CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 29-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Dec-2011 |
29-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0729 |
1.0629 |
-0.0100 |
-0.9% |
1.0699 |
| High |
1.0750 |
1.0664 |
-0.0086 |
-0.8% |
1.0839 |
| Low |
1.0609 |
1.0576 |
-0.0033 |
-0.3% |
1.0657 |
| Close |
1.0629 |
1.0635 |
0.0006 |
0.1% |
1.0701 |
| Range |
0.0141 |
0.0088 |
-0.0053 |
-37.6% |
0.0182 |
| ATR |
0.0113 |
0.0111 |
-0.0002 |
-1.6% |
0.0000 |
| Volume |
18,032 |
11,191 |
-6,841 |
-37.9% |
83,094 |
|
| Daily Pivots for day following 29-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0889 |
1.0850 |
1.0683 |
|
| R3 |
1.0801 |
1.0762 |
1.0659 |
|
| R2 |
1.0713 |
1.0713 |
1.0651 |
|
| R1 |
1.0674 |
1.0674 |
1.0643 |
1.0694 |
| PP |
1.0625 |
1.0625 |
1.0625 |
1.0635 |
| S1 |
1.0586 |
1.0586 |
1.0627 |
1.0606 |
| S2 |
1.0537 |
1.0537 |
1.0619 |
|
| S3 |
1.0449 |
1.0498 |
1.0611 |
|
| S4 |
1.0361 |
1.0410 |
1.0587 |
|
|
| 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 |
1.0767 |
1.0576 |
0.0191 |
1.8% |
0.0088 |
0.8% |
31% |
False |
True |
11,342 |
| 10 |
1.0839 |
1.0501 |
0.0338 |
3.2% |
0.0105 |
1.0% |
40% |
False |
False |
15,934 |
| 20 |
1.1047 |
1.0501 |
0.0546 |
5.1% |
0.0112 |
1.0% |
25% |
False |
False |
10,503 |
| 40 |
1.1427 |
1.0501 |
0.0926 |
8.7% |
0.0104 |
1.0% |
14% |
False |
False |
5,266 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.3% |
0.0091 |
0.9% |
11% |
False |
False |
3,515 |
| 80 |
1.1734 |
1.0501 |
0.1233 |
11.6% |
0.0076 |
0.7% |
11% |
False |
False |
2,646 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.8% |
0.0071 |
0.7% |
4% |
False |
False |
2,119 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.8% |
0.0060 |
0.6% |
4% |
False |
False |
1,766 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1038 |
|
2.618 |
1.0894 |
|
1.618 |
1.0806 |
|
1.000 |
1.0752 |
|
0.618 |
1.0718 |
|
HIGH |
1.0664 |
|
0.618 |
1.0630 |
|
0.500 |
1.0620 |
|
0.382 |
1.0610 |
|
LOW |
1.0576 |
|
0.618 |
1.0522 |
|
1.000 |
1.0488 |
|
1.618 |
1.0434 |
|
2.618 |
1.0346 |
|
4.250 |
1.0202 |
|
|
| Fisher Pivots for day following 29-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0630 |
1.0663 |
| PP |
1.0625 |
1.0654 |
| S1 |
1.0620 |
1.0644 |
|