CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 27-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jan-2012 |
27-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0856 |
1.0868 |
0.0012 |
0.1% |
1.0675 |
| High |
1.0927 |
1.0979 |
0.0052 |
0.5% |
1.0979 |
| Low |
1.0842 |
1.0841 |
-0.0001 |
0.0% |
1.0674 |
| Close |
1.0876 |
1.0959 |
0.0083 |
0.8% |
1.0959 |
| Range |
0.0085 |
0.0138 |
0.0053 |
62.4% |
0.0305 |
| ATR |
0.0116 |
0.0117 |
0.0002 |
1.4% |
0.0000 |
| Volume |
30,616 |
30,219 |
-397 |
-1.3% |
150,470 |
|
| Daily Pivots for day following 27-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1340 |
1.1288 |
1.1035 |
|
| R3 |
1.1202 |
1.1150 |
1.0997 |
|
| R2 |
1.1064 |
1.1064 |
1.0984 |
|
| R1 |
1.1012 |
1.1012 |
1.0972 |
1.1038 |
| PP |
1.0926 |
1.0926 |
1.0926 |
1.0940 |
| S1 |
1.0874 |
1.0874 |
1.0946 |
1.0900 |
| S2 |
1.0788 |
1.0788 |
1.0934 |
|
| S3 |
1.0650 |
1.0736 |
1.0921 |
|
| S4 |
1.0512 |
1.0598 |
1.0883 |
|
|
| Weekly Pivots for week ending 27-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1786 |
1.1677 |
1.1127 |
|
| R3 |
1.1481 |
1.1372 |
1.1043 |
|
| R2 |
1.1176 |
1.1176 |
1.1015 |
|
| R1 |
1.1067 |
1.1067 |
1.0987 |
1.1122 |
| PP |
1.0871 |
1.0871 |
1.0871 |
1.0898 |
| S1 |
1.0762 |
1.0762 |
1.0931 |
1.0817 |
| S2 |
1.0566 |
1.0566 |
1.0903 |
|
| S3 |
1.0261 |
1.0457 |
1.0875 |
|
| S4 |
0.9956 |
1.0152 |
1.0791 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0979 |
1.0674 |
0.0305 |
2.8% |
0.0122 |
1.1% |
93% |
True |
False |
30,094 |
| 10 |
1.0979 |
1.0453 |
0.0526 |
4.8% |
0.0126 |
1.1% |
96% |
True |
False |
30,172 |
| 20 |
1.0979 |
1.0431 |
0.0548 |
5.0% |
0.0115 |
1.1% |
96% |
True |
False |
25,331 |
| 40 |
1.1058 |
1.0431 |
0.0627 |
5.7% |
0.0116 |
1.1% |
84% |
False |
False |
17,639 |
| 60 |
1.1427 |
1.0431 |
0.0996 |
9.1% |
0.0109 |
1.0% |
53% |
False |
False |
11,768 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0096 |
0.9% |
42% |
False |
False |
8,830 |
| 100 |
1.1850 |
1.0431 |
0.1419 |
12.9% |
0.0083 |
0.8% |
37% |
False |
False |
7,071 |
| 120 |
1.4099 |
1.0431 |
0.3668 |
33.5% |
0.0078 |
0.7% |
14% |
False |
False |
5,895 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1566 |
|
2.618 |
1.1340 |
|
1.618 |
1.1202 |
|
1.000 |
1.1117 |
|
0.618 |
1.1064 |
|
HIGH |
1.0979 |
|
0.618 |
1.0926 |
|
0.500 |
1.0910 |
|
0.382 |
1.0894 |
|
LOW |
1.0841 |
|
0.618 |
1.0756 |
|
1.000 |
1.0703 |
|
1.618 |
1.0618 |
|
2.618 |
1.0480 |
|
4.250 |
1.0255 |
|
|
| Fisher Pivots for day following 27-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0943 |
1.0922 |
| PP |
1.0926 |
1.0884 |
| S1 |
1.0910 |
1.0847 |
|