CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 08-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Dec-2011 |
08-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0803 |
1.0826 |
0.0023 |
0.2% |
1.0769 |
| High |
1.0839 |
1.0898 |
0.0059 |
0.5% |
1.1035 |
| Low |
1.0766 |
1.0764 |
-0.0002 |
0.0% |
1.0748 |
| Close |
1.0819 |
1.0788 |
-0.0031 |
-0.3% |
1.0859 |
| Range |
0.0073 |
0.0134 |
0.0061 |
83.6% |
0.0287 |
| ATR |
0.0146 |
0.0145 |
-0.0001 |
-0.6% |
0.0000 |
| Volume |
22,420 |
37,367 |
14,947 |
66.7% |
122,636 |
|
| Daily Pivots for day following 08-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1219 |
1.1137 |
1.0862 |
|
| R3 |
1.1085 |
1.1003 |
1.0825 |
|
| R2 |
1.0951 |
1.0951 |
1.0813 |
|
| R1 |
1.0869 |
1.0869 |
1.0800 |
1.0843 |
| PP |
1.0817 |
1.0817 |
1.0817 |
1.0804 |
| S1 |
1.0735 |
1.0735 |
1.0776 |
1.0709 |
| S2 |
1.0683 |
1.0683 |
1.0763 |
|
| S3 |
1.0549 |
1.0601 |
1.0751 |
|
| S4 |
1.0415 |
1.0467 |
1.0714 |
|
|
| 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 |
1.0979 |
1.0755 |
0.0224 |
2.1% |
0.0111 |
1.0% |
15% |
False |
False |
24,065 |
| 10 |
1.1035 |
1.0705 |
0.0330 |
3.1% |
0.0143 |
1.3% |
25% |
False |
False |
25,192 |
| 20 |
1.1175 |
1.0705 |
0.0470 |
4.4% |
0.0136 |
1.3% |
18% |
False |
False |
22,679 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.1% |
0.0154 |
1.4% |
8% |
False |
False |
23,461 |
| 60 |
1.1682 |
1.0705 |
0.0977 |
9.1% |
0.0159 |
1.5% |
8% |
False |
False |
23,533 |
| 80 |
1.2985 |
1.0705 |
0.2280 |
21.1% |
0.0182 |
1.7% |
4% |
False |
False |
18,115 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.9% |
0.0202 |
1.9% |
2% |
False |
False |
14,559 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.9% |
0.0186 |
1.7% |
2% |
False |
False |
12,139 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1468 |
|
2.618 |
1.1249 |
|
1.618 |
1.1115 |
|
1.000 |
1.1032 |
|
0.618 |
1.0981 |
|
HIGH |
1.0898 |
|
0.618 |
1.0847 |
|
0.500 |
1.0831 |
|
0.382 |
1.0815 |
|
LOW |
1.0764 |
|
0.618 |
1.0681 |
|
1.000 |
1.0630 |
|
1.618 |
1.0547 |
|
2.618 |
1.0413 |
|
4.250 |
1.0195 |
|
|
| Fisher Pivots for day following 08-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0831 |
1.0827 |
| PP |
1.0817 |
1.0814 |
| S1 |
1.0802 |
1.0801 |
|