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CME Swiss Franc Future December 2011


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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
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0037
Widest range in 8 trading days
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

These figures are updated between 7pm and 10pm EST after a trading day.

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