CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 09-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Nov-2011 |
09-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1110 |
1.1180 |
0.0070 |
0.6% |
1.1602 |
| High |
1.1215 |
1.1215 |
0.0000 |
0.0% |
1.1621 |
| Low |
1.1035 |
1.0981 |
-0.0054 |
-0.5% |
1.1168 |
| Close |
1.1189 |
1.0996 |
-0.0193 |
-1.7% |
1.1298 |
| Range |
0.0180 |
0.0234 |
0.0054 |
30.0% |
0.0453 |
| ATR |
0.0183 |
0.0186 |
0.0004 |
2.0% |
0.0000 |
| Volume |
22,240 |
23,623 |
1,383 |
6.2% |
117,020 |
|
| Daily Pivots for day following 09-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1766 |
1.1615 |
1.1125 |
|
| R3 |
1.1532 |
1.1381 |
1.1060 |
|
| R2 |
1.1298 |
1.1298 |
1.1039 |
|
| R1 |
1.1147 |
1.1147 |
1.1017 |
1.1106 |
| PP |
1.1064 |
1.1064 |
1.1064 |
1.1043 |
| S1 |
1.0913 |
1.0913 |
1.0975 |
1.0872 |
| S2 |
1.0830 |
1.0830 |
1.0953 |
|
| S3 |
1.0596 |
1.0679 |
1.0932 |
|
| S4 |
1.0362 |
1.0445 |
1.0867 |
|
|
| Weekly Pivots for week ending 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2721 |
1.2463 |
1.1547 |
|
| R3 |
1.2268 |
1.2010 |
1.1423 |
|
| R2 |
1.1815 |
1.1815 |
1.1381 |
|
| R1 |
1.1557 |
1.1557 |
1.1340 |
1.1460 |
| PP |
1.1362 |
1.1362 |
1.1362 |
1.1314 |
| S1 |
1.1104 |
1.1104 |
1.1256 |
1.1007 |
| S2 |
1.0909 |
1.0909 |
1.1215 |
|
| S3 |
1.0456 |
1.0651 |
1.1173 |
|
| S4 |
1.0003 |
1.0198 |
1.1049 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1424 |
1.0981 |
0.0443 |
4.0% |
0.0196 |
1.8% |
3% |
False |
True |
23,281 |
| 10 |
1.1682 |
1.0981 |
0.0701 |
6.4% |
0.0202 |
1.8% |
2% |
False |
True |
23,881 |
| 20 |
1.1682 |
1.0981 |
0.0701 |
6.4% |
0.0172 |
1.6% |
2% |
False |
True |
24,242 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.5% |
0.0170 |
1.5% |
26% |
False |
False |
23,960 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.3% |
0.0197 |
1.8% |
11% |
False |
False |
16,594 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.9% |
0.0218 |
2.0% |
7% |
False |
False |
12,529 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.9% |
0.0196 |
1.8% |
7% |
False |
False |
10,031 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.9% |
0.0169 |
1.5% |
7% |
False |
False |
8,361 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2210 |
|
2.618 |
1.1828 |
|
1.618 |
1.1594 |
|
1.000 |
1.1449 |
|
0.618 |
1.1360 |
|
HIGH |
1.1215 |
|
0.618 |
1.1126 |
|
0.500 |
1.1098 |
|
0.382 |
1.1070 |
|
LOW |
1.0981 |
|
0.618 |
1.0836 |
|
1.000 |
1.0747 |
|
1.618 |
1.0602 |
|
2.618 |
1.0368 |
|
4.250 |
0.9987 |
|
|
| Fisher Pivots for day following 09-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1098 |
1.1140 |
| PP |
1.1064 |
1.1092 |
| S1 |
1.1030 |
1.1044 |
|