CME Swiss Franc Future December 2012
| Trading Metrics calculated at close of trading on 28-Sep-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2012 |
28-Sep-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0660 |
1.0686 |
0.0026 |
0.2% |
1.0731 |
| High |
1.0696 |
1.0726 |
0.0030 |
0.3% |
1.0740 |
| Low |
1.0632 |
1.0636 |
0.0004 |
0.0% |
1.0632 |
| Close |
1.0686 |
1.0649 |
-0.0037 |
-0.3% |
1.0649 |
| Range |
0.0064 |
0.0090 |
0.0026 |
40.6% |
0.0108 |
| ATR |
0.0072 |
0.0073 |
0.0001 |
1.8% |
0.0000 |
| Volume |
33,317 |
40,303 |
6,986 |
21.0% |
162,458 |
|
| Daily Pivots for day following 28-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0940 |
1.0885 |
1.0699 |
|
| R3 |
1.0850 |
1.0795 |
1.0674 |
|
| R2 |
1.0760 |
1.0760 |
1.0666 |
|
| R1 |
1.0705 |
1.0705 |
1.0657 |
1.0688 |
| PP |
1.0670 |
1.0670 |
1.0670 |
1.0662 |
| S1 |
1.0615 |
1.0615 |
1.0641 |
1.0598 |
| S2 |
1.0580 |
1.0580 |
1.0633 |
|
| S3 |
1.0490 |
1.0525 |
1.0624 |
|
| S4 |
1.0400 |
1.0435 |
1.0600 |
|
|
| Weekly Pivots for week ending 28-Sep-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0998 |
1.0931 |
1.0708 |
|
| R3 |
1.0890 |
1.0823 |
1.0679 |
|
| R2 |
1.0782 |
1.0782 |
1.0669 |
|
| R1 |
1.0715 |
1.0715 |
1.0659 |
1.0695 |
| PP |
1.0674 |
1.0674 |
1.0674 |
1.0663 |
| S1 |
1.0607 |
1.0607 |
1.0639 |
1.0587 |
| S2 |
1.0566 |
1.0566 |
1.0629 |
|
| S3 |
1.0458 |
1.0499 |
1.0619 |
|
| S4 |
1.0350 |
1.0391 |
1.0590 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0740 |
1.0632 |
0.0108 |
1.0% |
0.0072 |
0.7% |
16% |
False |
False |
32,491 |
| 10 |
1.0831 |
1.0632 |
0.0199 |
1.9% |
0.0071 |
0.7% |
9% |
False |
False |
31,410 |
| 20 |
1.0838 |
1.0430 |
0.0408 |
3.8% |
0.0081 |
0.8% |
54% |
False |
False |
20,945 |
| 40 |
1.0838 |
1.0187 |
0.0651 |
6.1% |
0.0059 |
0.6% |
71% |
False |
False |
10,492 |
| 60 |
1.0838 |
1.0085 |
0.0753 |
7.1% |
0.0049 |
0.5% |
75% |
False |
False |
6,998 |
| 80 |
1.0838 |
1.0085 |
0.0753 |
7.1% |
0.0043 |
0.4% |
75% |
False |
False |
5,254 |
| 100 |
1.0838 |
1.0085 |
0.0753 |
7.1% |
0.0035 |
0.3% |
75% |
False |
False |
4,204 |
| 120 |
1.1081 |
1.0085 |
0.0996 |
9.4% |
0.0030 |
0.3% |
57% |
False |
False |
3,503 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1109 |
|
2.618 |
1.0962 |
|
1.618 |
1.0872 |
|
1.000 |
1.0816 |
|
0.618 |
1.0782 |
|
HIGH |
1.0726 |
|
0.618 |
1.0692 |
|
0.500 |
1.0681 |
|
0.382 |
1.0670 |
|
LOW |
1.0636 |
|
0.618 |
1.0580 |
|
1.000 |
1.0546 |
|
1.618 |
1.0490 |
|
2.618 |
1.0400 |
|
4.250 |
1.0254 |
|
|
| Fisher Pivots for day following 28-Sep-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0681 |
1.0679 |
| PP |
1.0670 |
1.0669 |
| S1 |
1.0660 |
1.0659 |
|