CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 23-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Dec-2011 |
23-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0704 |
1.0704 |
0.0000 |
0.0% |
1.0699 |
| High |
1.0767 |
1.0734 |
-0.0033 |
-0.3% |
1.0839 |
| Low |
1.0660 |
1.0672 |
0.0012 |
0.1% |
1.0657 |
| Close |
1.0702 |
1.0701 |
-0.0001 |
0.0% |
1.0701 |
| Range |
0.0107 |
0.0062 |
-0.0045 |
-42.1% |
0.0182 |
| ATR |
0.0120 |
0.0116 |
-0.0004 |
-3.5% |
0.0000 |
| Volume |
13,025 |
8,745 |
-4,280 |
-32.9% |
83,094 |
|
| Daily Pivots for day following 23-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0888 |
1.0857 |
1.0735 |
|
| R3 |
1.0826 |
1.0795 |
1.0718 |
|
| R2 |
1.0764 |
1.0764 |
1.0712 |
|
| R1 |
1.0733 |
1.0733 |
1.0707 |
1.0718 |
| PP |
1.0702 |
1.0702 |
1.0702 |
1.0695 |
| S1 |
1.0671 |
1.0671 |
1.0695 |
1.0656 |
| S2 |
1.0640 |
1.0640 |
1.0690 |
|
| S3 |
1.0578 |
1.0609 |
1.0684 |
|
| S4 |
1.0516 |
1.0547 |
1.0667 |
|
|
| Weekly Pivots for week ending 23-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1278 |
1.1172 |
1.0801 |
|
| R3 |
1.1096 |
1.0990 |
1.0751 |
|
| R2 |
1.0914 |
1.0914 |
1.0734 |
|
| R1 |
1.0808 |
1.0808 |
1.0718 |
1.0861 |
| PP |
1.0732 |
1.0732 |
1.0732 |
1.0759 |
| S1 |
1.0626 |
1.0626 |
1.0684 |
1.0679 |
| S2 |
1.0550 |
1.0550 |
1.0668 |
|
| S3 |
1.0368 |
1.0444 |
1.0651 |
|
| S4 |
1.0186 |
1.0262 |
1.0601 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0839 |
1.0657 |
0.0182 |
1.7% |
0.0107 |
1.0% |
24% |
False |
False |
16,618 |
| 10 |
1.0839 |
1.0501 |
0.0338 |
3.2% |
0.0122 |
1.1% |
59% |
False |
False |
16,480 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0121 |
1.1% |
36% |
False |
False |
8,772 |
| 40 |
1.1630 |
1.0501 |
0.1129 |
10.6% |
0.0102 |
0.9% |
18% |
False |
False |
4,394 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0089 |
0.8% |
17% |
False |
False |
2,933 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
22.0% |
0.0073 |
0.7% |
9% |
False |
False |
2,210 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0069 |
0.6% |
6% |
False |
False |
1,770 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0058 |
0.5% |
6% |
False |
False |
1,475 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0998 |
|
2.618 |
1.0896 |
|
1.618 |
1.0834 |
|
1.000 |
1.0796 |
|
0.618 |
1.0772 |
|
HIGH |
1.0734 |
|
0.618 |
1.0710 |
|
0.500 |
1.0703 |
|
0.382 |
1.0696 |
|
LOW |
1.0672 |
|
0.618 |
1.0634 |
|
1.000 |
1.0610 |
|
1.618 |
1.0572 |
|
2.618 |
1.0510 |
|
4.250 |
1.0409 |
|
|
| Fisher Pivots for day following 23-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0703 |
1.0750 |
| PP |
1.0702 |
1.0733 |
| S1 |
1.0702 |
1.0717 |
|