CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 02-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Dec-2011 |
02-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0947 |
1.0918 |
-0.0029 |
-0.3% |
1.0769 |
| High |
1.1027 |
1.0979 |
-0.0048 |
-0.4% |
1.1035 |
| Low |
1.0877 |
1.0821 |
-0.0056 |
-0.5% |
1.0748 |
| Close |
1.0912 |
1.0859 |
-0.0053 |
-0.5% |
1.0859 |
| Range |
0.0150 |
0.0158 |
0.0008 |
5.3% |
0.0287 |
| ATR |
0.0160 |
0.0160 |
0.0000 |
-0.1% |
0.0000 |
| Volume |
26,818 |
18,464 |
-8,354 |
-31.2% |
122,636 |
|
| Daily Pivots for day following 02-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1360 |
1.1268 |
1.0946 |
|
| R3 |
1.1202 |
1.1110 |
1.0902 |
|
| R2 |
1.1044 |
1.1044 |
1.0888 |
|
| R1 |
1.0952 |
1.0952 |
1.0873 |
1.0919 |
| PP |
1.0886 |
1.0886 |
1.0886 |
1.0870 |
| S1 |
1.0794 |
1.0794 |
1.0845 |
1.0761 |
| S2 |
1.0728 |
1.0728 |
1.0830 |
|
| S3 |
1.0570 |
1.0636 |
1.0816 |
|
| S4 |
1.0412 |
1.0478 |
1.0772 |
|
|
| Weekly Pivots for week ending 02-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1742 |
1.1587 |
1.1017 |
|
| R3 |
1.1455 |
1.1300 |
1.0938 |
|
| R2 |
1.1168 |
1.1168 |
1.0912 |
|
| R1 |
1.1013 |
1.1013 |
1.0885 |
1.1091 |
| PP |
1.0881 |
1.0881 |
1.0881 |
1.0919 |
| S1 |
1.0726 |
1.0726 |
1.0833 |
1.0804 |
| S2 |
1.0594 |
1.0594 |
1.0806 |
|
| S3 |
1.0307 |
1.0439 |
1.0780 |
|
| S4 |
1.0020 |
1.0152 |
1.0701 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1035 |
1.0748 |
0.0287 |
2.6% |
0.0162 |
1.5% |
39% |
False |
False |
24,527 |
| 10 |
1.1035 |
1.0705 |
0.0330 |
3.0% |
0.0149 |
1.4% |
47% |
False |
False |
23,012 |
| 20 |
1.1411 |
1.0705 |
0.0706 |
6.5% |
0.0157 |
1.4% |
22% |
False |
False |
22,190 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0165 |
1.5% |
16% |
False |
False |
23,333 |
| 60 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0163 |
1.5% |
16% |
False |
False |
22,246 |
| 80 |
1.3848 |
1.0705 |
0.3143 |
28.9% |
0.0199 |
1.8% |
5% |
False |
False |
16,883 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0203 |
1.9% |
4% |
False |
False |
13,542 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0185 |
1.7% |
4% |
False |
False |
11,291 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1651 |
|
2.618 |
1.1393 |
|
1.618 |
1.1235 |
|
1.000 |
1.1137 |
|
0.618 |
1.1077 |
|
HIGH |
1.0979 |
|
0.618 |
1.0919 |
|
0.500 |
1.0900 |
|
0.382 |
1.0881 |
|
LOW |
1.0821 |
|
0.618 |
1.0723 |
|
1.000 |
1.0663 |
|
1.618 |
1.0565 |
|
2.618 |
1.0407 |
|
4.250 |
1.0150 |
|
|
| Fisher Pivots for day following 02-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0900 |
1.0924 |
| PP |
1.0886 |
1.0902 |
| S1 |
1.0873 |
1.0881 |
|