CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 23-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Nov-2011 |
23-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0909 |
1.0940 |
0.0031 |
0.3% |
1.1124 |
| High |
1.0983 |
1.0959 |
-0.0024 |
-0.2% |
1.1164 |
| Low |
1.0890 |
1.0847 |
-0.0043 |
-0.4% |
1.0830 |
| Close |
1.0935 |
1.0865 |
-0.0070 |
-0.6% |
1.0901 |
| Range |
0.0093 |
0.0112 |
0.0019 |
20.4% |
0.0334 |
| ATR |
0.0157 |
0.0154 |
-0.0003 |
-2.1% |
0.0000 |
| Volume |
16,584 |
21,348 |
4,764 |
28.7% |
105,884 |
|
| Daily Pivots for day following 23-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1226 |
1.1158 |
1.0927 |
|
| R3 |
1.1114 |
1.1046 |
1.0896 |
|
| R2 |
1.1002 |
1.1002 |
1.0886 |
|
| R1 |
1.0934 |
1.0934 |
1.0875 |
1.0912 |
| PP |
1.0890 |
1.0890 |
1.0890 |
1.0880 |
| S1 |
1.0822 |
1.0822 |
1.0855 |
1.0800 |
| S2 |
1.0778 |
1.0778 |
1.0844 |
|
| S3 |
1.0666 |
1.0710 |
1.0834 |
|
| S4 |
1.0554 |
1.0598 |
1.0803 |
|
|
| 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 |
1.1013 |
1.0830 |
0.0183 |
1.7% |
0.0111 |
1.0% |
19% |
False |
False |
21,128 |
| 10 |
1.1175 |
1.0830 |
0.0345 |
3.2% |
0.0129 |
1.2% |
10% |
False |
False |
20,167 |
| 20 |
1.1682 |
1.0830 |
0.0852 |
7.8% |
0.0165 |
1.5% |
4% |
False |
False |
22,024 |
| 40 |
1.1682 |
1.0749 |
0.0933 |
8.6% |
0.0161 |
1.5% |
12% |
False |
False |
23,214 |
| 60 |
1.2985 |
1.0749 |
0.2236 |
20.6% |
0.0188 |
1.7% |
5% |
False |
False |
19,902 |
| 80 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0215 |
2.0% |
3% |
False |
False |
15,034 |
| 100 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0199 |
1.8% |
3% |
False |
False |
12,043 |
| 120 |
1.4150 |
1.0749 |
0.3401 |
31.3% |
0.0179 |
1.6% |
3% |
False |
False |
10,041 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1435 |
|
2.618 |
1.1252 |
|
1.618 |
1.1140 |
|
1.000 |
1.1071 |
|
0.618 |
1.1028 |
|
HIGH |
1.0959 |
|
0.618 |
1.0916 |
|
0.500 |
1.0903 |
|
0.382 |
1.0890 |
|
LOW |
1.0847 |
|
0.618 |
1.0778 |
|
1.000 |
1.0735 |
|
1.618 |
1.0666 |
|
2.618 |
1.0554 |
|
4.250 |
1.0371 |
|
|
| Fisher Pivots for day following 23-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0903 |
1.0915 |
| PP |
1.0890 |
1.0898 |
| S1 |
1.0878 |
1.0882 |
|