CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 11-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Nov-2011 |
11-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0984 |
1.1045 |
0.0061 |
0.6% |
1.1277 |
| High |
1.1094 |
1.1175 |
0.0081 |
0.7% |
1.1298 |
| Low |
1.0926 |
1.1013 |
0.0087 |
0.8% |
1.0926 |
| Close |
1.1024 |
1.1102 |
0.0078 |
0.7% |
1.1102 |
| Range |
0.0168 |
0.0162 |
-0.0006 |
-3.6% |
0.0372 |
| ATR |
0.0185 |
0.0183 |
-0.0002 |
-0.9% |
0.0000 |
| Volume |
22,402 |
16,421 |
-5,981 |
-26.7% |
110,412 |
|
| Daily Pivots for day following 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1583 |
1.1504 |
1.1191 |
|
| R3 |
1.1421 |
1.1342 |
1.1147 |
|
| R2 |
1.1259 |
1.1259 |
1.1132 |
|
| R1 |
1.1180 |
1.1180 |
1.1117 |
1.1220 |
| PP |
1.1097 |
1.1097 |
1.1097 |
1.1116 |
| S1 |
1.1018 |
1.1018 |
1.1087 |
1.1058 |
| S2 |
1.0935 |
1.0935 |
1.1072 |
|
| S3 |
1.0773 |
1.0856 |
1.1057 |
|
| S4 |
1.0611 |
1.0694 |
1.1013 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2225 |
1.2035 |
1.1307 |
|
| R3 |
1.1853 |
1.1663 |
1.1204 |
|
| R2 |
1.1481 |
1.1481 |
1.1170 |
|
| R1 |
1.1291 |
1.1291 |
1.1136 |
1.1200 |
| PP |
1.1109 |
1.1109 |
1.1109 |
1.1063 |
| S1 |
1.0919 |
1.0919 |
1.1068 |
1.0828 |
| S2 |
1.0737 |
1.0737 |
1.1034 |
|
| S3 |
1.0365 |
1.0547 |
1.1000 |
|
| S4 |
0.9993 |
1.0175 |
1.0897 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1298 |
1.0926 |
0.0372 |
3.4% |
0.0192 |
1.7% |
47% |
False |
False |
22,082 |
| 10 |
1.1621 |
1.0926 |
0.0695 |
6.3% |
0.0193 |
1.7% |
25% |
False |
False |
22,743 |
| 20 |
1.1682 |
1.0926 |
0.0756 |
6.8% |
0.0175 |
1.6% |
23% |
False |
False |
24,249 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.4% |
0.0171 |
1.5% |
38% |
False |
False |
24,054 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.1% |
0.0195 |
1.8% |
16% |
False |
False |
17,229 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
30.6% |
0.0220 |
2.0% |
10% |
False |
False |
13,014 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
30.6% |
0.0197 |
1.8% |
10% |
False |
False |
10,419 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
30.6% |
0.0172 |
1.6% |
10% |
False |
False |
8,685 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1864 |
|
2.618 |
1.1599 |
|
1.618 |
1.1437 |
|
1.000 |
1.1337 |
|
0.618 |
1.1275 |
|
HIGH |
1.1175 |
|
0.618 |
1.1113 |
|
0.500 |
1.1094 |
|
0.382 |
1.1075 |
|
LOW |
1.1013 |
|
0.618 |
1.0913 |
|
1.000 |
1.0851 |
|
1.618 |
1.0751 |
|
2.618 |
1.0589 |
|
4.250 |
1.0325 |
|
|
| Fisher Pivots for day following 11-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1099 |
1.1092 |
| PP |
1.1097 |
1.1081 |
| S1 |
1.1094 |
1.1071 |
|