CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 06-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Dec-2011 |
06-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0851 |
1.0862 |
0.0011 |
0.1% |
1.0769 |
| High |
1.0913 |
1.0867 |
-0.0046 |
-0.4% |
1.1035 |
| Low |
1.0835 |
1.0755 |
-0.0080 |
-0.7% |
1.0748 |
| Close |
1.0867 |
1.0803 |
-0.0064 |
-0.6% |
1.0859 |
| Range |
0.0078 |
0.0112 |
0.0034 |
43.6% |
0.0287 |
| ATR |
0.0154 |
0.0151 |
-0.0003 |
-2.0% |
0.0000 |
| Volume |
18,959 |
23,116 |
4,157 |
21.9% |
122,636 |
|
| Daily Pivots for day following 06-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1144 |
1.1086 |
1.0865 |
|
| R3 |
1.1032 |
1.0974 |
1.0834 |
|
| R2 |
1.0920 |
1.0920 |
1.0824 |
|
| R1 |
1.0862 |
1.0862 |
1.0813 |
1.0835 |
| PP |
1.0808 |
1.0808 |
1.0808 |
1.0795 |
| S1 |
1.0750 |
1.0750 |
1.0793 |
1.0723 |
| S2 |
1.0696 |
1.0696 |
1.0782 |
|
| S3 |
1.0584 |
1.0638 |
1.0772 |
|
| S4 |
1.0472 |
1.0526 |
1.0741 |
|
|
| 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 |
1.0755 |
0.0280 |
2.6% |
0.0144 |
1.3% |
17% |
False |
True |
25,232 |
| 10 |
1.1035 |
1.0705 |
0.0330 |
3.1% |
0.0143 |
1.3% |
30% |
False |
False |
23,006 |
| 20 |
1.1215 |
1.0705 |
0.0510 |
4.7% |
0.0146 |
1.4% |
19% |
False |
False |
21,983 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0158 |
1.5% |
10% |
False |
False |
23,128 |
| 60 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0160 |
1.5% |
10% |
False |
False |
22,840 |
| 80 |
1.2985 |
1.0705 |
0.2280 |
21.1% |
0.0187 |
1.7% |
4% |
False |
False |
17,384 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.9% |
0.0202 |
1.9% |
3% |
False |
False |
13,962 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.9% |
0.0185 |
1.7% |
3% |
False |
False |
11,641 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1343 |
|
2.618 |
1.1160 |
|
1.618 |
1.1048 |
|
1.000 |
1.0979 |
|
0.618 |
1.0936 |
|
HIGH |
1.0867 |
|
0.618 |
1.0824 |
|
0.500 |
1.0811 |
|
0.382 |
1.0798 |
|
LOW |
1.0755 |
|
0.618 |
1.0686 |
|
1.000 |
1.0643 |
|
1.618 |
1.0574 |
|
2.618 |
1.0462 |
|
4.250 |
1.0279 |
|
|
| Fisher Pivots for day following 06-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0811 |
1.0867 |
| PP |
1.0808 |
1.0846 |
| S1 |
1.0806 |
1.0824 |
|