CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 16-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Nov-2011 |
16-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1015 |
1.0922 |
-0.0093 |
-0.8% |
1.1277 |
| High |
1.1017 |
1.0947 |
-0.0070 |
-0.6% |
1.1298 |
| Low |
1.0876 |
1.0845 |
-0.0031 |
-0.3% |
1.0926 |
| Close |
1.0933 |
1.0910 |
-0.0023 |
-0.2% |
1.1102 |
| Range |
0.0141 |
0.0102 |
-0.0039 |
-27.7% |
0.0372 |
| ATR |
0.0179 |
0.0174 |
-0.0006 |
-3.1% |
0.0000 |
| Volume |
18,490 |
19,882 |
1,392 |
7.5% |
110,412 |
|
| Daily Pivots for day following 16-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1207 |
1.1160 |
1.0966 |
|
| R3 |
1.1105 |
1.1058 |
1.0938 |
|
| R2 |
1.1003 |
1.1003 |
1.0929 |
|
| R1 |
1.0956 |
1.0956 |
1.0919 |
1.0929 |
| PP |
1.0901 |
1.0901 |
1.0901 |
1.0887 |
| S1 |
1.0854 |
1.0854 |
1.0901 |
1.0827 |
| S2 |
1.0799 |
1.0799 |
1.0891 |
|
| S3 |
1.0697 |
1.0752 |
1.0882 |
|
| S4 |
1.0595 |
1.0650 |
1.0854 |
|
|
| 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 |
1.1175 |
1.0845 |
0.0330 |
3.0% |
0.0147 |
1.3% |
20% |
False |
True |
19,206 |
| 10 |
1.1424 |
1.0845 |
0.0579 |
5.3% |
0.0172 |
1.6% |
11% |
False |
True |
21,244 |
| 20 |
1.1682 |
1.0845 |
0.0837 |
7.7% |
0.0175 |
1.6% |
8% |
False |
True |
23,766 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.6% |
0.0168 |
1.5% |
17% |
False |
False |
23,524 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.5% |
0.0196 |
1.8% |
7% |
False |
False |
18,172 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
31.2% |
0.0221 |
2.0% |
5% |
False |
False |
13,725 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
31.2% |
0.0199 |
1.8% |
5% |
False |
False |
10,987 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
31.2% |
0.0176 |
1.6% |
5% |
False |
False |
9,162 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1381 |
|
2.618 |
1.1214 |
|
1.618 |
1.1112 |
|
1.000 |
1.1049 |
|
0.618 |
1.1010 |
|
HIGH |
1.0947 |
|
0.618 |
1.0908 |
|
0.500 |
1.0896 |
|
0.382 |
1.0884 |
|
LOW |
1.0845 |
|
0.618 |
1.0782 |
|
1.000 |
1.0743 |
|
1.618 |
1.0680 |
|
2.618 |
1.0578 |
|
4.250 |
1.0412 |
|
|
| Fisher Pivots for day following 16-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0905 |
1.1005 |
| PP |
1.0901 |
1.0973 |
| S1 |
1.0896 |
1.0942 |
|