CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 08-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Mar-2012 |
08-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0883 |
1.0917 |
0.0034 |
0.3% |
1.1182 |
| High |
1.0921 |
1.1024 |
0.0103 |
0.9% |
1.1193 |
| Low |
1.0869 |
1.0899 |
0.0030 |
0.3% |
1.0930 |
| Close |
1.0910 |
1.1011 |
0.0101 |
0.9% |
1.0945 |
| Range |
0.0052 |
0.0125 |
0.0073 |
140.4% |
0.0263 |
| ATR |
0.0099 |
0.0101 |
0.0002 |
1.8% |
0.0000 |
| Volume |
40,168 |
48,331 |
8,163 |
20.3% |
243,796 |
|
| Daily Pivots for day following 08-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1353 |
1.1307 |
1.1080 |
|
| R3 |
1.1228 |
1.1182 |
1.1045 |
|
| R2 |
1.1103 |
1.1103 |
1.1034 |
|
| R1 |
1.1057 |
1.1057 |
1.1022 |
1.1080 |
| PP |
1.0978 |
1.0978 |
1.0978 |
1.0990 |
| S1 |
1.0932 |
1.0932 |
1.1000 |
1.0955 |
| S2 |
1.0853 |
1.0853 |
1.0988 |
|
| S3 |
1.0728 |
1.0807 |
1.0977 |
|
| S4 |
1.0603 |
1.0682 |
1.0942 |
|
|
| 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 |
1.1054 |
1.0869 |
0.0185 |
1.7% |
0.0093 |
0.8% |
77% |
False |
False |
40,448 |
| 10 |
1.1200 |
1.0869 |
0.0331 |
3.0% |
0.0097 |
0.9% |
43% |
False |
False |
44,601 |
| 20 |
1.1200 |
1.0755 |
0.0445 |
4.0% |
0.0099 |
0.9% |
58% |
False |
False |
40,826 |
| 40 |
1.1200 |
1.0453 |
0.0747 |
6.8% |
0.0110 |
1.0% |
75% |
False |
False |
35,030 |
| 60 |
1.1200 |
1.0431 |
0.0769 |
7.0% |
0.0110 |
1.0% |
75% |
False |
False |
29,061 |
| 80 |
1.1200 |
1.0431 |
0.0769 |
7.0% |
0.0108 |
1.0% |
75% |
False |
False |
21,931 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.5% |
0.0101 |
0.9% |
46% |
False |
False |
17,548 |
| 120 |
1.1700 |
1.0431 |
0.1269 |
11.5% |
0.0093 |
0.8% |
46% |
False |
False |
14,626 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1555 |
|
2.618 |
1.1351 |
|
1.618 |
1.1226 |
|
1.000 |
1.1149 |
|
0.618 |
1.1101 |
|
HIGH |
1.1024 |
|
0.618 |
1.0976 |
|
0.500 |
1.0962 |
|
0.382 |
1.0947 |
|
LOW |
1.0899 |
|
0.618 |
1.0822 |
|
1.000 |
1.0774 |
|
1.618 |
1.0697 |
|
2.618 |
1.0572 |
|
4.250 |
1.0368 |
|
|
| Fisher Pivots for day following 08-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0995 |
1.0990 |
| PP |
1.0978 |
1.0968 |
| S1 |
1.0962 |
1.0947 |
|