CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 01-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Oct-2011 |
01-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1602 |
1.1419 |
-0.0183 |
-1.6% |
1.1324 |
| High |
1.1621 |
1.1421 |
-0.0200 |
-1.7% |
1.1682 |
| Low |
1.1389 |
1.1168 |
-0.0221 |
-1.9% |
1.1274 |
| Close |
1.1460 |
1.1292 |
-0.0168 |
-1.5% |
1.1610 |
| Range |
0.0232 |
0.0253 |
0.0021 |
9.1% |
0.0408 |
| ATR |
0.0176 |
0.0185 |
0.0008 |
4.7% |
0.0000 |
| Volume |
23,764 |
30,391 |
6,627 |
27.9% |
127,087 |
|
| Daily Pivots for day following 01-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2053 |
1.1925 |
1.1431 |
|
| R3 |
1.1800 |
1.1672 |
1.1362 |
|
| R2 |
1.1547 |
1.1547 |
1.1338 |
|
| R1 |
1.1419 |
1.1419 |
1.1315 |
1.1357 |
| PP |
1.1294 |
1.1294 |
1.1294 |
1.1262 |
| S1 |
1.1166 |
1.1166 |
1.1269 |
1.1104 |
| S2 |
1.1041 |
1.1041 |
1.1246 |
|
| S3 |
1.0788 |
1.0913 |
1.1222 |
|
| S4 |
1.0535 |
1.0660 |
1.1153 |
|
|
| 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 |
1.1168 |
0.0514 |
4.6% |
0.0214 |
1.9% |
24% |
False |
True |
26,313 |
| 10 |
1.1682 |
1.1020 |
0.0662 |
5.9% |
0.0176 |
1.6% |
41% |
False |
False |
26,904 |
| 20 |
1.1682 |
1.0749 |
0.0933 |
8.3% |
0.0171 |
1.5% |
58% |
False |
False |
25,315 |
| 40 |
1.1753 |
1.0749 |
0.1004 |
8.9% |
0.0168 |
1.5% |
54% |
False |
False |
21,321 |
| 60 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0229 |
2.0% |
16% |
False |
False |
14,424 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0214 |
1.9% |
16% |
False |
False |
10,851 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0190 |
1.7% |
16% |
False |
False |
8,688 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.1% |
0.0160 |
1.4% |
16% |
False |
False |
7,241 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2496 |
|
2.618 |
1.2083 |
|
1.618 |
1.1830 |
|
1.000 |
1.1674 |
|
0.618 |
1.1577 |
|
HIGH |
1.1421 |
|
0.618 |
1.1324 |
|
0.500 |
1.1295 |
|
0.382 |
1.1265 |
|
LOW |
1.1168 |
|
0.618 |
1.1012 |
|
1.000 |
1.0915 |
|
1.618 |
1.0759 |
|
2.618 |
1.0506 |
|
4.250 |
1.0093 |
|
|
| Fisher Pivots for day following 01-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1295 |
1.1405 |
| PP |
1.1294 |
1.1367 |
| S1 |
1.1293 |
1.1330 |
|