CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 13-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Mar-2012 |
13-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0878 |
1.0906 |
0.0028 |
0.3% |
1.0939 |
| High |
1.0914 |
1.0941 |
0.0027 |
0.2% |
1.1024 |
| Low |
1.0848 |
1.0812 |
-0.0036 |
-0.3% |
1.0860 |
| Close |
1.0905 |
1.0836 |
-0.0069 |
-0.6% |
1.0869 |
| Range |
0.0066 |
0.0129 |
0.0063 |
95.5% |
0.0164 |
| ATR |
0.0102 |
0.0104 |
0.0002 |
1.9% |
0.0000 |
| Volume |
39,641 |
49,795 |
10,154 |
25.6% |
221,244 |
|
| Daily Pivots for day following 13-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1250 |
1.1172 |
1.0907 |
|
| R3 |
1.1121 |
1.1043 |
1.0871 |
|
| R2 |
1.0992 |
1.0992 |
1.0860 |
|
| R1 |
1.0914 |
1.0914 |
1.0848 |
1.0889 |
| PP |
1.0863 |
1.0863 |
1.0863 |
1.0850 |
| S1 |
1.0785 |
1.0785 |
1.0824 |
1.0760 |
| S2 |
1.0734 |
1.0734 |
1.0812 |
|
| S3 |
1.0605 |
1.0656 |
1.0801 |
|
| S4 |
1.0476 |
1.0527 |
1.0765 |
|
|
| Weekly Pivots for week ending 09-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1410 |
1.1303 |
1.0959 |
|
| R3 |
1.1246 |
1.1139 |
1.0914 |
|
| R2 |
1.1082 |
1.1082 |
1.0899 |
|
| R1 |
1.0975 |
1.0975 |
1.0884 |
1.0947 |
| PP |
1.0918 |
1.0918 |
1.0918 |
1.0903 |
| S1 |
1.0811 |
1.0811 |
1.0854 |
1.0783 |
| S2 |
1.0754 |
1.0754 |
1.0839 |
|
| S3 |
1.0590 |
1.0647 |
1.0824 |
|
| S4 |
1.0426 |
1.0483 |
1.0779 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1024 |
1.0812 |
0.0212 |
2.0% |
0.0105 |
1.0% |
11% |
False |
True |
47,951 |
| 10 |
1.1193 |
1.0812 |
0.0381 |
3.5% |
0.0102 |
0.9% |
6% |
False |
True |
46,322 |
| 20 |
1.1200 |
1.0755 |
0.0445 |
4.1% |
0.0102 |
0.9% |
18% |
False |
False |
44,333 |
| 40 |
1.1200 |
1.0457 |
0.0743 |
6.9% |
0.0107 |
1.0% |
51% |
False |
False |
36,721 |
| 60 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0108 |
1.0% |
53% |
False |
False |
30,909 |
| 80 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0109 |
1.0% |
53% |
False |
False |
23,821 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0105 |
1.0% |
32% |
False |
False |
19,060 |
| 120 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0094 |
0.9% |
32% |
False |
False |
15,886 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1489 |
|
2.618 |
1.1279 |
|
1.618 |
1.1150 |
|
1.000 |
1.1070 |
|
0.618 |
1.1021 |
|
HIGH |
1.0941 |
|
0.618 |
1.0892 |
|
0.500 |
1.0877 |
|
0.382 |
1.0861 |
|
LOW |
1.0812 |
|
0.618 |
1.0732 |
|
1.000 |
1.0683 |
|
1.618 |
1.0603 |
|
2.618 |
1.0474 |
|
4.250 |
1.0264 |
|
|
| Fisher Pivots for day following 13-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0877 |
1.0914 |
| PP |
1.0863 |
1.0888 |
| S1 |
1.0850 |
1.0862 |
|