CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 15-Dec-2011
Day Change Summary
Previous Current
14-Dec-2011 15-Dec-2011 Change Change % Previous Week
Open 1.0573 1.0490 -0.0083 -0.8% 1.0851
High 1.0605 1.0653 0.0048 0.5% 1.0913
Low 1.0484 1.0474 -0.0010 -0.1% 1.0755
Close 1.0490 1.0633 0.0143 1.4% 1.0819
Range 0.0121 0.0179 0.0058 47.9% 0.0158
ATR 0.0144 0.0146 0.0003 1.7% 0.0000
Volume 32,016 33,914 1,898 5.9% 125,785
Daily Pivots for day following 15-Dec-2011
Classic Woodie Camarilla DeMark
R4 1.1124 1.1057 1.0731
R3 1.0945 1.0878 1.0682
R2 1.0766 1.0766 1.0666
R1 1.0699 1.0699 1.0649 1.0733
PP 1.0587 1.0587 1.0587 1.0603
S1 1.0520 1.0520 1.0617 1.0554
S2 1.0408 1.0408 1.0600
S3 1.0229 1.0341 1.0584
S4 1.0050 1.0162 1.0535
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 1.0893 1.0474 0.0419 3.9% 0.0149 1.4% 38% False True 31,269
10 1.0979 1.0474 0.0505 4.7% 0.0130 1.2% 31% False True 27,667
20 1.1035 1.0474 0.0561 5.3% 0.0137 1.3% 28% False True 25,695
40 1.1682 1.0474 0.1208 11.4% 0.0156 1.5% 13% False True 24,731
60 1.1682 1.0474 0.1208 11.4% 0.0157 1.5% 13% False True 24,248
80 1.2985 1.0474 0.2511 23.6% 0.0181 1.7% 6% False True 20,053
100 1.4150 1.0474 0.3676 34.6% 0.0204 1.9% 4% False True 16,119
120 1.4150 1.0474 0.3676 34.6% 0.0188 1.8% 4% False True 13,439
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0033
Widest range in 11 trading days
Fibonacci Retracements and Extensions
4.250 1.1414
2.618 1.1122
1.618 1.0943
1.000 1.0832
0.618 1.0764
HIGH 1.0653
0.618 1.0585
0.500 1.0564
0.382 1.0542
LOW 1.0474
0.618 1.0363
1.000 1.0295
1.618 1.0184
2.618 1.0005
4.250 0.9713
Fisher Pivots for day following 15-Dec-2011
Pivot 1 day 3 day
R1 1.0610 1.0619
PP 1.0587 1.0604
S1 1.0564 1.0590

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

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