CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 01-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Nov-2011 |
01-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0872 |
1.0947 |
0.0075 |
0.7% |
1.0907 |
| High |
1.1035 |
1.1027 |
-0.0008 |
-0.1% |
1.0983 |
| Low |
1.0813 |
1.0877 |
0.0064 |
0.6% |
1.0705 |
| Close |
1.0956 |
1.0912 |
-0.0044 |
-0.4% |
1.0755 |
| Range |
0.0222 |
0.0150 |
-0.0072 |
-32.4% |
0.0278 |
| ATR |
0.0161 |
0.0160 |
-0.0001 |
-0.5% |
0.0000 |
| Volume |
38,806 |
26,818 |
-11,988 |
-30.9% |
84,392 |
|
| Daily Pivots for day following 01-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1389 |
1.1300 |
1.0995 |
|
| R3 |
1.1239 |
1.1150 |
1.0953 |
|
| R2 |
1.1089 |
1.1089 |
1.0940 |
|
| R1 |
1.1000 |
1.1000 |
1.0926 |
1.0970 |
| PP |
1.0939 |
1.0939 |
1.0939 |
1.0923 |
| S1 |
1.0850 |
1.0850 |
1.0898 |
1.0820 |
| S2 |
1.0789 |
1.0789 |
1.0885 |
|
| S3 |
1.0639 |
1.0700 |
1.0871 |
|
| S4 |
1.0489 |
1.0550 |
1.0830 |
|
|
| 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% |
0.0175 |
1.6% |
63% |
False |
False |
26,319 |
| 10 |
1.1035 |
1.0705 |
0.0330 |
3.0% |
0.0143 |
1.3% |
63% |
False |
False |
23,723 |
| 20 |
1.1424 |
1.0705 |
0.0719 |
6.6% |
0.0157 |
1.4% |
29% |
False |
False |
22,484 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0165 |
1.5% |
21% |
False |
False |
23,661 |
| 60 |
1.1690 |
1.0705 |
0.0985 |
9.0% |
0.0165 |
1.5% |
21% |
False |
False |
21,970 |
| 80 |
1.3974 |
1.0705 |
0.3269 |
30.0% |
0.0201 |
1.8% |
6% |
False |
False |
16,660 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.6% |
0.0203 |
1.9% |
6% |
False |
False |
13,358 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.6% |
0.0185 |
1.7% |
6% |
False |
False |
11,137 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1665 |
|
2.618 |
1.1420 |
|
1.618 |
1.1270 |
|
1.000 |
1.1177 |
|
0.618 |
1.1120 |
|
HIGH |
1.1027 |
|
0.618 |
1.0970 |
|
0.500 |
1.0952 |
|
0.382 |
1.0934 |
|
LOW |
1.0877 |
|
0.618 |
1.0784 |
|
1.000 |
1.0727 |
|
1.618 |
1.0634 |
|
2.618 |
1.0484 |
|
4.250 |
1.0240 |
|
|
| Fisher Pivots for day following 01-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0952 |
1.0924 |
| PP |
1.0939 |
1.0920 |
| S1 |
1.0925 |
1.0916 |
|