CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 31-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Oct-2011 |
31-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1638 |
1.1602 |
-0.0036 |
-0.3% |
1.1324 |
| High |
1.1642 |
1.1621 |
-0.0021 |
-0.2% |
1.1682 |
| Low |
1.1569 |
1.1389 |
-0.0180 |
-1.6% |
1.1274 |
| Close |
1.1610 |
1.1460 |
-0.0150 |
-1.3% |
1.1610 |
| Range |
0.0073 |
0.0232 |
0.0159 |
217.8% |
0.0408 |
| ATR |
0.0172 |
0.0176 |
0.0004 |
2.5% |
0.0000 |
| Volume |
18,860 |
23,764 |
4,904 |
26.0% |
127,087 |
|
| Daily Pivots for day following 31-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2186 |
1.2055 |
1.1588 |
|
| R3 |
1.1954 |
1.1823 |
1.1524 |
|
| R2 |
1.1722 |
1.1722 |
1.1503 |
|
| R1 |
1.1591 |
1.1591 |
1.1481 |
1.1541 |
| PP |
1.1490 |
1.1490 |
1.1490 |
1.1465 |
| S1 |
1.1359 |
1.1359 |
1.1439 |
1.1309 |
| S2 |
1.1258 |
1.1258 |
1.1417 |
|
| S3 |
1.1026 |
1.1127 |
1.1396 |
|
| S4 |
1.0794 |
1.0895 |
1.1332 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2746 |
1.2586 |
1.1834 |
|
| R3 |
1.2338 |
1.2178 |
1.1722 |
|
| R2 |
1.1930 |
1.1930 |
1.1685 |
|
| R1 |
1.1770 |
1.1770 |
1.1647 |
1.1850 |
| PP |
1.1522 |
1.1522 |
1.1522 |
1.1562 |
| S1 |
1.1362 |
1.1362 |
1.1573 |
1.1442 |
| S2 |
1.1114 |
1.1114 |
1.1535 |
|
| S3 |
1.0706 |
1.0954 |
1.1498 |
|
| S4 |
1.0298 |
1.0546 |
1.1386 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1682 |
1.1296 |
0.0386 |
3.4% |
0.0183 |
1.6% |
42% |
False |
False |
26,290 |
| 10 |
1.1682 |
1.1020 |
0.0662 |
5.8% |
0.0164 |
1.4% |
66% |
False |
False |
26,468 |
| 20 |
1.1682 |
1.0749 |
0.0933 |
8.1% |
0.0165 |
1.4% |
76% |
False |
False |
24,951 |
| 40 |
1.2834 |
1.0749 |
0.2085 |
18.2% |
0.0192 |
1.7% |
34% |
False |
False |
20,641 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
29.7% |
0.0229 |
2.0% |
21% |
False |
False |
13,921 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
29.7% |
0.0211 |
1.8% |
21% |
False |
False |
10,471 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
29.7% |
0.0188 |
1.6% |
21% |
False |
False |
8,384 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
29.7% |
0.0158 |
1.4% |
21% |
False |
False |
6,988 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2607 |
|
2.618 |
1.2228 |
|
1.618 |
1.1996 |
|
1.000 |
1.1853 |
|
0.618 |
1.1764 |
|
HIGH |
1.1621 |
|
0.618 |
1.1532 |
|
0.500 |
1.1505 |
|
0.382 |
1.1478 |
|
LOW |
1.1389 |
|
0.618 |
1.1246 |
|
1.000 |
1.1157 |
|
1.618 |
1.1014 |
|
2.618 |
1.0782 |
|
4.250 |
1.0403 |
|
|
| Fisher Pivots for day following 31-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1505 |
1.1512 |
| PP |
1.1490 |
1.1495 |
| S1 |
1.1475 |
1.1477 |
|