CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 05-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Dec-2011 |
05-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0918 |
1.0851 |
-0.0067 |
-0.6% |
1.0769 |
| High |
1.0979 |
1.0913 |
-0.0066 |
-0.6% |
1.1035 |
| Low |
1.0821 |
1.0835 |
0.0014 |
0.1% |
1.0748 |
| Close |
1.0859 |
1.0867 |
0.0008 |
0.1% |
1.0859 |
| Range |
0.0158 |
0.0078 |
-0.0080 |
-50.6% |
0.0287 |
| ATR |
0.0160 |
0.0154 |
-0.0006 |
-3.7% |
0.0000 |
| Volume |
18,464 |
18,959 |
495 |
2.7% |
122,636 |
|
| Daily Pivots for day following 05-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1106 |
1.1064 |
1.0910 |
|
| R3 |
1.1028 |
1.0986 |
1.0888 |
|
| R2 |
1.0950 |
1.0950 |
1.0881 |
|
| R1 |
1.0908 |
1.0908 |
1.0874 |
1.0929 |
| PP |
1.0872 |
1.0872 |
1.0872 |
1.0882 |
| S1 |
1.0830 |
1.0830 |
1.0860 |
1.0851 |
| S2 |
1.0794 |
1.0794 |
1.0853 |
|
| S3 |
1.0716 |
1.0752 |
1.0846 |
|
| S4 |
1.0638 |
1.0674 |
1.0824 |
|
|
| Weekly Pivots for week ending 02-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1742 |
1.1587 |
1.1017 |
|
| R3 |
1.1455 |
1.1300 |
1.0938 |
|
| R2 |
1.1168 |
1.1168 |
1.0912 |
|
| R1 |
1.1013 |
1.1013 |
1.0885 |
1.1091 |
| PP |
1.0881 |
1.0881 |
1.0881 |
1.0919 |
| S1 |
1.0726 |
1.0726 |
1.0833 |
1.0804 |
| S2 |
1.0594 |
1.0594 |
1.0806 |
|
| S3 |
1.0307 |
1.0439 |
1.0780 |
|
| S4 |
1.0020 |
1.0152 |
1.0701 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1035 |
1.0813 |
0.0222 |
2.0% |
0.0147 |
1.3% |
24% |
False |
False |
24,349 |
| 10 |
1.1035 |
1.0705 |
0.0330 |
3.0% |
0.0140 |
1.3% |
49% |
False |
False |
22,598 |
| 20 |
1.1298 |
1.0705 |
0.0593 |
5.5% |
0.0152 |
1.4% |
27% |
False |
False |
22,114 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0163 |
1.5% |
17% |
False |
False |
23,154 |
| 60 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0161 |
1.5% |
17% |
False |
False |
22,516 |
| 80 |
1.3295 |
1.0705 |
0.2590 |
23.8% |
0.0191 |
1.8% |
6% |
False |
False |
17,108 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0202 |
1.9% |
5% |
False |
False |
13,731 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.7% |
0.0185 |
1.7% |
5% |
False |
False |
11,449 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1245 |
|
2.618 |
1.1117 |
|
1.618 |
1.1039 |
|
1.000 |
1.0991 |
|
0.618 |
1.0961 |
|
HIGH |
1.0913 |
|
0.618 |
1.0883 |
|
0.500 |
1.0874 |
|
0.382 |
1.0865 |
|
LOW |
1.0835 |
|
0.618 |
1.0787 |
|
1.000 |
1.0757 |
|
1.618 |
1.0709 |
|
2.618 |
1.0631 |
|
4.250 |
1.0504 |
|
|
| Fisher Pivots for day following 05-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0874 |
1.0924 |
| PP |
1.0872 |
1.0905 |
| S1 |
1.0869 |
1.0886 |
|