CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 21-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Nov-2011 |
21-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0860 |
1.0907 |
0.0047 |
0.4% |
1.1124 |
| High |
1.1013 |
1.0945 |
-0.0068 |
-0.6% |
1.1164 |
| Low |
1.0846 |
1.0863 |
0.0017 |
0.2% |
1.0830 |
| Close |
1.0901 |
1.0912 |
0.0011 |
0.1% |
1.0901 |
| Range |
0.0167 |
0.0082 |
-0.0085 |
-50.9% |
0.0334 |
| ATR |
0.0168 |
0.0162 |
-0.0006 |
-3.7% |
0.0000 |
| Volume |
23,095 |
19,036 |
-4,059 |
-17.6% |
105,884 |
|
| Daily Pivots for day following 21-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1153 |
1.1114 |
1.0957 |
|
| R3 |
1.1071 |
1.1032 |
1.0935 |
|
| R2 |
1.0989 |
1.0989 |
1.0927 |
|
| R1 |
1.0950 |
1.0950 |
1.0920 |
1.0970 |
| PP |
1.0907 |
1.0907 |
1.0907 |
1.0916 |
| S1 |
1.0868 |
1.0868 |
1.0904 |
1.0888 |
| S2 |
1.0825 |
1.0825 |
1.0897 |
|
| S3 |
1.0743 |
1.0786 |
1.0889 |
|
| S4 |
1.0661 |
1.0704 |
1.0867 |
|
|
| Weekly Pivots for week ending 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1967 |
1.1768 |
1.1085 |
|
| R3 |
1.1633 |
1.1434 |
1.0993 |
|
| R2 |
1.1299 |
1.1299 |
1.0962 |
|
| R1 |
1.1100 |
1.1100 |
1.0932 |
1.1033 |
| PP |
1.0965 |
1.0965 |
1.0965 |
1.0931 |
| S1 |
1.0766 |
1.0766 |
1.0870 |
1.0699 |
| S2 |
1.0631 |
1.0631 |
1.0840 |
|
| S3 |
1.0297 |
1.0432 |
1.0809 |
|
| S4 |
0.9963 |
1.0098 |
1.0717 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1017 |
1.0830 |
0.0187 |
1.7% |
0.0119 |
1.1% |
44% |
False |
False |
21,216 |
| 10 |
1.1215 |
1.0830 |
0.0385 |
3.5% |
0.0150 |
1.4% |
21% |
False |
False |
20,960 |
| 20 |
1.1682 |
1.0830 |
0.0852 |
7.8% |
0.0169 |
1.5% |
10% |
False |
False |
23,001 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.6% |
0.0162 |
1.5% |
17% |
False |
False |
23,192 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.5% |
0.0191 |
1.7% |
7% |
False |
False |
19,286 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
31.2% |
0.0221 |
2.0% |
5% |
False |
False |
14,569 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
31.2% |
0.0199 |
1.8% |
5% |
False |
False |
11,664 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
31.2% |
0.0178 |
1.6% |
5% |
False |
False |
9,726 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1294 |
|
2.618 |
1.1160 |
|
1.618 |
1.1078 |
|
1.000 |
1.1027 |
|
0.618 |
1.0996 |
|
HIGH |
1.0945 |
|
0.618 |
1.0914 |
|
0.500 |
1.0904 |
|
0.382 |
1.0894 |
|
LOW |
1.0863 |
|
0.618 |
1.0812 |
|
1.000 |
1.0781 |
|
1.618 |
1.0730 |
|
2.618 |
1.0648 |
|
4.250 |
1.0515 |
|
|
| Fisher Pivots for day following 21-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0909 |
1.0922 |
| PP |
1.0907 |
1.0918 |
| S1 |
1.0904 |
1.0915 |
|