CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 17-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Nov-2011 |
17-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0922 |
1.0874 |
-0.0048 |
-0.4% |
1.1277 |
| High |
1.0947 |
1.0931 |
-0.0016 |
-0.1% |
1.1298 |
| Low |
1.0845 |
1.0830 |
-0.0015 |
-0.1% |
1.0926 |
| Close |
1.0910 |
1.0873 |
-0.0037 |
-0.3% |
1.1102 |
| Range |
0.0102 |
0.0101 |
-0.0001 |
-1.0% |
0.0372 |
| ATR |
0.0174 |
0.0168 |
-0.0005 |
-3.0% |
0.0000 |
| Volume |
19,882 |
25,579 |
5,697 |
28.7% |
110,412 |
|
| Daily Pivots for day following 17-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1181 |
1.1128 |
1.0929 |
|
| R3 |
1.1080 |
1.1027 |
1.0901 |
|
| R2 |
1.0979 |
1.0979 |
1.0892 |
|
| R1 |
1.0926 |
1.0926 |
1.0882 |
1.0902 |
| PP |
1.0878 |
1.0878 |
1.0878 |
1.0866 |
| S1 |
1.0825 |
1.0825 |
1.0864 |
1.0801 |
| S2 |
1.0777 |
1.0777 |
1.0854 |
|
| S3 |
1.0676 |
1.0724 |
1.0845 |
|
| S4 |
1.0575 |
1.0623 |
1.0817 |
|
|
| 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 |
1.0830 |
0.0345 |
3.2% |
0.0134 |
1.2% |
12% |
False |
True |
19,842 |
| 10 |
1.1411 |
1.0830 |
0.0581 |
5.3% |
0.0164 |
1.5% |
7% |
False |
True |
21,369 |
| 20 |
1.1682 |
1.0830 |
0.0852 |
7.8% |
0.0171 |
1.6% |
5% |
False |
True |
23,251 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.6% |
0.0163 |
1.5% |
13% |
False |
False |
23,362 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.6% |
0.0195 |
1.8% |
6% |
False |
False |
18,597 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0222 |
2.0% |
4% |
False |
False |
14,044 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0199 |
1.8% |
4% |
False |
False |
11,243 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0176 |
1.6% |
4% |
False |
False |
9,375 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1360 |
|
2.618 |
1.1195 |
|
1.618 |
1.1094 |
|
1.000 |
1.1032 |
|
0.618 |
1.0993 |
|
HIGH |
1.0931 |
|
0.618 |
1.0892 |
|
0.500 |
1.0881 |
|
0.382 |
1.0869 |
|
LOW |
1.0830 |
|
0.618 |
1.0768 |
|
1.000 |
1.0729 |
|
1.618 |
1.0667 |
|
2.618 |
1.0566 |
|
4.250 |
1.0401 |
|
|
| Fisher Pivots for day following 17-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0881 |
1.0924 |
| PP |
1.0878 |
1.0907 |
| S1 |
1.0876 |
1.0890 |
|