CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 06-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Oct-2011 |
06-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0922 |
1.0841 |
-0.0081 |
-0.7% |
1.1084 |
| High |
1.0938 |
1.0902 |
-0.0036 |
-0.3% |
1.1235 |
| Low |
1.0829 |
1.0749 |
-0.0080 |
-0.7% |
1.0958 |
| Close |
1.0841 |
1.0861 |
0.0020 |
0.2% |
1.1061 |
| Range |
0.0109 |
0.0153 |
0.0044 |
40.4% |
0.0277 |
| ATR |
0.0192 |
0.0189 |
-0.0003 |
-1.4% |
0.0000 |
| Volume |
27,584 |
31,567 |
3,983 |
14.4% |
98,337 |
|
| Daily Pivots for day following 06-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1296 |
1.1232 |
1.0945 |
|
| R3 |
1.1143 |
1.1079 |
1.0903 |
|
| R2 |
1.0990 |
1.0990 |
1.0889 |
|
| R1 |
1.0926 |
1.0926 |
1.0875 |
1.0958 |
| PP |
1.0837 |
1.0837 |
1.0837 |
1.0854 |
| S1 |
1.0773 |
1.0773 |
1.0847 |
1.0805 |
| S2 |
1.0684 |
1.0684 |
1.0833 |
|
| S3 |
1.0531 |
1.0620 |
1.0819 |
|
| S4 |
1.0378 |
1.0467 |
1.0777 |
|
|
| 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 |
1.1170 |
1.0749 |
0.0421 |
3.9% |
0.0146 |
1.3% |
27% |
False |
True |
25,443 |
| 10 |
1.1235 |
1.0749 |
0.0486 |
4.5% |
0.0140 |
1.3% |
23% |
False |
True |
23,128 |
| 20 |
1.1596 |
1.0749 |
0.0847 |
7.8% |
0.0160 |
1.5% |
13% |
False |
True |
20,071 |
| 40 |
1.3848 |
1.0749 |
0.3099 |
28.5% |
0.0234 |
2.2% |
4% |
False |
True |
10,433 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0228 |
2.1% |
3% |
False |
True |
7,015 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0195 |
1.8% |
3% |
False |
True |
5,270 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0161 |
1.5% |
3% |
False |
True |
4,218 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0135 |
1.2% |
3% |
False |
True |
3,515 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1552 |
|
2.618 |
1.1303 |
|
1.618 |
1.1150 |
|
1.000 |
1.1055 |
|
0.618 |
1.0997 |
|
HIGH |
1.0902 |
|
0.618 |
1.0844 |
|
0.500 |
1.0826 |
|
0.382 |
1.0807 |
|
LOW |
1.0749 |
|
0.618 |
1.0654 |
|
1.000 |
1.0596 |
|
1.618 |
1.0501 |
|
2.618 |
1.0348 |
|
4.250 |
1.0099 |
|
|
| Fisher Pivots for day following 06-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0849 |
1.0858 |
| PP |
1.0837 |
1.0855 |
| S1 |
1.0826 |
1.0853 |
|