CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 26-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Oct-2011 |
26-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1366 |
1.1402 |
0.0036 |
0.3% |
1.1230 |
| High |
1.1412 |
1.1467 |
0.0055 |
0.5% |
1.1368 |
| Low |
1.1315 |
1.1296 |
-0.0019 |
-0.2% |
1.1020 |
| Close |
1.1399 |
1.1348 |
-0.0051 |
-0.4% |
1.1316 |
| Range |
0.0097 |
0.0171 |
0.0074 |
76.3% |
0.0348 |
| ATR |
0.0167 |
0.0167 |
0.0000 |
0.2% |
0.0000 |
| Volume |
30,275 |
27,208 |
-3,067 |
-10.1% |
130,467 |
|
| Daily Pivots for day following 26-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1883 |
1.1787 |
1.1442 |
|
| R3 |
1.1712 |
1.1616 |
1.1395 |
|
| R2 |
1.1541 |
1.1541 |
1.1379 |
|
| R1 |
1.1445 |
1.1445 |
1.1364 |
1.1408 |
| PP |
1.1370 |
1.1370 |
1.1370 |
1.1352 |
| S1 |
1.1274 |
1.1274 |
1.1332 |
1.1237 |
| S2 |
1.1199 |
1.1199 |
1.1317 |
|
| S3 |
1.1028 |
1.1103 |
1.1301 |
|
| S4 |
1.0857 |
1.0932 |
1.1254 |
|
|
| 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 |
1.1467 |
1.1020 |
0.0447 |
3.9% |
0.0151 |
1.3% |
73% |
True |
False |
28,097 |
| 10 |
1.1467 |
1.1020 |
0.0447 |
3.9% |
0.0142 |
1.3% |
73% |
True |
False |
24,604 |
| 20 |
1.1467 |
1.0749 |
0.0718 |
6.3% |
0.0156 |
1.4% |
83% |
True |
False |
24,404 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
19.7% |
0.0199 |
1.8% |
27% |
False |
False |
18,840 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0231 |
2.0% |
18% |
False |
False |
12,704 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0207 |
1.8% |
18% |
False |
False |
9,548 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0182 |
1.6% |
18% |
False |
False |
7,645 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.0% |
0.0153 |
1.3% |
18% |
False |
False |
6,371 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2194 |
|
2.618 |
1.1915 |
|
1.618 |
1.1744 |
|
1.000 |
1.1638 |
|
0.618 |
1.1573 |
|
HIGH |
1.1467 |
|
0.618 |
1.1402 |
|
0.500 |
1.1382 |
|
0.382 |
1.1361 |
|
LOW |
1.1296 |
|
0.618 |
1.1190 |
|
1.000 |
1.1125 |
|
1.618 |
1.1019 |
|
2.618 |
1.0848 |
|
4.250 |
1.0569 |
|
|
| Fisher Pivots for day following 26-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1382 |
1.1371 |
| PP |
1.1370 |
1.1363 |
| S1 |
1.1359 |
1.1356 |
|