CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 25-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Oct-2011 |
25-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1324 |
1.1366 |
0.0042 |
0.4% |
1.1230 |
| High |
1.1385 |
1.1412 |
0.0027 |
0.2% |
1.1368 |
| Low |
1.1274 |
1.1315 |
0.0041 |
0.4% |
1.1020 |
| Close |
1.1372 |
1.1399 |
0.0027 |
0.2% |
1.1316 |
| Range |
0.0111 |
0.0097 |
-0.0014 |
-12.6% |
0.0348 |
| ATR |
0.0172 |
0.0167 |
-0.0005 |
-3.1% |
0.0000 |
| Volume |
19,401 |
30,275 |
10,874 |
56.0% |
130,467 |
|
| Daily Pivots for day following 25-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1666 |
1.1630 |
1.1452 |
|
| R3 |
1.1569 |
1.1533 |
1.1426 |
|
| R2 |
1.1472 |
1.1472 |
1.1417 |
|
| R1 |
1.1436 |
1.1436 |
1.1408 |
1.1454 |
| PP |
1.1375 |
1.1375 |
1.1375 |
1.1385 |
| S1 |
1.1339 |
1.1339 |
1.1390 |
1.1357 |
| S2 |
1.1278 |
1.1278 |
1.1381 |
|
| S3 |
1.1181 |
1.1242 |
1.1372 |
|
| S4 |
1.1084 |
1.1145 |
1.1346 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2279 |
1.2145 |
1.1507 |
|
| R3 |
1.1931 |
1.1797 |
1.1412 |
|
| R2 |
1.1583 |
1.1583 |
1.1380 |
|
| R1 |
1.1449 |
1.1449 |
1.1348 |
1.1516 |
| PP |
1.1235 |
1.1235 |
1.1235 |
1.1268 |
| S1 |
1.1101 |
1.1101 |
1.1284 |
1.1168 |
| S2 |
1.0887 |
1.0887 |
1.1252 |
|
| S3 |
1.0539 |
1.0753 |
1.1220 |
|
| S4 |
1.0191 |
1.0405 |
1.1125 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1412 |
1.1020 |
0.0392 |
3.4% |
0.0139 |
1.2% |
97% |
True |
False |
27,496 |
| 10 |
1.1412 |
1.0987 |
0.0425 |
3.7% |
0.0149 |
1.3% |
97% |
True |
False |
24,513 |
| 20 |
1.1412 |
1.0749 |
0.0663 |
5.8% |
0.0153 |
1.3% |
98% |
True |
False |
23,977 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
19.6% |
0.0198 |
1.7% |
29% |
False |
False |
18,178 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0234 |
2.1% |
19% |
False |
False |
12,260 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0206 |
1.8% |
19% |
False |
False |
9,208 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0180 |
1.6% |
19% |
False |
False |
7,373 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0151 |
1.3% |
19% |
False |
False |
6,145 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1824 |
|
2.618 |
1.1666 |
|
1.618 |
1.1569 |
|
1.000 |
1.1509 |
|
0.618 |
1.1472 |
|
HIGH |
1.1412 |
|
0.618 |
1.1375 |
|
0.500 |
1.1364 |
|
0.382 |
1.1352 |
|
LOW |
1.1315 |
|
0.618 |
1.1255 |
|
1.000 |
1.1218 |
|
1.618 |
1.1158 |
|
2.618 |
1.1061 |
|
4.250 |
1.0903 |
|
|
| Fisher Pivots for day following 25-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1387 |
1.1365 |
| PP |
1.1375 |
1.1330 |
| S1 |
1.1364 |
1.1296 |
|