CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 15-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Nov-2011 |
15-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1124 |
1.1015 |
-0.0109 |
-1.0% |
1.1277 |
| High |
1.1164 |
1.1017 |
-0.0147 |
-1.3% |
1.1298 |
| Low |
1.1001 |
1.0876 |
-0.0125 |
-1.1% |
1.0926 |
| Close |
1.1017 |
1.0933 |
-0.0084 |
-0.8% |
1.1102 |
| Range |
0.0163 |
0.0141 |
-0.0022 |
-13.5% |
0.0372 |
| ATR |
0.0182 |
0.0179 |
-0.0003 |
-1.6% |
0.0000 |
| Volume |
18,838 |
18,490 |
-348 |
-1.8% |
110,412 |
|
| Daily Pivots for day following 15-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1365 |
1.1290 |
1.1011 |
|
| R3 |
1.1224 |
1.1149 |
1.0972 |
|
| R2 |
1.1083 |
1.1083 |
1.0959 |
|
| R1 |
1.1008 |
1.1008 |
1.0946 |
1.0975 |
| PP |
1.0942 |
1.0942 |
1.0942 |
1.0926 |
| S1 |
1.0867 |
1.0867 |
1.0920 |
1.0834 |
| S2 |
1.0801 |
1.0801 |
1.0907 |
|
| S3 |
1.0660 |
1.0726 |
1.0894 |
|
| S4 |
1.0519 |
1.0585 |
1.0855 |
|
|
| 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 |
1.1215 |
1.0876 |
0.0339 |
3.1% |
0.0174 |
1.6% |
17% |
False |
True |
19,954 |
| 10 |
1.1424 |
1.0876 |
0.0548 |
5.0% |
0.0175 |
1.6% |
10% |
False |
True |
21,060 |
| 20 |
1.1682 |
1.0876 |
0.0806 |
7.4% |
0.0176 |
1.6% |
7% |
False |
True |
23,982 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.5% |
0.0170 |
1.6% |
20% |
False |
False |
23,727 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.5% |
0.0195 |
1.8% |
8% |
False |
False |
17,842 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
31.1% |
0.0220 |
2.0% |
5% |
False |
False |
13,478 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
31.1% |
0.0198 |
1.8% |
5% |
False |
False |
10,789 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
31.1% |
0.0175 |
1.6% |
5% |
False |
False |
8,996 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1616 |
|
2.618 |
1.1386 |
|
1.618 |
1.1245 |
|
1.000 |
1.1158 |
|
0.618 |
1.1104 |
|
HIGH |
1.1017 |
|
0.618 |
1.0963 |
|
0.500 |
1.0947 |
|
0.382 |
1.0930 |
|
LOW |
1.0876 |
|
0.618 |
1.0789 |
|
1.000 |
1.0735 |
|
1.618 |
1.0648 |
|
2.618 |
1.0507 |
|
4.250 |
1.0277 |
|
|
| Fisher Pivots for day following 15-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0947 |
1.1026 |
| PP |
1.0942 |
1.0995 |
| S1 |
1.0938 |
1.0964 |
|