CME Swiss Franc Future December 2012
| Trading Metrics calculated at close of trading on 27-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2012 |
27-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0681 |
1.0660 |
-0.0021 |
-0.2% |
1.0809 |
| High |
1.0696 |
1.0696 |
0.0000 |
0.0% |
1.0831 |
| Low |
1.0632 |
1.0632 |
0.0000 |
0.0% |
1.0702 |
| Close |
1.0653 |
1.0686 |
0.0033 |
0.3% |
1.0740 |
| Range |
0.0064 |
0.0064 |
0.0000 |
0.0% |
0.0129 |
| ATR |
0.0072 |
0.0072 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
30,710 |
33,317 |
2,607 |
8.5% |
151,646 |
|
| Daily Pivots for day following 27-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0863 |
1.0839 |
1.0721 |
|
| R3 |
1.0799 |
1.0775 |
1.0704 |
|
| R2 |
1.0735 |
1.0735 |
1.0698 |
|
| R1 |
1.0711 |
1.0711 |
1.0692 |
1.0723 |
| PP |
1.0671 |
1.0671 |
1.0671 |
1.0678 |
| S1 |
1.0647 |
1.0647 |
1.0680 |
1.0659 |
| S2 |
1.0607 |
1.0607 |
1.0674 |
|
| S3 |
1.0543 |
1.0583 |
1.0668 |
|
| S4 |
1.0479 |
1.0519 |
1.0651 |
|
|
| Weekly Pivots for week ending 21-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1145 |
1.1071 |
1.0811 |
|
| R3 |
1.1016 |
1.0942 |
1.0775 |
|
| R2 |
1.0887 |
1.0887 |
1.0764 |
|
| R1 |
1.0813 |
1.0813 |
1.0752 |
1.0786 |
| PP |
1.0758 |
1.0758 |
1.0758 |
1.0744 |
| S1 |
1.0684 |
1.0684 |
1.0728 |
1.0657 |
| S2 |
1.0629 |
1.0629 |
1.0716 |
|
| S3 |
1.0500 |
1.0555 |
1.0705 |
|
| S4 |
1.0371 |
1.0426 |
1.0669 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0785 |
1.0632 |
0.0153 |
1.4% |
0.0068 |
0.6% |
35% |
False |
True |
31,377 |
| 10 |
1.0838 |
1.0632 |
0.0206 |
1.9% |
0.0076 |
0.7% |
26% |
False |
True |
31,402 |
| 20 |
1.0838 |
1.0430 |
0.0408 |
3.8% |
0.0079 |
0.7% |
63% |
False |
False |
18,931 |
| 40 |
1.0838 |
1.0162 |
0.0676 |
6.3% |
0.0057 |
0.5% |
78% |
False |
False |
9,484 |
| 60 |
1.0838 |
1.0085 |
0.0753 |
7.0% |
0.0050 |
0.5% |
80% |
False |
False |
6,326 |
| 80 |
1.0838 |
1.0085 |
0.0753 |
7.0% |
0.0042 |
0.4% |
80% |
False |
False |
4,751 |
| 100 |
1.0886 |
1.0085 |
0.0801 |
7.5% |
0.0034 |
0.3% |
75% |
False |
False |
3,801 |
| 120 |
1.1081 |
1.0085 |
0.0996 |
9.3% |
0.0029 |
0.3% |
60% |
False |
False |
3,167 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0968 |
|
2.618 |
1.0864 |
|
1.618 |
1.0800 |
|
1.000 |
1.0760 |
|
0.618 |
1.0736 |
|
HIGH |
1.0696 |
|
0.618 |
1.0672 |
|
0.500 |
1.0664 |
|
0.382 |
1.0656 |
|
LOW |
1.0632 |
|
0.618 |
1.0592 |
|
1.000 |
1.0568 |
|
1.618 |
1.0528 |
|
2.618 |
1.0464 |
|
4.250 |
1.0360 |
|
|
| Fisher Pivots for day following 27-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0679 |
1.0685 |
| PP |
1.0671 |
1.0684 |
| S1 |
1.0664 |
1.0683 |
|