CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 20-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2011 |
20-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0699 |
1.0689 |
-0.0010 |
-0.1% |
1.0815 |
| High |
1.0722 |
1.0813 |
0.0091 |
0.8% |
1.0832 |
| Low |
1.0657 |
1.0683 |
0.0026 |
0.2% |
1.0501 |
| Close |
1.0694 |
1.0760 |
0.0066 |
0.6% |
1.0691 |
| Range |
0.0065 |
0.0130 |
0.0065 |
100.0% |
0.0331 |
| ATR |
0.0117 |
0.0118 |
0.0001 |
0.8% |
0.0000 |
| Volume |
14,046 |
20,114 |
6,068 |
43.2% |
81,715 |
|
| Daily Pivots for day following 20-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1142 |
1.1081 |
1.0832 |
|
| R3 |
1.1012 |
1.0951 |
1.0796 |
|
| R2 |
1.0882 |
1.0882 |
1.0784 |
|
| R1 |
1.0821 |
1.0821 |
1.0772 |
1.0852 |
| PP |
1.0752 |
1.0752 |
1.0752 |
1.0767 |
| S1 |
1.0691 |
1.0691 |
1.0748 |
1.0722 |
| S2 |
1.0622 |
1.0622 |
1.0736 |
|
| S3 |
1.0492 |
1.0561 |
1.0724 |
|
| S4 |
1.0362 |
1.0431 |
1.0689 |
|
|
| 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 |
1.0813 |
1.0501 |
0.0312 |
2.9% |
0.0112 |
1.0% |
83% |
True |
False |
18,374 |
| 10 |
1.0915 |
1.0501 |
0.0414 |
3.8% |
0.0119 |
1.1% |
63% |
False |
False |
12,468 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0119 |
1.1% |
46% |
False |
False |
6,328 |
| 40 |
1.1700 |
1.0501 |
0.1199 |
11.1% |
0.0105 |
1.0% |
22% |
False |
False |
3,172 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.1% |
0.0084 |
0.8% |
22% |
False |
False |
2,119 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
21.8% |
0.0069 |
0.6% |
11% |
False |
False |
1,598 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.4% |
0.0066 |
0.6% |
7% |
False |
False |
1,281 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.4% |
0.0055 |
0.5% |
7% |
False |
False |
1,067 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1366 |
|
2.618 |
1.1153 |
|
1.618 |
1.1023 |
|
1.000 |
1.0943 |
|
0.618 |
1.0893 |
|
HIGH |
1.0813 |
|
0.618 |
1.0763 |
|
0.500 |
1.0748 |
|
0.382 |
1.0733 |
|
LOW |
1.0683 |
|
0.618 |
1.0603 |
|
1.000 |
1.0553 |
|
1.618 |
1.0473 |
|
2.618 |
1.0343 |
|
4.250 |
1.0131 |
|
|
| Fisher Pivots for day following 20-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0756 |
1.0750 |
| PP |
1.0752 |
1.0739 |
| S1 |
1.0748 |
1.0729 |
|