CME Swiss Franc Future June 2012
| Trading Metrics calculated at close of trading on 27-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Mar-2012 |
27-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.1026 |
1.1085 |
0.0059 |
0.5% |
1.0939 |
| High |
1.1095 |
1.1102 |
0.0007 |
0.1% |
1.1042 |
| Low |
1.0956 |
1.1057 |
0.0101 |
0.9% |
1.0905 |
| Close |
1.1079 |
1.1073 |
-0.0006 |
-0.1% |
1.1018 |
| Range |
0.0139 |
0.0045 |
-0.0094 |
-67.6% |
0.0137 |
| ATR |
0.0098 |
0.0094 |
-0.0004 |
-3.9% |
0.0000 |
| Volume |
35,255 |
32,354 |
-2,901 |
-8.2% |
170,061 |
|
| Daily Pivots for day following 27-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1212 |
1.1188 |
1.1098 |
|
| R3 |
1.1167 |
1.1143 |
1.1085 |
|
| R2 |
1.1122 |
1.1122 |
1.1081 |
|
| R1 |
1.1098 |
1.1098 |
1.1077 |
1.1088 |
| PP |
1.1077 |
1.1077 |
1.1077 |
1.1072 |
| S1 |
1.1053 |
1.1053 |
1.1069 |
1.1043 |
| S2 |
1.1032 |
1.1032 |
1.1065 |
|
| S3 |
1.0987 |
1.1008 |
1.1061 |
|
| S4 |
1.0942 |
1.0963 |
1.1048 |
|
|
| Weekly Pivots for week ending 23-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1399 |
1.1346 |
1.1093 |
|
| R3 |
1.1262 |
1.1209 |
1.1056 |
|
| R2 |
1.1125 |
1.1125 |
1.1043 |
|
| R1 |
1.1072 |
1.1072 |
1.1031 |
1.1099 |
| PP |
1.0988 |
1.0988 |
1.0988 |
1.1002 |
| S1 |
1.0935 |
1.0935 |
1.1005 |
1.0962 |
| S2 |
1.0851 |
1.0851 |
1.0993 |
|
| S3 |
1.0714 |
1.0798 |
1.0980 |
|
| S4 |
1.0577 |
1.0661 |
1.0943 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1102 |
1.0905 |
0.0197 |
1.8% |
0.0094 |
0.9% |
85% |
True |
False |
34,114 |
| 10 |
1.1102 |
1.0725 |
0.0377 |
3.4% |
0.0104 |
0.9% |
92% |
True |
False |
32,888 |
| 20 |
1.1205 |
1.0725 |
0.0480 |
4.3% |
0.0099 |
0.9% |
73% |
False |
False |
18,340 |
| 40 |
1.1213 |
1.0725 |
0.0488 |
4.4% |
0.0080 |
0.7% |
71% |
False |
False |
9,190 |
| 60 |
1.1213 |
1.0489 |
0.0724 |
6.5% |
0.0065 |
0.6% |
81% |
False |
False |
6,129 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1293 |
|
2.618 |
1.1220 |
|
1.618 |
1.1175 |
|
1.000 |
1.1147 |
|
0.618 |
1.1130 |
|
HIGH |
1.1102 |
|
0.618 |
1.1085 |
|
0.500 |
1.1080 |
|
0.382 |
1.1074 |
|
LOW |
1.1057 |
|
0.618 |
1.1029 |
|
1.000 |
1.1012 |
|
1.618 |
1.0984 |
|
2.618 |
1.0939 |
|
4.250 |
1.0866 |
|
|
| Fisher Pivots for day following 27-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.1080 |
1.1057 |
| PP |
1.1077 |
1.1040 |
| S1 |
1.1075 |
1.1024 |
|