CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 03-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Nov-2011 |
03-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1288 |
1.1322 |
0.0034 |
0.3% |
1.1324 |
| High |
1.1380 |
1.1424 |
0.0044 |
0.4% |
1.1682 |
| Low |
1.1242 |
1.1250 |
0.0008 |
0.1% |
1.1274 |
| Close |
1.1335 |
1.1399 |
0.0064 |
0.6% |
1.1610 |
| Range |
0.0138 |
0.0174 |
0.0036 |
26.1% |
0.0408 |
| ATR |
0.0181 |
0.0181 |
-0.0001 |
-0.3% |
0.0000 |
| Volume |
18,045 |
24,327 |
6,282 |
34.8% |
127,087 |
|
| Daily Pivots for day following 03-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1880 |
1.1813 |
1.1495 |
|
| R3 |
1.1706 |
1.1639 |
1.1447 |
|
| R2 |
1.1532 |
1.1532 |
1.1431 |
|
| R1 |
1.1465 |
1.1465 |
1.1415 |
1.1499 |
| PP |
1.1358 |
1.1358 |
1.1358 |
1.1374 |
| S1 |
1.1291 |
1.1291 |
1.1383 |
1.1325 |
| S2 |
1.1184 |
1.1184 |
1.1367 |
|
| S3 |
1.1010 |
1.1117 |
1.1351 |
|
| S4 |
1.0836 |
1.0943 |
1.1303 |
|
|
| 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 |
1.1642 |
1.1168 |
0.0474 |
4.2% |
0.0174 |
1.5% |
49% |
False |
False |
23,077 |
| 10 |
1.1682 |
1.1168 |
0.0514 |
4.5% |
0.0178 |
1.6% |
45% |
False |
False |
25,133 |
| 20 |
1.1682 |
1.0788 |
0.0894 |
7.8% |
0.0174 |
1.5% |
68% |
False |
False |
24,476 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.2% |
0.0167 |
1.5% |
70% |
False |
False |
22,274 |
| 60 |
1.3848 |
1.0749 |
0.3099 |
27.2% |
0.0214 |
1.9% |
21% |
False |
False |
15,114 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0214 |
1.9% |
19% |
False |
False |
11,380 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0191 |
1.7% |
19% |
False |
False |
9,111 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
29.8% |
0.0163 |
1.4% |
19% |
False |
False |
7,594 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2164 |
|
2.618 |
1.1880 |
|
1.618 |
1.1706 |
|
1.000 |
1.1598 |
|
0.618 |
1.1532 |
|
HIGH |
1.1424 |
|
0.618 |
1.1358 |
|
0.500 |
1.1337 |
|
0.382 |
1.1316 |
|
LOW |
1.1250 |
|
0.618 |
1.1142 |
|
1.000 |
1.1076 |
|
1.618 |
1.0968 |
|
2.618 |
1.0794 |
|
4.250 |
1.0511 |
|
|
| Fisher Pivots for day following 03-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1378 |
1.1365 |
| PP |
1.1358 |
1.1330 |
| S1 |
1.1337 |
1.1296 |
|