CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 12-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Oct-2011 |
12-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1072 |
1.1028 |
-0.0044 |
-0.4% |
1.1023 |
| High |
1.1093 |
1.1227 |
0.0134 |
1.2% |
1.1045 |
| Low |
1.0977 |
1.0987 |
0.0010 |
0.1% |
1.0749 |
| Close |
1.1038 |
1.1195 |
0.0157 |
1.4% |
1.0804 |
| Range |
0.0116 |
0.0240 |
0.0124 |
106.9% |
0.0296 |
| ATR |
0.0191 |
0.0195 |
0.0003 |
1.8% |
0.0000 |
| Volume |
20,185 |
26,296 |
6,111 |
30.3% |
132,532 |
|
| Daily Pivots for day following 12-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1856 |
1.1766 |
1.1327 |
|
| R3 |
1.1616 |
1.1526 |
1.1261 |
|
| R2 |
1.1376 |
1.1376 |
1.1239 |
|
| R1 |
1.1286 |
1.1286 |
1.1217 |
1.1331 |
| PP |
1.1136 |
1.1136 |
1.1136 |
1.1159 |
| S1 |
1.1046 |
1.1046 |
1.1173 |
1.1091 |
| S2 |
1.0896 |
1.0896 |
1.1151 |
|
| S3 |
1.0656 |
1.0806 |
1.1129 |
|
| S4 |
1.0416 |
1.0566 |
1.1063 |
|
|
| 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 |
1.1227 |
1.0749 |
0.0478 |
4.3% |
0.0199 |
1.8% |
93% |
True |
False |
25,666 |
| 10 |
1.1235 |
1.0749 |
0.0486 |
4.3% |
0.0170 |
1.5% |
92% |
False |
False |
24,203 |
| 20 |
1.1596 |
1.0749 |
0.0847 |
7.6% |
0.0168 |
1.5% |
53% |
False |
False |
23,678 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
20.0% |
0.0210 |
1.9% |
20% |
False |
False |
12,770 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0234 |
2.1% |
13% |
False |
False |
8,625 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0202 |
1.8% |
13% |
False |
False |
6,478 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0169 |
1.5% |
13% |
False |
False |
5,185 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0142 |
1.3% |
13% |
False |
False |
4,322 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2247 |
|
2.618 |
1.1855 |
|
1.618 |
1.1615 |
|
1.000 |
1.1467 |
|
0.618 |
1.1375 |
|
HIGH |
1.1227 |
|
0.618 |
1.1135 |
|
0.500 |
1.1107 |
|
0.382 |
1.1079 |
|
LOW |
1.0987 |
|
0.618 |
1.0839 |
|
1.000 |
1.0747 |
|
1.618 |
1.0599 |
|
2.618 |
1.0359 |
|
4.250 |
0.9967 |
|
|
| Fisher Pivots for day following 12-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1166 |
1.1135 |
| PP |
1.1136 |
1.1074 |
| S1 |
1.1107 |
1.1014 |
|