CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 30-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Sep-2011 |
30-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1121 |
1.1157 |
0.0036 |
0.3% |
1.1084 |
| High |
1.1235 |
1.1170 |
-0.0065 |
-0.6% |
1.1235 |
| Low |
1.1103 |
1.1022 |
-0.0081 |
-0.7% |
1.0958 |
| Close |
1.1142 |
1.1061 |
-0.0081 |
-0.7% |
1.1061 |
| Range |
0.0132 |
0.0148 |
0.0016 |
12.1% |
0.0277 |
| ATR |
0.0207 |
0.0203 |
-0.0004 |
-2.0% |
0.0000 |
| Volume |
18,053 |
20,814 |
2,761 |
15.3% |
98,337 |
|
| Daily Pivots for day following 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1528 |
1.1443 |
1.1142 |
|
| R3 |
1.1380 |
1.1295 |
1.1102 |
|
| R2 |
1.1232 |
1.1232 |
1.1088 |
|
| R1 |
1.1147 |
1.1147 |
1.1075 |
1.1116 |
| PP |
1.1084 |
1.1084 |
1.1084 |
1.1069 |
| S1 |
1.0999 |
1.0999 |
1.1047 |
1.0968 |
| S2 |
1.0936 |
1.0936 |
1.1034 |
|
| S3 |
1.0788 |
1.0851 |
1.1020 |
|
| S4 |
1.0640 |
1.0703 |
1.0980 |
|
|
| Weekly Pivots for week ending 30-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1916 |
1.1765 |
1.1213 |
|
| R3 |
1.1639 |
1.1488 |
1.1137 |
|
| R2 |
1.1362 |
1.1362 |
1.1112 |
|
| R1 |
1.1211 |
1.1211 |
1.1086 |
1.1148 |
| PP |
1.1085 |
1.1085 |
1.1085 |
1.1053 |
| S1 |
1.0934 |
1.0934 |
1.1036 |
1.0871 |
| S2 |
1.0808 |
1.0808 |
1.1010 |
|
| S3 |
1.0531 |
1.0657 |
1.0985 |
|
| S4 |
1.0254 |
1.0380 |
1.0909 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1235 |
1.0958 |
0.0277 |
2.5% |
0.0142 |
1.3% |
37% |
False |
False |
19,667 |
| 10 |
1.1447 |
1.0916 |
0.0531 |
4.8% |
0.0163 |
1.5% |
27% |
False |
False |
23,534 |
| 20 |
1.2985 |
1.0916 |
0.2069 |
18.7% |
0.0227 |
2.1% |
7% |
False |
False |
15,159 |
| 40 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0262 |
2.4% |
4% |
False |
False |
7,812 |
| 60 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0226 |
2.0% |
4% |
False |
False |
5,242 |
| 80 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0192 |
1.7% |
4% |
False |
False |
3,940 |
| 100 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0155 |
1.4% |
4% |
False |
False |
3,154 |
| 120 |
1.4150 |
1.0916 |
0.3234 |
29.2% |
0.0130 |
1.2% |
4% |
False |
False |
2,629 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1799 |
|
2.618 |
1.1557 |
|
1.618 |
1.1409 |
|
1.000 |
1.1318 |
|
0.618 |
1.1261 |
|
HIGH |
1.1170 |
|
0.618 |
1.1113 |
|
0.500 |
1.1096 |
|
0.382 |
1.1079 |
|
LOW |
1.1022 |
|
0.618 |
1.0931 |
|
1.000 |
1.0874 |
|
1.618 |
1.0783 |
|
2.618 |
1.0635 |
|
4.250 |
1.0393 |
|
|
| Fisher Pivots for day following 30-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1096 |
1.1129 |
| PP |
1.1084 |
1.1106 |
| S1 |
1.1073 |
1.1084 |
|