CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 04-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Oct-2011 |
04-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1023 |
1.0874 |
-0.0149 |
-1.4% |
1.1084 |
| High |
1.1045 |
1.0956 |
-0.0089 |
-0.8% |
1.1235 |
| Low |
1.0864 |
1.0815 |
-0.0049 |
-0.5% |
1.0958 |
| Close |
1.0909 |
1.0836 |
-0.0073 |
-0.7% |
1.1061 |
| Range |
0.0181 |
0.0141 |
-0.0040 |
-22.1% |
0.0277 |
| ATR |
0.0203 |
0.0198 |
-0.0004 |
-2.2% |
0.0000 |
| Volume |
24,153 |
23,100 |
-1,053 |
-4.4% |
98,337 |
|
| Daily Pivots for day following 04-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1292 |
1.1205 |
1.0914 |
|
| R3 |
1.1151 |
1.1064 |
1.0875 |
|
| R2 |
1.1010 |
1.1010 |
1.0862 |
|
| R1 |
1.0923 |
1.0923 |
1.0849 |
1.0896 |
| PP |
1.0869 |
1.0869 |
1.0869 |
1.0856 |
| S1 |
1.0782 |
1.0782 |
1.0823 |
1.0755 |
| S2 |
1.0728 |
1.0728 |
1.0810 |
|
| S3 |
1.0587 |
1.0641 |
1.0797 |
|
| S4 |
1.0446 |
1.0500 |
1.0758 |
|
|
| 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 |
1.0815 |
0.0420 |
3.9% |
0.0140 |
1.3% |
5% |
False |
True |
20,960 |
| 10 |
1.1321 |
1.0815 |
0.0506 |
4.7% |
0.0163 |
1.5% |
4% |
False |
True |
23,217 |
| 20 |
1.1753 |
1.0815 |
0.0938 |
8.7% |
0.0165 |
1.5% |
2% |
False |
True |
17,326 |
| 40 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0257 |
2.4% |
1% |
False |
True |
8,978 |
| 60 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0228 |
2.1% |
1% |
False |
True |
6,030 |
| 80 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0195 |
1.8% |
1% |
False |
True |
4,531 |
| 100 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0158 |
1.5% |
1% |
False |
True |
3,626 |
| 120 |
1.4150 |
1.0815 |
0.3335 |
30.8% |
0.0133 |
1.2% |
1% |
False |
True |
3,022 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1555 |
|
2.618 |
1.1325 |
|
1.618 |
1.1184 |
|
1.000 |
1.1097 |
|
0.618 |
1.1043 |
|
HIGH |
1.0956 |
|
0.618 |
1.0902 |
|
0.500 |
1.0886 |
|
0.382 |
1.0869 |
|
LOW |
1.0815 |
|
0.618 |
1.0728 |
|
1.000 |
1.0674 |
|
1.618 |
1.0587 |
|
2.618 |
1.0446 |
|
4.250 |
1.0216 |
|
|
| Fisher Pivots for day following 04-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0886 |
1.0993 |
| PP |
1.0869 |
1.0940 |
| S1 |
1.0853 |
1.0888 |
|