CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 12-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Dec-2011 |
12-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0796 |
1.0796 |
0.0000 |
0.0% |
1.0851 |
| High |
1.0893 |
1.0819 |
-0.0074 |
-0.7% |
1.0913 |
| Low |
1.0771 |
1.0652 |
-0.0119 |
-1.1% |
1.0755 |
| Close |
1.0819 |
1.0675 |
-0.0144 |
-1.3% |
1.0819 |
| Range |
0.0122 |
0.0167 |
0.0045 |
36.9% |
0.0158 |
| ATR |
0.0143 |
0.0145 |
0.0002 |
1.2% |
0.0000 |
| Volume |
23,923 |
30,745 |
6,822 |
28.5% |
125,785 |
|
| Daily Pivots for day following 12-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1216 |
1.1113 |
1.0767 |
|
| R3 |
1.1049 |
1.0946 |
1.0721 |
|
| R2 |
1.0882 |
1.0882 |
1.0706 |
|
| R1 |
1.0779 |
1.0779 |
1.0690 |
1.0747 |
| PP |
1.0715 |
1.0715 |
1.0715 |
1.0700 |
| S1 |
1.0612 |
1.0612 |
1.0660 |
1.0580 |
| S2 |
1.0548 |
1.0548 |
1.0644 |
|
| S3 |
1.0381 |
1.0445 |
1.0629 |
|
| S4 |
1.0214 |
1.0278 |
1.0583 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1303 |
1.1219 |
1.0906 |
|
| R3 |
1.1145 |
1.1061 |
1.0862 |
|
| R2 |
1.0987 |
1.0987 |
1.0848 |
|
| R1 |
1.0903 |
1.0903 |
1.0833 |
1.0866 |
| PP |
1.0829 |
1.0829 |
1.0829 |
1.0811 |
| S1 |
1.0745 |
1.0745 |
1.0805 |
1.0708 |
| S2 |
1.0671 |
1.0671 |
1.0790 |
|
| S3 |
1.0513 |
1.0587 |
1.0776 |
|
| S4 |
1.0355 |
1.0429 |
1.0732 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0898 |
1.0652 |
0.0246 |
2.3% |
0.0122 |
1.1% |
9% |
False |
True |
27,514 |
| 10 |
1.1035 |
1.0652 |
0.0383 |
3.6% |
0.0134 |
1.3% |
6% |
False |
True |
25,931 |
| 20 |
1.1164 |
1.0652 |
0.0512 |
4.8% |
0.0134 |
1.3% |
4% |
False |
True |
23,472 |
| 40 |
1.1682 |
1.0652 |
0.1030 |
9.6% |
0.0154 |
1.4% |
2% |
False |
True |
23,860 |
| 60 |
1.1682 |
1.0652 |
0.1030 |
9.6% |
0.0158 |
1.5% |
2% |
False |
True |
23,860 |
| 80 |
1.2985 |
1.0652 |
0.2333 |
21.9% |
0.0180 |
1.7% |
1% |
False |
True |
18,789 |
| 100 |
1.4150 |
1.0652 |
0.3498 |
32.8% |
0.0203 |
1.9% |
1% |
False |
True |
15,105 |
| 120 |
1.4150 |
1.0652 |
0.3498 |
32.8% |
0.0187 |
1.8% |
1% |
False |
True |
12,594 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1529 |
|
2.618 |
1.1256 |
|
1.618 |
1.1089 |
|
1.000 |
1.0986 |
|
0.618 |
1.0922 |
|
HIGH |
1.0819 |
|
0.618 |
1.0755 |
|
0.500 |
1.0736 |
|
0.382 |
1.0716 |
|
LOW |
1.0652 |
|
0.618 |
1.0549 |
|
1.000 |
1.0485 |
|
1.618 |
1.0382 |
|
2.618 |
1.0215 |
|
4.250 |
0.9942 |
|
|
| Fisher Pivots for day following 12-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0736 |
1.0775 |
| PP |
1.0715 |
1.0742 |
| S1 |
1.0695 |
1.0708 |
|