CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 28-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Dec-2011 |
28-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0721 |
1.0729 |
0.0008 |
0.1% |
1.0699 |
| High |
1.0742 |
1.0750 |
0.0008 |
0.1% |
1.0839 |
| Low |
1.0701 |
1.0609 |
-0.0092 |
-0.9% |
1.0657 |
| Close |
1.0729 |
1.0629 |
-0.0100 |
-0.9% |
1.0701 |
| Range |
0.0041 |
0.0141 |
0.0100 |
243.9% |
0.0182 |
| ATR |
0.0111 |
0.0113 |
0.0002 |
1.9% |
0.0000 |
| Volume |
5,717 |
18,032 |
12,315 |
215.4% |
83,094 |
|
| Daily Pivots for day following 28-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1086 |
1.0998 |
1.0707 |
|
| R3 |
1.0945 |
1.0857 |
1.0668 |
|
| R2 |
1.0804 |
1.0804 |
1.0655 |
|
| R1 |
1.0716 |
1.0716 |
1.0642 |
1.0690 |
| PP |
1.0663 |
1.0663 |
1.0663 |
1.0649 |
| S1 |
1.0575 |
1.0575 |
1.0616 |
1.0549 |
| S2 |
1.0522 |
1.0522 |
1.0603 |
|
| S3 |
1.0381 |
1.0434 |
1.0590 |
|
| S4 |
1.0240 |
1.0293 |
1.0551 |
|
|
| 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 |
1.0609 |
0.0230 |
2.2% |
0.0104 |
1.0% |
9% |
False |
True |
14,536 |
| 10 |
1.0839 |
1.0501 |
0.0338 |
3.2% |
0.0108 |
1.0% |
38% |
False |
False |
16,455 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0118 |
1.1% |
23% |
False |
False |
9,947 |
| 40 |
1.1427 |
1.0501 |
0.0926 |
8.7% |
0.0105 |
1.0% |
14% |
False |
False |
4,986 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.3% |
0.0090 |
0.8% |
11% |
False |
False |
3,329 |
| 80 |
1.1850 |
1.0501 |
0.1349 |
12.7% |
0.0075 |
0.7% |
9% |
False |
False |
2,506 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.9% |
0.0070 |
0.7% |
4% |
False |
False |
2,007 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.9% |
0.0060 |
0.6% |
4% |
False |
False |
1,673 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1349 |
|
2.618 |
1.1119 |
|
1.618 |
1.0978 |
|
1.000 |
1.0891 |
|
0.618 |
1.0837 |
|
HIGH |
1.0750 |
|
0.618 |
1.0696 |
|
0.500 |
1.0680 |
|
0.382 |
1.0663 |
|
LOW |
1.0609 |
|
0.618 |
1.0522 |
|
1.000 |
1.0468 |
|
1.618 |
1.0381 |
|
2.618 |
1.0240 |
|
4.250 |
1.0010 |
|
|
| Fisher Pivots for day following 28-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0680 |
1.0680 |
| PP |
1.0663 |
1.0663 |
| S1 |
1.0646 |
1.0646 |
|