CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1402 |
1.1349 |
-0.0053 |
-0.5% |
1.1230 |
| High |
1.1467 |
1.1682 |
0.0215 |
1.9% |
1.1368 |
| Low |
1.1296 |
1.1342 |
0.0046 |
0.4% |
1.1020 |
| Close |
1.1348 |
1.1642 |
0.0294 |
2.6% |
1.1316 |
| Range |
0.0171 |
0.0340 |
0.0169 |
98.8% |
0.0348 |
| ATR |
0.0167 |
0.0180 |
0.0012 |
7.4% |
0.0000 |
| Volume |
27,208 |
31,343 |
4,135 |
15.2% |
130,467 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2575 |
1.2449 |
1.1829 |
|
| R3 |
1.2235 |
1.2109 |
1.1736 |
|
| R2 |
1.1895 |
1.1895 |
1.1704 |
|
| R1 |
1.1769 |
1.1769 |
1.1673 |
1.1832 |
| PP |
1.1555 |
1.1555 |
1.1555 |
1.1587 |
| S1 |
1.1429 |
1.1429 |
1.1611 |
1.1492 |
| S2 |
1.1215 |
1.1215 |
1.1580 |
|
| S3 |
1.0875 |
1.1089 |
1.1549 |
|
| S4 |
1.0535 |
1.0749 |
1.1455 |
|
|
| 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 |
1.1682 |
1.1179 |
0.0503 |
4.3% |
0.0182 |
1.6% |
92% |
True |
False |
27,188 |
| 10 |
1.1682 |
1.1020 |
0.0662 |
5.7% |
0.0162 |
1.4% |
94% |
True |
False |
25,637 |
| 20 |
1.1682 |
1.0749 |
0.0933 |
8.0% |
0.0167 |
1.4% |
96% |
True |
False |
25,068 |
| 40 |
1.2985 |
1.0749 |
0.2236 |
19.2% |
0.0199 |
1.7% |
40% |
False |
False |
19,606 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
29.2% |
0.0232 |
2.0% |
26% |
False |
False |
13,222 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
29.2% |
0.0211 |
1.8% |
26% |
False |
False |
9,939 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
29.2% |
0.0185 |
1.6% |
26% |
False |
False |
7,958 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
29.2% |
0.0156 |
1.3% |
26% |
False |
False |
6,633 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.3127 |
|
2.618 |
1.2572 |
|
1.618 |
1.2232 |
|
1.000 |
1.2022 |
|
0.618 |
1.1892 |
|
HIGH |
1.1682 |
|
0.618 |
1.1552 |
|
0.500 |
1.1512 |
|
0.382 |
1.1472 |
|
LOW |
1.1342 |
|
0.618 |
1.1132 |
|
1.000 |
1.1002 |
|
1.618 |
1.0792 |
|
2.618 |
1.0452 |
|
4.250 |
0.9897 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1599 |
1.1591 |
| PP |
1.1555 |
1.1540 |
| S1 |
1.1512 |
1.1489 |
|