |
1.0705 |
0.0719 |
6.6% |
0.0158 |
1.5% |
23% |
False |
False |
21,624 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0162 |
1.5% |
17% |
False |
False |
23,287 |
| 60 |
1.2834 |
1.0705 |
0.2129 |
19.6% |
0.0181 |
1.7% |
8% |
False |
False |
20,969 |
| 80 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0211 |
1.9% |
5% |
False |
False |
15,847 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0200 |
1.8% |
5% |
False |
False |
12,702 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0183 |
1.7% |
5% |
False |
False |
10,591 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1477 |
|
2.618 |
1.1273 |
|
1.618 |
1.1148 |
|
1.000 |
1.1071 |
|
0.618 |
1.1023 |
|
HIGH |
1.0946 |
|
0.618 |
1.0898 |
|
0.500 |
1.0884 |
|
0.382 |
1.0869 |
|
LOW |
1.0821 |
|
0.618 |
1.0744 |
|
1.000 |
1.0696 |
|
1.618 |
1.0619 |
|
2.618 |
1.0494 |
|
4.250 |
1.0290 |
|
|
| Fisher Pivots for day following 29-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0884 |
1.0856 |
| PP |
1.0879 |
1.0841 |
| S1 |
1.0875 |
1.0826 |
|