CME Swiss Franc Future June 2012
| Trading Metrics calculated at close of trading on 21-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Mar-2012 |
21-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0988 |
1.0979 |
-0.0009 |
-0.1% |
1.0897 |
| High |
1.1001 |
1.1030 |
0.0029 |
0.3% |
1.0951 |
| Low |
1.0937 |
1.0941 |
0.0004 |
0.0% |
1.0725 |
| Close |
1.0983 |
1.0964 |
-0.0019 |
-0.2% |
1.0932 |
| Range |
0.0064 |
0.0089 |
0.0025 |
39.1% |
0.0226 |
| ATR |
0.0095 |
0.0094 |
0.0000 |
-0.4% |
0.0000 |
| Volume |
29,225 |
33,895 |
4,670 |
16.0% |
108,815 |
|
| Daily Pivots for day following 21-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1245 |
1.1194 |
1.1013 |
|
| R3 |
1.1156 |
1.1105 |
1.0988 |
|
| R2 |
1.1067 |
1.1067 |
1.0980 |
|
| R1 |
1.1016 |
1.1016 |
1.0972 |
1.0997 |
| PP |
1.0978 |
1.0978 |
1.0978 |
1.0969 |
| S1 |
1.0927 |
1.0927 |
1.0956 |
1.0908 |
| S2 |
1.0889 |
1.0889 |
1.0948 |
|
| S3 |
1.0800 |
1.0838 |
1.0940 |
|
| S4 |
1.0711 |
1.0749 |
1.0915 |
|
|
| 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 |
1.1030 |
1.0725 |
0.0305 |
2.8% |
0.0107 |
1.0% |
78% |
True |
False |
33,789 |
| 10 |
1.1034 |
1.0725 |
0.0309 |
2.8% |
0.0112 |
1.0% |
77% |
False |
False |
21,992 |
| 20 |
1.1213 |
1.0725 |
0.0488 |
4.5% |
0.0097 |
0.9% |
49% |
False |
False |
11,524 |
| 40 |
1.1213 |
1.0725 |
0.0488 |
4.5% |
0.0076 |
0.7% |
49% |
False |
False |
5,774 |
| 60 |
1.1213 |
1.0489 |
0.0724 |
6.6% |
0.0059 |
0.5% |
66% |
False |
False |
3,851 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1408 |
|
2.618 |
1.1263 |
|
1.618 |
1.1174 |
|
1.000 |
1.1119 |
|
0.618 |
1.1085 |
|
HIGH |
1.1030 |
|
0.618 |
1.0996 |
|
0.500 |
1.0986 |
|
0.382 |
1.0975 |
|
LOW |
1.0941 |
|
0.618 |
1.0886 |
|
1.000 |
1.0852 |
|
1.618 |
1.0797 |
|
2.618 |
1.0708 |
|
4.250 |
1.0563 |
|
|
| Fisher Pivots for day following 21-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0986 |
1.0968 |
| PP |
1.0978 |
1.0967 |
| S1 |
1.0971 |
1.0965 |
|