CME Swiss Franc Future June 2012
| Trading Metrics calculated at close of trading on 20-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Mar-2012 |
20-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0939 |
1.0988 |
0.0049 |
0.4% |
1.0897 |
| High |
1.1011 |
1.1001 |
-0.0010 |
-0.1% |
1.0951 |
| Low |
1.0906 |
1.0937 |
0.0031 |
0.3% |
1.0725 |
| Close |
1.0985 |
1.0983 |
-0.0002 |
0.0% |
1.0932 |
| Range |
0.0105 |
0.0064 |
-0.0041 |
-39.0% |
0.0226 |
| ATR |
0.0097 |
0.0095 |
-0.0002 |
-2.4% |
0.0000 |
| Volume |
37,874 |
29,225 |
-8,649 |
-22.8% |
108,815 |
|
| Daily Pivots for day following 20-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1166 |
1.1138 |
1.1018 |
|
| R3 |
1.1102 |
1.1074 |
1.1001 |
|
| R2 |
1.1038 |
1.1038 |
1.0995 |
|
| R1 |
1.1010 |
1.1010 |
1.0989 |
1.0992 |
| PP |
1.0974 |
1.0974 |
1.0974 |
1.0965 |
| S1 |
1.0946 |
1.0946 |
1.0977 |
1.0928 |
| S2 |
1.0910 |
1.0910 |
1.0971 |
|
| S3 |
1.0846 |
1.0882 |
1.0965 |
|
| S4 |
1.0782 |
1.0818 |
1.0948 |
|
|
| Weekly Pivots for week ending 16-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1547 |
1.1466 |
1.1056 |
|
| R3 |
1.1321 |
1.1240 |
1.0994 |
|
| R2 |
1.1095 |
1.1095 |
1.0973 |
|
| R1 |
1.1014 |
1.1014 |
1.0953 |
1.1055 |
| PP |
1.0869 |
1.0869 |
1.0869 |
1.0890 |
| S1 |
1.0788 |
1.0788 |
1.0911 |
1.0829 |
| S2 |
1.0643 |
1.0643 |
1.0891 |
|
| S3 |
1.0417 |
1.0562 |
1.0870 |
|
| S4 |
1.0191 |
1.0336 |
1.0808 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1011 |
1.0725 |
0.0286 |
2.6% |
0.0113 |
1.0% |
90% |
False |
False |
31,662 |
| 10 |
1.1034 |
1.0725 |
0.0309 |
2.8% |
0.0108 |
1.0% |
83% |
False |
False |
18,769 |
| 20 |
1.1213 |
1.0725 |
0.0488 |
4.4% |
0.0095 |
0.9% |
53% |
False |
False |
9,834 |
| 40 |
1.1213 |
1.0725 |
0.0488 |
4.4% |
0.0074 |
0.7% |
53% |
False |
False |
4,927 |
| 60 |
1.1213 |
1.0489 |
0.0724 |
6.6% |
0.0057 |
0.5% |
68% |
False |
False |
3,287 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1273 |
|
2.618 |
1.1169 |
|
1.618 |
1.1105 |
|
1.000 |
1.1065 |
|
0.618 |
1.1041 |
|
HIGH |
1.1001 |
|
0.618 |
1.0977 |
|
0.500 |
1.0969 |
|
0.382 |
1.0961 |
|
LOW |
1.0937 |
|
0.618 |
1.0897 |
|
1.000 |
1.0873 |
|
1.618 |
1.0833 |
|
2.618 |
1.0769 |
|
4.250 |
1.0665 |
|
|
| Fisher Pivots for day following 20-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0978 |
1.0960 |
| PP |
1.0974 |
1.0937 |
| S1 |
1.0969 |
1.0914 |
|