CME Swiss Franc Future March 2012


Trading Metrics calculated at close of trading on 21-Dec-2011
Day Change Summary
Previous Current
20-Dec-2011 21-Dec-2011 Change Change % Previous Week
Open 1.0689 1.0755 0.0066 0.6% 1.0815
High 1.0813 1.0839 0.0026 0.2% 1.0832
Low 1.0683 1.0668 -0.0015 -0.1% 1.0501
Close 1.0760 1.0704 -0.0056 -0.5% 1.0691
Range 0.0130 0.0171 0.0041 31.5% 0.0331
ATR 0.0118 0.0121 0.0004 3.3% 0.0000
Volume 20,114 27,164 7,050 35.1% 81,715
Daily Pivots for day following 21-Dec-2011
Classic Woodie Camarilla DeMark
R4 1.1250 1.1148 1.0798
R3 1.1079 1.0977 1.0751
R2 1.0908 1.0908 1.0735
R1 1.0806 1.0806 1.0720 1.0772
PP 1.0737 1.0737 1.0737 1.0720
S1 1.0635 1.0635 1.0688 1.0601
S2 1.0566 1.0566 1.0673
S3 1.0395 1.0464 1.0657
S4 1.0224 1.0293 1.0610
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 1.0839 1.0501 0.0338 3.2% 0.0122 1.1% 60% True False 20,527
10 1.0915 1.0501 0.0414 3.9% 0.0130 1.2% 49% False False 14,990
20 1.1058 1.0501 0.0557 5.2% 0.0128 1.2% 36% False False 7,685
40 1.1700 1.0501 0.1199 11.2% 0.0108 1.0% 17% False False 3,851
60 1.1700 1.0501 0.1199 11.2% 0.0086 0.8% 17% False False 2,572
80 1.2850 1.0501 0.2349 21.9% 0.0071 0.7% 9% False False 1,937
100 1.4099 1.0501 0.3598 33.6% 0.0068 0.6% 6% False False 1,552
120 1.4099 1.0501 0.3598 33.6% 0.0057 0.5% 6% False False 1,294
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0032
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.1566
2.618 1.1287
1.618 1.1116
1.000 1.1010
0.618 1.0945
HIGH 1.0839
0.618 1.0774
0.500 1.0754
0.382 1.0733
LOW 1.0668
0.618 1.0562
1.000 1.0497
1.618 1.0391
2.618 1.0220
4.250 0.9941
Fisher Pivots for day following 21-Dec-2011
Pivot 1 day 3 day
R1 1.0754 1.0748
PP 1.0737 1.0733
S1 1.0721 1.0719

These figures are updated between 7pm and 10pm EST after a trading day.

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