CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 16-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Dec-2011 |
16-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0519 |
1.0664 |
0.0145 |
1.4% |
1.0815 |
| High |
1.0674 |
1.0716 |
0.0042 |
0.4% |
1.0832 |
| Low |
1.0501 |
1.0644 |
0.0143 |
1.4% |
1.0501 |
| Close |
1.0655 |
1.0691 |
0.0036 |
0.3% |
1.0691 |
| Range |
0.0173 |
0.0072 |
-0.0101 |
-58.4% |
0.0331 |
| ATR |
0.0124 |
0.0121 |
-0.0004 |
-3.0% |
0.0000 |
| Volume |
21,794 |
19,518 |
-2,276 |
-10.4% |
81,715 |
|
| Daily Pivots for day following 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0900 |
1.0867 |
1.0731 |
|
| R3 |
1.0828 |
1.0795 |
1.0711 |
|
| R2 |
1.0756 |
1.0756 |
1.0704 |
|
| R1 |
1.0723 |
1.0723 |
1.0698 |
1.0740 |
| PP |
1.0684 |
1.0684 |
1.0684 |
1.0692 |
| S1 |
1.0651 |
1.0651 |
1.0684 |
1.0668 |
| S2 |
1.0612 |
1.0612 |
1.0678 |
|
| S3 |
1.0540 |
1.0579 |
1.0671 |
|
| S4 |
1.0468 |
1.0507 |
1.0651 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1668 |
1.1510 |
1.0873 |
|
| R3 |
1.1337 |
1.1179 |
1.0782 |
|
| R2 |
1.1006 |
1.1006 |
1.0752 |
|
| R1 |
1.0848 |
1.0848 |
1.0721 |
1.0762 |
| PP |
1.0675 |
1.0675 |
1.0675 |
1.0631 |
| S1 |
1.0517 |
1.0517 |
1.0661 |
1.0431 |
| S2 |
1.0344 |
1.0344 |
1.0630 |
|
| S3 |
1.0013 |
1.0186 |
1.0600 |
|
| S4 |
0.9682 |
0.9855 |
1.0509 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0832 |
1.0501 |
0.0331 |
3.1% |
0.0136 |
1.3% |
57% |
False |
False |
16,343 |
| 10 |
1.0926 |
1.0501 |
0.0425 |
4.0% |
0.0114 |
1.1% |
45% |
False |
False |
9,102 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0118 |
1.1% |
34% |
False |
False |
4,621 |
| 40 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0102 |
1.0% |
16% |
False |
False |
2,320 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0082 |
0.8% |
16% |
False |
False |
1,551 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
22.0% |
0.0066 |
0.6% |
8% |
False |
False |
1,171 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.7% |
0.0064 |
0.6% |
5% |
False |
False |
939 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.7% |
0.0054 |
0.5% |
5% |
False |
False |
783 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1022 |
|
2.618 |
1.0904 |
|
1.618 |
1.0832 |
|
1.000 |
1.0788 |
|
0.618 |
1.0760 |
|
HIGH |
1.0716 |
|
0.618 |
1.0688 |
|
0.500 |
1.0680 |
|
0.382 |
1.0672 |
|
LOW |
1.0644 |
|
0.618 |
1.0600 |
|
1.000 |
1.0572 |
|
1.618 |
1.0528 |
|
2.618 |
1.0456 |
|
4.250 |
1.0338 |
|
|
| Fisher Pivots for day following 16-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0687 |
1.0664 |
| PP |
1.0684 |
1.0636 |
| S1 |
1.0680 |
1.0609 |
|