CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 30-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Dec-2011 |
30-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0629 |
1.0647 |
0.0018 |
0.2% |
1.0721 |
| High |
1.0664 |
1.0723 |
0.0059 |
0.6% |
1.0750 |
| Low |
1.0576 |
1.0625 |
0.0049 |
0.5% |
1.0576 |
| Close |
1.0635 |
1.0670 |
0.0035 |
0.3% |
1.0670 |
| Range |
0.0088 |
0.0098 |
0.0010 |
11.4% |
0.0174 |
| ATR |
0.0111 |
0.0110 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
11,191 |
15,643 |
4,452 |
39.8% |
50,583 |
|
| Daily Pivots for day following 30-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0967 |
1.0916 |
1.0724 |
|
| R3 |
1.0869 |
1.0818 |
1.0697 |
|
| R2 |
1.0771 |
1.0771 |
1.0688 |
|
| R1 |
1.0720 |
1.0720 |
1.0679 |
1.0746 |
| PP |
1.0673 |
1.0673 |
1.0673 |
1.0685 |
| S1 |
1.0622 |
1.0622 |
1.0661 |
1.0648 |
| S2 |
1.0575 |
1.0575 |
1.0652 |
|
| S3 |
1.0477 |
1.0524 |
1.0643 |
|
| S4 |
1.0379 |
1.0426 |
1.0616 |
|
|
| Weekly Pivots for week ending 30-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1187 |
1.1103 |
1.0766 |
|
| R3 |
1.1013 |
1.0929 |
1.0718 |
|
| R2 |
1.0839 |
1.0839 |
1.0702 |
|
| R1 |
1.0755 |
1.0755 |
1.0686 |
1.0710 |
| PP |
1.0665 |
1.0665 |
1.0665 |
1.0643 |
| S1 |
1.0581 |
1.0581 |
1.0654 |
1.0536 |
| S2 |
1.0491 |
1.0491 |
1.0638 |
|
| S3 |
1.0317 |
1.0407 |
1.0622 |
|
| S4 |
1.0143 |
1.0233 |
1.0574 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0750 |
1.0576 |
0.0174 |
1.6% |
0.0086 |
0.8% |
54% |
False |
False |
11,865 |
| 10 |
1.0839 |
1.0576 |
0.0263 |
2.5% |
0.0098 |
0.9% |
36% |
False |
False |
15,319 |
| 20 |
1.0990 |
1.0501 |
0.0489 |
4.6% |
0.0109 |
1.0% |
35% |
False |
False |
11,257 |
| 40 |
1.1427 |
1.0501 |
0.0926 |
8.7% |
0.0107 |
1.0% |
18% |
False |
False |
5,656 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0092 |
0.9% |
14% |
False |
False |
3,776 |
| 80 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0077 |
0.7% |
14% |
False |
False |
2,842 |
| 100 |
1.3800 |
1.0501 |
0.3299 |
30.9% |
0.0067 |
0.6% |
5% |
False |
False |
2,276 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.7% |
0.0061 |
0.6% |
5% |
False |
False |
1,897 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1140 |
|
2.618 |
1.0980 |
|
1.618 |
1.0882 |
|
1.000 |
1.0821 |
|
0.618 |
1.0784 |
|
HIGH |
1.0723 |
|
0.618 |
1.0686 |
|
0.500 |
1.0674 |
|
0.382 |
1.0662 |
|
LOW |
1.0625 |
|
0.618 |
1.0564 |
|
1.000 |
1.0527 |
|
1.618 |
1.0466 |
|
2.618 |
1.0368 |
|
4.250 |
1.0209 |
|
|
| Fisher Pivots for day following 30-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0674 |
1.0668 |
| PP |
1.0673 |
1.0665 |
| S1 |
1.0671 |
1.0663 |
|