CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 30-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Nov-2011 |
30-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0837 |
1.0872 |
0.0035 |
0.3% |
1.0907 |
| High |
1.0946 |
1.1035 |
0.0089 |
0.8% |
1.0983 |
| Low |
1.0821 |
1.0813 |
-0.0008 |
-0.1% |
1.0705 |
| Close |
1.0871 |
1.0956 |
0.0085 |
0.8% |
1.0755 |
| Range |
0.0125 |
0.0222 |
0.0097 |
77.6% |
0.0278 |
| ATR |
0.0156 |
0.0161 |
0.0005 |
3.0% |
0.0000 |
| Volume |
18,698 |
38,806 |
20,108 |
107.5% |
84,392 |
|
| Daily Pivots for day following 30-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1601 |
1.1500 |
1.1078 |
|
| R3 |
1.1379 |
1.1278 |
1.1017 |
|
| R2 |
1.1157 |
1.1157 |
1.0997 |
|
| R1 |
1.1056 |
1.1056 |
1.0976 |
1.1107 |
| PP |
1.0935 |
1.0935 |
1.0935 |
1.0960 |
| S1 |
1.0834 |
1.0834 |
1.0936 |
1.0885 |
| S2 |
1.0713 |
1.0713 |
1.0915 |
|
| S3 |
1.0491 |
1.0612 |
1.0895 |
|
| S4 |
1.0269 |
1.0390 |
1.0834 |
|
|
| 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 |
1.1035 |
1.0705 |
0.0330 |
3.0% |
0.0168 |
1.5% |
76% |
True |
False |
25,225 |
| 10 |
1.1035 |
1.0705 |
0.0330 |
3.0% |
0.0138 |
1.3% |
76% |
True |
False |
23,030 |
| 20 |
1.1424 |
1.0705 |
0.0719 |
6.6% |
0.0157 |
1.4% |
35% |
False |
False |
22,045 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
8.9% |
0.0164 |
1.5% |
26% |
False |
False |
23,680 |
| 60 |
1.1753 |
1.0705 |
0.1048 |
9.6% |
0.0164 |
1.5% |
24% |
False |
False |
21,562 |
| 80 |
1.4150 |
1.0705 |
0.3445 |
31.4% |
0.0211 |
1.9% |
7% |
False |
False |
16,329 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.4% |
0.0202 |
1.8% |
7% |
False |
False |
13,090 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.4% |
0.0185 |
1.7% |
7% |
False |
False |
10,914 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1979 |
|
2.618 |
1.1616 |
|
1.618 |
1.1394 |
|
1.000 |
1.1257 |
|
0.618 |
1.1172 |
|
HIGH |
1.1035 |
|
0.618 |
1.0950 |
|
0.500 |
1.0924 |
|
0.382 |
1.0898 |
|
LOW |
1.0813 |
|
0.618 |
1.0676 |
|
1.000 |
1.0591 |
|
1.618 |
1.0454 |
|
2.618 |
1.0232 |
|
4.250 |
0.9870 |
|
|
| Fisher Pivots for day following 30-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0945 |
1.0935 |
| PP |
1.0935 |
1.0913 |
| S1 |
1.0924 |
1.0892 |
|