CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 01-Feb-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Jan-2012 |
01-Feb-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0907 |
1.0876 |
-0.0031 |
-0.3% |
1.0675 |
| High |
1.0969 |
1.0979 |
0.0010 |
0.1% |
1.0979 |
| Low |
1.0845 |
1.0819 |
-0.0026 |
-0.2% |
1.0674 |
| Close |
1.0876 |
1.0928 |
0.0052 |
0.5% |
1.0959 |
| Range |
0.0124 |
0.0160 |
0.0036 |
29.0% |
0.0305 |
| ATR |
0.0117 |
0.0120 |
0.0003 |
2.7% |
0.0000 |
| Volume |
25,917 |
28,663 |
2,746 |
10.6% |
150,470 |
|
| Daily Pivots for day following 01-Feb-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1389 |
1.1318 |
1.1016 |
|
| R3 |
1.1229 |
1.1158 |
1.0972 |
|
| R2 |
1.1069 |
1.1069 |
1.0957 |
|
| R1 |
1.0998 |
1.0998 |
1.0943 |
1.1034 |
| PP |
1.0909 |
1.0909 |
1.0909 |
1.0926 |
| S1 |
1.0838 |
1.0838 |
1.0913 |
1.0874 |
| S2 |
1.0749 |
1.0749 |
1.0899 |
|
| S3 |
1.0589 |
1.0678 |
1.0884 |
|
| S4 |
1.0429 |
1.0518 |
1.0840 |
|
|
| 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 |
1.0819 |
0.0160 |
1.5% |
0.0121 |
1.1% |
68% |
True |
True |
28,320 |
| 10 |
1.0979 |
1.0632 |
0.0347 |
3.2% |
0.0118 |
1.1% |
85% |
True |
False |
27,707 |
| 20 |
1.0979 |
1.0431 |
0.0548 |
5.0% |
0.0122 |
1.1% |
91% |
True |
False |
27,295 |
| 40 |
1.0979 |
1.0431 |
0.0548 |
5.0% |
0.0114 |
1.0% |
91% |
True |
False |
19,631 |
| 60 |
1.1336 |
1.0431 |
0.0905 |
8.3% |
0.0111 |
1.0% |
55% |
False |
False |
13,113 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0099 |
0.9% |
39% |
False |
False |
9,838 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0087 |
0.8% |
39% |
False |
False |
7,879 |
| 120 |
1.3179 |
1.0431 |
0.2748 |
25.1% |
0.0076 |
0.7% |
18% |
False |
False |
6,568 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1659 |
|
2.618 |
1.1398 |
|
1.618 |
1.1238 |
|
1.000 |
1.1139 |
|
0.618 |
1.1078 |
|
HIGH |
1.0979 |
|
0.618 |
1.0918 |
|
0.500 |
1.0899 |
|
0.382 |
1.0880 |
|
LOW |
1.0819 |
|
0.618 |
1.0720 |
|
1.000 |
1.0659 |
|
1.618 |
1.0560 |
|
2.618 |
1.0400 |
|
4.250 |
1.0139 |
|
|
| Fisher Pivots for day following 01-Feb-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0918 |
1.0918 |
| PP |
1.0909 |
1.0909 |
| S1 |
1.0899 |
1.0899 |
|