CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 21-Feb-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Feb-2012 |
21-Feb-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0883 |
1.0914 |
0.0031 |
0.3% |
1.0946 |
| High |
1.0921 |
1.1023 |
0.0102 |
0.9% |
1.0990 |
| Low |
1.0864 |
1.0890 |
0.0026 |
0.2% |
1.0755 |
| Close |
1.0890 |
1.0970 |
0.0080 |
0.7% |
1.0890 |
| Range |
0.0057 |
0.0133 |
0.0076 |
133.3% |
0.0235 |
| ATR |
0.0109 |
0.0110 |
0.0002 |
1.6% |
0.0000 |
| Volume |
29,006 |
59,188 |
30,182 |
104.1% |
172,207 |
|
| Daily Pivots for day following 21-Feb-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1360 |
1.1298 |
1.1043 |
|
| R3 |
1.1227 |
1.1165 |
1.1007 |
|
| R2 |
1.1094 |
1.1094 |
1.0994 |
|
| R1 |
1.1032 |
1.1032 |
1.0982 |
1.1063 |
| PP |
1.0961 |
1.0961 |
1.0961 |
1.0977 |
| S1 |
1.0899 |
1.0899 |
1.0958 |
1.0930 |
| S2 |
1.0828 |
1.0828 |
1.0946 |
|
| S3 |
1.0695 |
1.0766 |
1.0933 |
|
| S4 |
1.0562 |
1.0633 |
1.0897 |
|
|
| Weekly Pivots for week ending 17-Feb-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1583 |
1.1472 |
1.1019 |
|
| R3 |
1.1348 |
1.1237 |
1.0955 |
|
| R2 |
1.1113 |
1.1113 |
1.0933 |
|
| R1 |
1.1002 |
1.1002 |
1.0912 |
1.0940 |
| PP |
1.0878 |
1.0878 |
1.0878 |
1.0848 |
| S1 |
1.0767 |
1.0767 |
1.0868 |
1.0705 |
| S2 |
1.0643 |
1.0643 |
1.0847 |
|
| S3 |
1.0408 |
1.0532 |
1.0825 |
|
| S4 |
1.0173 |
1.0297 |
1.0761 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1023 |
1.0755 |
0.0268 |
2.4% |
0.0111 |
1.0% |
80% |
True |
False |
41,124 |
| 10 |
1.1023 |
1.0755 |
0.0268 |
2.4% |
0.0103 |
0.9% |
80% |
True |
False |
34,733 |
| 20 |
1.1023 |
1.0715 |
0.0308 |
2.8% |
0.0110 |
1.0% |
83% |
True |
False |
32,057 |
| 40 |
1.1023 |
1.0431 |
0.0592 |
5.4% |
0.0110 |
1.0% |
91% |
True |
False |
26,771 |
| 60 |
1.1058 |
1.0431 |
0.0627 |
5.7% |
0.0116 |
1.1% |
86% |
False |
False |
20,409 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0109 |
1.0% |
42% |
False |
False |
15,311 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0095 |
0.9% |
42% |
False |
False |
12,252 |
| 120 |
1.2850 |
1.0431 |
0.2419 |
22.1% |
0.0084 |
0.8% |
22% |
False |
False |
10,215 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1588 |
|
2.618 |
1.1371 |
|
1.618 |
1.1238 |
|
1.000 |
1.1156 |
|
0.618 |
1.1105 |
|
HIGH |
1.1023 |
|
0.618 |
1.0972 |
|
0.500 |
1.0957 |
|
0.382 |
1.0941 |
|
LOW |
1.0890 |
|
0.618 |
1.0808 |
|
1.000 |
1.0757 |
|
1.618 |
1.0675 |
|
2.618 |
1.0542 |
|
4.250 |
1.0325 |
|
|
| Fisher Pivots for day following 21-Feb-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0966 |
1.0943 |
| PP |
1.0961 |
1.0916 |
| S1 |
1.0957 |
1.0889 |
|