CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 06-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Mar-2012 |
06-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0939 |
1.0962 |
0.0023 |
0.2% |
1.1182 |
| High |
1.0983 |
1.0973 |
-0.0010 |
-0.1% |
1.1193 |
| Low |
1.0915 |
1.0875 |
-0.0040 |
-0.4% |
1.0930 |
| Close |
1.0968 |
1.0878 |
-0.0090 |
-0.8% |
1.0945 |
| Range |
0.0068 |
0.0098 |
0.0030 |
44.1% |
0.0263 |
| ATR |
0.0103 |
0.0103 |
0.0000 |
-0.4% |
0.0000 |
| Volume |
31,552 |
39,373 |
7,821 |
24.8% |
243,796 |
|
| Daily Pivots for day following 06-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1203 |
1.1138 |
1.0932 |
|
| R3 |
1.1105 |
1.1040 |
1.0905 |
|
| R2 |
1.1007 |
1.1007 |
1.0896 |
|
| R1 |
1.0942 |
1.0942 |
1.0887 |
1.0926 |
| PP |
1.0909 |
1.0909 |
1.0909 |
1.0900 |
| S1 |
1.0844 |
1.0844 |
1.0869 |
1.0828 |
| S2 |
1.0811 |
1.0811 |
1.0860 |
|
| S3 |
1.0713 |
1.0746 |
1.0851 |
|
| S4 |
1.0615 |
1.0648 |
1.0824 |
|
|
| Weekly Pivots for week ending 02-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1812 |
1.1641 |
1.1090 |
|
| R3 |
1.1549 |
1.1378 |
1.1017 |
|
| R2 |
1.1286 |
1.1286 |
1.0993 |
|
| R1 |
1.1115 |
1.1115 |
1.0969 |
1.1069 |
| PP |
1.1023 |
1.1023 |
1.1023 |
1.1000 |
| S1 |
1.0852 |
1.0852 |
1.0921 |
1.0806 |
| S2 |
1.0760 |
1.0760 |
1.0897 |
|
| S3 |
1.0497 |
1.0589 |
1.0873 |
|
| S4 |
1.0234 |
1.0326 |
1.0800 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1193 |
1.0875 |
0.0318 |
2.9% |
0.0099 |
0.9% |
1% |
False |
True |
44,694 |
| 10 |
1.1200 |
1.0875 |
0.0325 |
3.0% |
0.0097 |
0.9% |
1% |
False |
True |
44,129 |
| 20 |
1.1200 |
1.0755 |
0.0445 |
4.1% |
0.0100 |
0.9% |
28% |
False |
False |
39,431 |
| 40 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0109 |
1.0% |
58% |
False |
False |
33,895 |
| 60 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0111 |
1.0% |
58% |
False |
False |
27,701 |
| 80 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0108 |
1.0% |
58% |
False |
False |
20,825 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0100 |
0.9% |
35% |
False |
False |
16,663 |
| 120 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0091 |
0.8% |
35% |
False |
False |
13,888 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1390 |
|
2.618 |
1.1230 |
|
1.618 |
1.1132 |
|
1.000 |
1.1071 |
|
0.618 |
1.1034 |
|
HIGH |
1.0973 |
|
0.618 |
1.0936 |
|
0.500 |
1.0924 |
|
0.382 |
1.0912 |
|
LOW |
1.0875 |
|
0.618 |
1.0814 |
|
1.000 |
1.0777 |
|
1.618 |
1.0716 |
|
2.618 |
1.0618 |
|
4.250 |
1.0459 |
|
|
| Fisher Pivots for day following 06-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0924 |
1.0965 |
| PP |
1.0909 |
1.0936 |
| S1 |
1.0893 |
1.0907 |
|