CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 14-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Dec-2011 |
14-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0681 |
1.0590 |
-0.0091 |
-0.9% |
1.0905 |
| High |
1.0729 |
1.0631 |
-0.0098 |
-0.9% |
1.0926 |
| Low |
1.0576 |
1.0512 |
-0.0064 |
-0.6% |
1.0784 |
| Close |
1.0599 |
1.0518 |
-0.0081 |
-0.8% |
1.0840 |
| Range |
0.0153 |
0.0119 |
-0.0034 |
-22.2% |
0.0142 |
| ATR |
0.0121 |
0.0121 |
0.0000 |
-0.1% |
0.0000 |
| Volume |
12,158 |
16,401 |
4,243 |
34.9% |
9,312 |
|
| Daily Pivots for day following 14-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0911 |
1.0833 |
1.0583 |
|
| R3 |
1.0792 |
1.0714 |
1.0551 |
|
| R2 |
1.0673 |
1.0673 |
1.0540 |
|
| R1 |
1.0595 |
1.0595 |
1.0529 |
1.0575 |
| PP |
1.0554 |
1.0554 |
1.0554 |
1.0543 |
| S1 |
1.0476 |
1.0476 |
1.0507 |
1.0456 |
| S2 |
1.0435 |
1.0435 |
1.0496 |
|
| S3 |
1.0316 |
1.0357 |
1.0485 |
|
| S4 |
1.0197 |
1.0238 |
1.0453 |
|
|
| 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 |
1.0512 |
0.0403 |
3.8% |
0.0137 |
1.3% |
1% |
False |
True |
9,453 |
| 10 |
1.1047 |
1.0512 |
0.0535 |
5.1% |
0.0118 |
1.1% |
1% |
False |
True |
5,072 |
| 20 |
1.1058 |
1.0512 |
0.0546 |
5.2% |
0.0113 |
1.1% |
1% |
False |
True |
2,557 |
| 40 |
1.1700 |
1.0512 |
0.1188 |
11.3% |
0.0100 |
0.9% |
1% |
False |
True |
1,287 |
| 60 |
1.1700 |
1.0512 |
0.1188 |
11.3% |
0.0081 |
0.8% |
1% |
False |
True |
863 |
| 80 |
1.2850 |
1.0512 |
0.2338 |
22.2% |
0.0063 |
0.6% |
0% |
False |
True |
655 |
| 100 |
1.4099 |
1.0512 |
0.3587 |
34.1% |
0.0062 |
0.6% |
0% |
False |
True |
526 |
| 120 |
1.4099 |
1.0512 |
0.3587 |
34.1% |
0.0052 |
0.5% |
0% |
False |
True |
438 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1137 |
|
2.618 |
1.0943 |
|
1.618 |
1.0824 |
|
1.000 |
1.0750 |
|
0.618 |
1.0705 |
|
HIGH |
1.0631 |
|
0.618 |
1.0586 |
|
0.500 |
1.0572 |
|
0.382 |
1.0557 |
|
LOW |
1.0512 |
|
0.618 |
1.0438 |
|
1.000 |
1.0393 |
|
1.618 |
1.0319 |
|
2.618 |
1.0200 |
|
4.250 |
1.0006 |
|
|
| Fisher Pivots for day following 14-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0572 |
1.0672 |
| PP |
1.0554 |
1.0621 |
| S1 |
1.0536 |
1.0569 |
|