CME Swiss Franc Future March 2012
| 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 |
1.0808 |
1.0815 |
0.0007 |
0.1% |
1.0905 |
| High |
1.0915 |
1.0832 |
-0.0083 |
-0.8% |
1.0926 |
| Low |
1.0797 |
1.0669 |
-0.0128 |
-1.2% |
1.0784 |
| Close |
1.0840 |
1.0696 |
-0.0144 |
-1.3% |
1.0840 |
| Range |
0.0118 |
0.0163 |
0.0045 |
38.1% |
0.0142 |
| ATR |
0.0114 |
0.0118 |
0.0004 |
3.6% |
0.0000 |
| Volume |
2,801 |
11,844 |
9,043 |
322.8% |
9,312 |
|
| Daily Pivots for day following 12-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1221 |
1.1122 |
1.0786 |
|
| R3 |
1.1058 |
1.0959 |
1.0741 |
|
| R2 |
1.0895 |
1.0895 |
1.0726 |
|
| R1 |
1.0796 |
1.0796 |
1.0711 |
1.0764 |
| PP |
1.0732 |
1.0732 |
1.0732 |
1.0717 |
| S1 |
1.0633 |
1.0633 |
1.0681 |
1.0601 |
| S2 |
1.0569 |
1.0569 |
1.0666 |
|
| S3 |
1.0406 |
1.0470 |
1.0651 |
|
| S4 |
1.0243 |
1.0307 |
1.0606 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1276 |
1.1200 |
1.0918 |
|
| R3 |
1.1134 |
1.1058 |
1.0879 |
|
| R2 |
1.0992 |
1.0992 |
1.0866 |
|
| R1 |
1.0916 |
1.0916 |
1.0853 |
1.0883 |
| PP |
1.0850 |
1.0850 |
1.0850 |
1.0834 |
| S1 |
1.0774 |
1.0774 |
1.0827 |
1.0741 |
| S2 |
1.0708 |
1.0708 |
1.0814 |
|
| S3 |
1.0566 |
1.0632 |
1.0801 |
|
| S4 |
1.0424 |
1.0490 |
1.0762 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0915 |
1.0669 |
0.0246 |
2.3% |
0.0114 |
1.1% |
11% |
False |
True |
4,202 |
| 10 |
1.1058 |
1.0669 |
0.0389 |
3.6% |
0.0123 |
1.2% |
7% |
False |
True |
2,232 |
| 20 |
1.1147 |
1.0669 |
0.0478 |
4.5% |
0.0109 |
1.0% |
6% |
False |
True |
1,131 |
| 40 |
1.1700 |
1.0669 |
0.1031 |
9.6% |
0.0093 |
0.9% |
3% |
False |
True |
573 |
| 60 |
1.1700 |
1.0669 |
0.1031 |
9.6% |
0.0077 |
0.7% |
3% |
False |
True |
388 |
| 80 |
1.2850 |
1.0669 |
0.2181 |
20.4% |
0.0060 |
0.6% |
1% |
False |
True |
299 |
| 100 |
1.4099 |
1.0669 |
0.3430 |
32.1% |
0.0059 |
0.6% |
1% |
False |
True |
240 |
| 120 |
1.4099 |
1.0669 |
0.3430 |
32.1% |
0.0049 |
0.5% |
1% |
False |
True |
200 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1525 |
|
2.618 |
1.1259 |
|
1.618 |
1.1096 |
|
1.000 |
1.0995 |
|
0.618 |
1.0933 |
|
HIGH |
1.0832 |
|
0.618 |
1.0770 |
|
0.500 |
1.0751 |
|
0.382 |
1.0731 |
|
LOW |
1.0669 |
|
0.618 |
1.0568 |
|
1.000 |
1.0506 |
|
1.618 |
1.0405 |
|
2.618 |
1.0242 |
|
4.250 |
0.9976 |
|
|
| Fisher Pivots for day following 12-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0751 |
1.0792 |
| PP |
1.0732 |
1.0760 |
| S1 |
1.0714 |
1.0728 |
|