CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1487 |
1.1400 |
-0.0087 |
-0.8% |
1.1157 |
| High |
1.1487 |
1.1700 |
0.0213 |
1.9% |
1.1359 |
| Low |
1.1342 |
1.1400 |
0.0058 |
0.5% |
1.1067 |
| Close |
1.1376 |
1.1668 |
0.0292 |
2.6% |
1.1344 |
| Range |
0.0145 |
0.0300 |
0.0155 |
106.9% |
0.0292 |
| ATR |
0.0099 |
0.0115 |
0.0016 |
16.3% |
0.0000 |
| Volume |
9 |
55 |
46 |
511.1% |
48 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2489 |
1.2379 |
1.1833 |
|
| R3 |
1.2189 |
1.2079 |
1.1751 |
|
| R2 |
1.1889 |
1.1889 |
1.1723 |
|
| R1 |
1.1779 |
1.1779 |
1.1696 |
1.1834 |
| PP |
1.1589 |
1.1589 |
1.1589 |
1.1617 |
| S1 |
1.1479 |
1.1479 |
1.1641 |
1.1534 |
| S2 |
1.1289 |
1.1289 |
1.1613 |
|
| S3 |
1.0989 |
1.1179 |
1.1586 |
|
| S4 |
1.0689 |
1.0879 |
1.1503 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2133 |
1.2030 |
1.1505 |
|
| R3 |
1.1841 |
1.1738 |
1.1424 |
|
| R2 |
1.1549 |
1.1549 |
1.1398 |
|
| R1 |
1.1446 |
1.1446 |
1.1371 |
1.1498 |
| PP |
1.1257 |
1.1257 |
1.1257 |
1.1282 |
| S1 |
1.1154 |
1.1154 |
1.1317 |
1.1206 |
| S2 |
1.0965 |
1.0965 |
1.1290 |
|
| S3 |
1.0673 |
1.0862 |
1.1264 |
|
| S4 |
1.0381 |
1.0570 |
1.1183 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1700 |
1.1304 |
0.0396 |
3.4% |
0.0112 |
1.0% |
92% |
True |
False |
23 |
| 10 |
1.1700 |
1.1067 |
0.0633 |
5.4% |
0.0072 |
0.6% |
95% |
True |
False |
13 |
| 20 |
1.1700 |
1.0805 |
0.0895 |
7.7% |
0.0063 |
0.5% |
96% |
True |
False |
12 |
| 40 |
1.2850 |
1.0805 |
0.2045 |
17.5% |
0.0044 |
0.4% |
42% |
False |
False |
25 |
| 60 |
1.4099 |
1.0805 |
0.3294 |
28.2% |
0.0048 |
0.4% |
26% |
False |
False |
20 |
| 80 |
1.4099 |
1.0805 |
0.3294 |
28.2% |
0.0037 |
0.3% |
26% |
False |
False |
16 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2975 |
|
2.618 |
1.2485 |
|
1.618 |
1.2185 |
|
1.000 |
1.2000 |
|
0.618 |
1.1885 |
|
HIGH |
1.1700 |
|
0.618 |
1.1585 |
|
0.500 |
1.1550 |
|
0.382 |
1.1515 |
|
LOW |
1.1400 |
|
0.618 |
1.1215 |
|
1.000 |
1.1100 |
|
1.618 |
1.0915 |
|
2.618 |
1.0615 |
|
4.250 |
1.0125 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1629 |
1.1619 |
| PP |
1.1589 |
1.1570 |
| S1 |
1.1550 |
1.1521 |
|