CME Swiss Franc Future December 2011


Trading Metrics calculated at close of trading on 03-Oct-2011
Day Change Summary
Previous Current
30-Sep-2011 03-Oct-2011 Change Change % Previous Week
Open 1.1157 1.1023 -0.0134 -1.2% 1.1084
High 1.1170 1.1045 -0.0125 -1.1% 1.1235
Low 1.1022 1.0864 -0.0158 -1.4% 1.0958
Close 1.1061 1.0909 -0.0152 -1.4% 1.1061
Range 0.0148 0.0181 0.0033 22.3% 0.0277
ATR 0.0203 0.0203 0.0000 -0.2% 0.0000
Volume 20,814 24,153 3,339 16.0% 98,337
Daily Pivots for day following 03-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.1482 1.1377 1.1009
R3 1.1301 1.1196 1.0959
R2 1.1120 1.1120 1.0942
R1 1.1015 1.1015 1.0926 1.0977
PP 1.0939 1.0939 1.0939 1.0921
S1 1.0834 1.0834 1.0892 1.0796
S2 1.0758 1.0758 1.0876
S3 1.0577 1.0653 1.0859
S4 1.0396 1.0472 1.0809
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 1.0864 0.0371 3.4% 0.0144 1.3% 12% False True 20,017
10 1.1407 1.0864 0.0543 5.0% 0.0166 1.5% 8% False True 23,967
20 1.2834 1.0864 0.1970 18.1% 0.0218 2.0% 2% False True 16,331
40 1.4150 1.0864 0.3286 30.1% 0.0260 2.4% 1% False True 8,406
60 1.4150 1.0864 0.3286 30.1% 0.0226 2.1% 1% False True 5,645
80 1.4150 1.0864 0.3286 30.1% 0.0194 1.8% 1% False True 4,242
100 1.4150 1.0864 0.3286 30.1% 0.0157 1.4% 1% False True 3,395
120 1.4150 1.0864 0.3286 30.1% 0.0131 1.2% 1% False True 2,830
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0032
Widest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1.1814
2.618 1.1519
1.618 1.1338
1.000 1.1226
0.618 1.1157
HIGH 1.1045
0.618 1.0976
0.500 1.0955
0.382 1.0933
LOW 1.0864
0.618 1.0752
1.000 1.0683
1.618 1.0571
2.618 1.0390
4.250 1.0095
Fisher Pivots for day following 03-Oct-2011
Pivot 1 day 3 day
R1 1.0955 1.1050
PP 1.0939 1.1003
S1 1.0924 1.0956

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These figures are updated between 7pm and 10pm EST after a trading day.

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