CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 20-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Oct-2011 |
20-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1129 |
1.1092 |
-0.0037 |
-0.3% |
1.0812 |
| High |
1.1183 |
1.1208 |
0.0025 |
0.2% |
1.1244 |
| Low |
1.1075 |
1.1020 |
-0.0055 |
-0.5% |
1.0800 |
| Close |
1.1085 |
1.1191 |
0.0106 |
1.0% |
1.1209 |
| Range |
0.0108 |
0.0188 |
0.0080 |
74.1% |
0.0444 |
| ATR |
0.0175 |
0.0176 |
0.0001 |
0.5% |
0.0000 |
| Volume |
24,203 |
35,885 |
11,682 |
48.3% |
109,330 |
|
| Daily Pivots for day following 20-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1704 |
1.1635 |
1.1294 |
|
| R3 |
1.1516 |
1.1447 |
1.1243 |
|
| R2 |
1.1328 |
1.1328 |
1.1225 |
|
| R1 |
1.1259 |
1.1259 |
1.1208 |
1.1294 |
| PP |
1.1140 |
1.1140 |
1.1140 |
1.1157 |
| S1 |
1.1071 |
1.1071 |
1.1174 |
1.1106 |
| S2 |
1.0952 |
1.0952 |
1.1157 |
|
| S3 |
1.0764 |
1.0883 |
1.1139 |
|
| S4 |
1.0576 |
1.0695 |
1.1088 |
|
|
| Weekly Pivots for week ending 14-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2416 |
1.2257 |
1.1453 |
|
| R3 |
1.1972 |
1.1813 |
1.1331 |
|
| R2 |
1.1528 |
1.1528 |
1.1290 |
|
| R1 |
1.1369 |
1.1369 |
1.1250 |
1.1449 |
| PP |
1.1084 |
1.1084 |
1.1084 |
1.1124 |
| S1 |
1.0925 |
1.0925 |
1.1168 |
1.1005 |
| S2 |
1.0640 |
1.0640 |
1.1128 |
|
| S3 |
1.0196 |
1.0481 |
1.1087 |
|
| S4 |
0.9752 |
1.0037 |
1.0965 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1272 |
1.1020 |
0.0252 |
2.3% |
0.0143 |
1.3% |
68% |
False |
True |
24,086 |
| 10 |
1.1272 |
1.0788 |
0.0484 |
4.3% |
0.0169 |
1.5% |
83% |
False |
False |
23,820 |
| 20 |
1.1272 |
1.0749 |
0.0523 |
4.7% |
0.0155 |
1.4% |
85% |
False |
False |
23,474 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
20.0% |
0.0207 |
1.9% |
20% |
False |
False |
16,270 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0239 |
2.1% |
13% |
False |
False |
10,975 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0206 |
1.8% |
13% |
False |
False |
8,241 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0177 |
1.6% |
13% |
False |
False |
6,599 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.4% |
0.0148 |
1.3% |
13% |
False |
False |
5,500 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2007 |
|
2.618 |
1.1700 |
|
1.618 |
1.1512 |
|
1.000 |
1.1396 |
|
0.618 |
1.1324 |
|
HIGH |
1.1208 |
|
0.618 |
1.1136 |
|
0.500 |
1.1114 |
|
0.382 |
1.1092 |
|
LOW |
1.1020 |
|
0.618 |
1.0904 |
|
1.000 |
1.0832 |
|
1.618 |
1.0716 |
|
2.618 |
1.0528 |
|
4.250 |
1.0221 |
|
|
| Fisher Pivots for day following 20-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1165 |
1.1165 |
| PP |
1.1140 |
1.1140 |
| S1 |
1.1114 |
1.1114 |
|