CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 11-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Oct-2011 |
11-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0812 |
1.1072 |
0.0260 |
2.4% |
1.1023 |
| High |
1.1125 |
1.1093 |
-0.0032 |
-0.3% |
1.1045 |
| Low |
1.0800 |
1.0977 |
0.0177 |
1.6% |
1.0749 |
| Close |
1.1091 |
1.1038 |
-0.0053 |
-0.5% |
1.0804 |
| Range |
0.0325 |
0.0116 |
-0.0209 |
-64.3% |
0.0296 |
| ATR |
0.0197 |
0.0191 |
-0.0006 |
-2.9% |
0.0000 |
| Volume |
24,158 |
20,185 |
-3,973 |
-16.4% |
132,532 |
|
| Daily Pivots for day following 11-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1384 |
1.1327 |
1.1102 |
|
| R3 |
1.1268 |
1.1211 |
1.1070 |
|
| R2 |
1.1152 |
1.1152 |
1.1059 |
|
| R1 |
1.1095 |
1.1095 |
1.1049 |
1.1066 |
| PP |
1.1036 |
1.1036 |
1.1036 |
1.1021 |
| S1 |
1.0979 |
1.0979 |
1.1027 |
1.0950 |
| S2 |
1.0920 |
1.0920 |
1.1017 |
|
| S3 |
1.0804 |
1.0863 |
1.1006 |
|
| S4 |
1.0688 |
1.0747 |
1.0974 |
|
|
| 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% |
0.0172 |
1.6% |
77% |
False |
False |
25,924 |
| 10 |
1.1235 |
1.0749 |
0.0486 |
4.4% |
0.0156 |
1.4% |
59% |
False |
False |
23,442 |
| 20 |
1.1596 |
1.0749 |
0.0847 |
7.7% |
0.0164 |
1.5% |
34% |
False |
False |
22,898 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
20.3% |
0.0211 |
1.9% |
13% |
False |
False |
12,120 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
30.8% |
0.0232 |
2.1% |
8% |
False |
False |
8,187 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.8% |
0.0200 |
1.8% |
8% |
False |
False |
6,150 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.8% |
0.0167 |
1.5% |
8% |
False |
False |
4,922 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.8% |
0.0140 |
1.3% |
8% |
False |
False |
4,102 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1586 |
|
2.618 |
1.1397 |
|
1.618 |
1.1281 |
|
1.000 |
1.1209 |
|
0.618 |
1.1165 |
|
HIGH |
1.1093 |
|
0.618 |
1.1049 |
|
0.500 |
1.1035 |
|
0.382 |
1.1021 |
|
LOW |
1.0977 |
|
0.618 |
1.0905 |
|
1.000 |
1.0861 |
|
1.618 |
1.0789 |
|
2.618 |
1.0673 |
|
4.250 |
1.0484 |
|
|
| Fisher Pivots for day following 11-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1037 |
1.1011 |
| PP |
1.1036 |
1.0984 |
| S1 |
1.1035 |
1.0957 |
|