CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 08-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Dec-2011 |
08-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0835 |
1.0836 |
0.0001 |
0.0% |
1.0803 |
| High |
1.0850 |
1.0915 |
0.0065 |
0.6% |
1.1058 |
| Low |
1.0788 |
1.0784 |
-0.0004 |
0.0% |
1.0780 |
| Close |
1.0836 |
1.0808 |
-0.0028 |
-0.3% |
1.0882 |
| Range |
0.0062 |
0.0131 |
0.0069 |
111.3% |
0.0278 |
| ATR |
0.0112 |
0.0114 |
0.0001 |
1.2% |
0.0000 |
| Volume |
1,943 |
4,061 |
2,118 |
109.0% |
1,321 |
|
| Daily Pivots for day following 08-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1229 |
1.1149 |
1.0880 |
|
| R3 |
1.1098 |
1.1018 |
1.0844 |
|
| R2 |
1.0967 |
1.0967 |
1.0832 |
|
| R1 |
1.0887 |
1.0887 |
1.0820 |
1.0862 |
| PP |
1.0836 |
1.0836 |
1.0836 |
1.0823 |
| S1 |
1.0756 |
1.0756 |
1.0796 |
1.0731 |
| S2 |
1.0705 |
1.0705 |
1.0784 |
|
| S3 |
1.0574 |
1.0625 |
1.0772 |
|
| S4 |
1.0443 |
1.0494 |
1.0736 |
|
|
| Weekly Pivots for week ending 02-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1741 |
1.1589 |
1.1035 |
|
| R3 |
1.1463 |
1.1311 |
1.0958 |
|
| R2 |
1.1185 |
1.1185 |
1.0933 |
|
| R1 |
1.1033 |
1.1033 |
1.0907 |
1.1109 |
| PP |
1.0907 |
1.0907 |
1.0907 |
1.0945 |
| S1 |
1.0755 |
1.0755 |
1.0857 |
1.0831 |
| S2 |
1.0629 |
1.0629 |
1.0831 |
|
| S3 |
1.0351 |
1.0477 |
1.0806 |
|
| S4 |
1.0073 |
1.0199 |
1.0729 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0990 |
1.0784 |
0.0206 |
1.9% |
0.0097 |
0.9% |
12% |
False |
True |
1,390 |
| 10 |
1.1058 |
1.0738 |
0.0320 |
3.0% |
0.0128 |
1.2% |
22% |
False |
False |
786 |
| 20 |
1.1147 |
1.0738 |
0.0409 |
3.8% |
0.0100 |
0.9% |
17% |
False |
False |
401 |
| 40 |
1.1700 |
1.0738 |
0.0962 |
8.9% |
0.0086 |
0.8% |
7% |
False |
False |
207 |
| 60 |
1.1700 |
1.0738 |
0.0962 |
8.9% |
0.0074 |
0.7% |
7% |
False |
False |
144 |
| 80 |
1.2850 |
1.0738 |
0.2112 |
19.5% |
0.0059 |
0.5% |
3% |
False |
False |
117 |
| 100 |
1.4099 |
1.0738 |
0.3361 |
31.1% |
0.0056 |
0.5% |
2% |
False |
False |
94 |
| 120 |
1.4099 |
1.0738 |
0.3361 |
31.1% |
0.0047 |
0.4% |
2% |
False |
False |
78 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1472 |
|
2.618 |
1.1258 |
|
1.618 |
1.1127 |
|
1.000 |
1.1046 |
|
0.618 |
1.0996 |
|
HIGH |
1.0915 |
|
0.618 |
1.0865 |
|
0.500 |
1.0850 |
|
0.382 |
1.0834 |
|
LOW |
1.0784 |
|
0.618 |
1.0703 |
|
1.000 |
1.0653 |
|
1.618 |
1.0572 |
|
2.618 |
1.0441 |
|
4.250 |
1.0227 |
|
|
| Fisher Pivots for day following 08-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0850 |
1.0850 |
| PP |
1.0836 |
1.0836 |
| S1 |
1.0822 |
1.0822 |
|