CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 10-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Oct-2011 |
10-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0873 |
1.0812 |
-0.0061 |
-0.6% |
1.1023 |
| High |
1.0947 |
1.1125 |
0.0178 |
1.6% |
1.1045 |
| Low |
1.0788 |
1.0800 |
0.0012 |
0.1% |
1.0749 |
| Close |
1.0804 |
1.1091 |
0.0287 |
2.7% |
1.0804 |
| Range |
0.0159 |
0.0325 |
0.0166 |
104.4% |
0.0296 |
| ATR |
0.0187 |
0.0197 |
0.0010 |
5.3% |
0.0000 |
| Volume |
26,128 |
24,158 |
-1,970 |
-7.5% |
132,532 |
|
| Daily Pivots for day following 10-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1980 |
1.1861 |
1.1270 |
|
| R3 |
1.1655 |
1.1536 |
1.1180 |
|
| R2 |
1.1330 |
1.1330 |
1.1151 |
|
| R1 |
1.1211 |
1.1211 |
1.1121 |
1.1271 |
| PP |
1.1005 |
1.1005 |
1.1005 |
1.1035 |
| S1 |
1.0886 |
1.0886 |
1.1061 |
1.0946 |
| S2 |
1.0680 |
1.0680 |
1.1031 |
|
| S3 |
1.0355 |
1.0561 |
1.1002 |
|
| S4 |
1.0030 |
1.0236 |
1.0912 |
|
|
| Weekly Pivots for week ending 07-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1754 |
1.1575 |
1.0967 |
|
| R3 |
1.1458 |
1.1279 |
1.0885 |
|
| R2 |
1.1162 |
1.1162 |
1.0858 |
|
| R1 |
1.0983 |
1.0983 |
1.0831 |
1.0925 |
| PP |
1.0866 |
1.0866 |
1.0866 |
1.0837 |
| S1 |
1.0687 |
1.0687 |
1.0777 |
1.0629 |
| S2 |
1.0570 |
1.0570 |
1.0750 |
|
| S3 |
1.0274 |
1.0391 |
1.0723 |
|
| S4 |
0.9978 |
1.0095 |
1.0641 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1125 |
1.0749 |
0.0376 |
3.4% |
0.0177 |
1.6% |
91% |
True |
False |
26,507 |
| 10 |
1.1235 |
1.0749 |
0.0486 |
4.4% |
0.0161 |
1.4% |
70% |
False |
False |
23,262 |
| 20 |
1.1596 |
1.0749 |
0.0847 |
7.6% |
0.0166 |
1.5% |
40% |
False |
False |
22,265 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
20.2% |
0.0217 |
2.0% |
15% |
False |
False |
11,639 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
30.7% |
0.0232 |
2.1% |
10% |
False |
False |
7,851 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.7% |
0.0199 |
1.8% |
10% |
False |
False |
5,898 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.7% |
0.0165 |
1.5% |
10% |
False |
False |
4,720 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.7% |
0.0139 |
1.3% |
10% |
False |
False |
3,934 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2506 |
|
2.618 |
1.1976 |
|
1.618 |
1.1651 |
|
1.000 |
1.1450 |
|
0.618 |
1.1326 |
|
HIGH |
1.1125 |
|
0.618 |
1.1001 |
|
0.500 |
1.0963 |
|
0.382 |
1.0924 |
|
LOW |
1.0800 |
|
0.618 |
1.0599 |
|
1.000 |
1.0475 |
|
1.618 |
1.0274 |
|
2.618 |
0.9949 |
|
4.250 |
0.9419 |
|
|
| Fisher Pivots for day following 10-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1048 |
1.1040 |
| PP |
1.1005 |
1.0988 |
| S1 |
1.0963 |
1.0937 |
|