CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 23-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jan-2012 |
23-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0731 |
1.0675 |
-0.0056 |
-0.5% |
1.0480 |
| High |
1.0755 |
1.0817 |
0.0062 |
0.6% |
1.0755 |
| Low |
1.0680 |
1.0674 |
-0.0006 |
-0.1% |
1.0457 |
| Close |
1.0699 |
1.0791 |
0.0092 |
0.9% |
1.0699 |
| Range |
0.0075 |
0.0143 |
0.0068 |
90.7% |
0.0298 |
| ATR |
0.0115 |
0.0117 |
0.0002 |
1.7% |
0.0000 |
| Volume |
20,067 |
28,036 |
7,969 |
39.7% |
118,633 |
|
| Daily Pivots for day following 23-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1190 |
1.1133 |
1.0870 |
|
| R3 |
1.1047 |
1.0990 |
1.0830 |
|
| R2 |
1.0904 |
1.0904 |
1.0817 |
|
| R1 |
1.0847 |
1.0847 |
1.0804 |
1.0876 |
| PP |
1.0761 |
1.0761 |
1.0761 |
1.0775 |
| S1 |
1.0704 |
1.0704 |
1.0778 |
1.0733 |
| S2 |
1.0618 |
1.0618 |
1.0765 |
|
| S3 |
1.0475 |
1.0561 |
1.0752 |
|
| S4 |
1.0332 |
1.0418 |
1.0712 |
|
|
| Weekly Pivots for week ending 20-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1531 |
1.1413 |
1.0863 |
|
| R3 |
1.1233 |
1.1115 |
1.0781 |
|
| R2 |
1.0935 |
1.0935 |
1.0754 |
|
| R1 |
1.0817 |
1.0817 |
1.0726 |
1.0876 |
| PP |
1.0637 |
1.0637 |
1.0637 |
1.0667 |
| S1 |
1.0519 |
1.0519 |
1.0672 |
1.0578 |
| S2 |
1.0339 |
1.0339 |
1.0644 |
|
| S3 |
1.0041 |
1.0221 |
1.0617 |
|
| S4 |
0.9743 |
0.9923 |
1.0535 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0817 |
1.0457 |
0.0360 |
3.3% |
0.0120 |
1.1% |
93% |
True |
False |
29,333 |
| 10 |
1.0817 |
1.0431 |
0.0386 |
3.6% |
0.0121 |
1.1% |
93% |
True |
False |
27,336 |
| 20 |
1.0817 |
1.0431 |
0.0386 |
3.6% |
0.0109 |
1.0% |
93% |
True |
False |
21,485 |
| 40 |
1.1058 |
1.0431 |
0.0627 |
5.8% |
0.0118 |
1.1% |
57% |
False |
False |
14,585 |
| 60 |
1.1700 |
1.0431 |
0.1269 |
11.8% |
0.0109 |
1.0% |
28% |
False |
False |
9,729 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.8% |
0.0092 |
0.9% |
28% |
False |
False |
7,300 |
| 100 |
1.2850 |
1.0431 |
0.2419 |
22.4% |
0.0078 |
0.7% |
15% |
False |
False |
5,847 |
| 120 |
1.4099 |
1.0431 |
0.3668 |
34.0% |
0.0075 |
0.7% |
10% |
False |
False |
4,874 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1425 |
|
2.618 |
1.1191 |
|
1.618 |
1.1048 |
|
1.000 |
1.0960 |
|
0.618 |
1.0905 |
|
HIGH |
1.0817 |
|
0.618 |
1.0762 |
|
0.500 |
1.0746 |
|
0.382 |
1.0729 |
|
LOW |
1.0674 |
|
0.618 |
1.0586 |
|
1.000 |
1.0531 |
|
1.618 |
1.0443 |
|
2.618 |
1.0300 |
|
4.250 |
1.0066 |
|
|
| Fisher Pivots for day following 23-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0776 |
1.0769 |
| PP |
1.0761 |
1.0747 |
| S1 |
1.0746 |
1.0725 |
|