CME Swiss Franc Future March 2012


Trading Metrics calculated at close of trading on 27-Dec-2011
Day Change Summary
Previous Current
23-Dec-2011 27-Dec-2011 Change Change % Previous Week
Open 1.0704 1.0721 0.0017 0.2% 1.0699
High 1.0734 1.0742 0.0008 0.1% 1.0839
Low 1.0672 1.0701 0.0029 0.3% 1.0657
Close 1.0701 1.0729 0.0028 0.3% 1.0701
Range 0.0062 0.0041 -0.0021 -33.9% 0.0182
ATR 0.0116 0.0111 -0.0005 -4.6% 0.0000
Volume 8,745 5,717 -3,028 -34.6% 83,094
Daily Pivots for day following 27-Dec-2011
Classic Woodie Camarilla DeMark
R4 1.0847 1.0829 1.0752
R3 1.0806 1.0788 1.0740
R2 1.0765 1.0765 1.0737
R1 1.0747 1.0747 1.0733 1.0756
PP 1.0724 1.0724 1.0724 1.0729
S1 1.0706 1.0706 1.0725 1.0715
S2 1.0683 1.0683 1.0721
S3 1.0642 1.0665 1.0718
S4 1.0601 1.0624 1.0706
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 1.0660 0.0179 1.7% 0.0102 1.0% 39% False False 14,953
10 1.0839 1.0501 0.0338 3.2% 0.0109 1.0% 67% False False 15,868
20 1.1058 1.0501 0.0557 5.2% 0.0116 1.1% 41% False False 9,050
40 1.1532 1.0501 0.1031 9.6% 0.0102 1.0% 22% False False 4,536
60 1.1700 1.0501 0.1199 11.2% 0.0089 0.8% 19% False False 3,029
80 1.2850 1.0501 0.2349 21.9% 0.0073 0.7% 10% False False 2,281
100 1.4099 1.0501 0.3598 33.5% 0.0070 0.7% 6% False False 1,827
120 1.4099 1.0501 0.3598 33.5% 0.0059 0.5% 6% False False 1,523
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR True
3BNR True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0033
Narrowest range in 23 trading days
Fibonacci Retracements and Extensions
4.250 1.0916
2.618 1.0849
1.618 1.0808
1.000 1.0783
0.618 1.0767
HIGH 1.0742
0.618 1.0726
0.500 1.0722
0.382 1.0717
LOW 1.0701
0.618 1.0676
1.000 1.0660
1.618 1.0635
2.618 1.0594
4.250 1.0527
Fisher Pivots for day following 27-Dec-2011
Pivot 1 day 3 day
R1 1.0727 1.0724
PP 1.0724 1.0719
S1 1.0722 1.0714

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

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