CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 09-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Dec-2011 |
09-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0826 |
1.0796 |
-0.0030 |
-0.3% |
1.0851 |
| High |
1.0898 |
1.0893 |
-0.0005 |
0.0% |
1.0913 |
| Low |
1.0764 |
1.0771 |
0.0007 |
0.1% |
1.0755 |
| Close |
1.0788 |
1.0819 |
0.0031 |
0.3% |
1.0819 |
| Range |
0.0134 |
0.0122 |
-0.0012 |
-9.0% |
0.0158 |
| ATR |
0.0145 |
0.0143 |
-0.0002 |
-1.1% |
0.0000 |
| Volume |
37,367 |
23,923 |
-13,444 |
-36.0% |
125,785 |
|
| Daily Pivots for day following 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1194 |
1.1128 |
1.0886 |
|
| R3 |
1.1072 |
1.1006 |
1.0853 |
|
| R2 |
1.0950 |
1.0950 |
1.0841 |
|
| R1 |
1.0884 |
1.0884 |
1.0830 |
1.0917 |
| PP |
1.0828 |
1.0828 |
1.0828 |
1.0844 |
| S1 |
1.0762 |
1.0762 |
1.0808 |
1.0795 |
| S2 |
1.0706 |
1.0706 |
1.0797 |
|
| S3 |
1.0584 |
1.0640 |
1.0785 |
|
| S4 |
1.0462 |
1.0518 |
1.0752 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1303 |
1.1219 |
1.0906 |
|
| R3 |
1.1145 |
1.1061 |
1.0862 |
|
| R2 |
1.0987 |
1.0987 |
1.0848 |
|
| R1 |
1.0903 |
1.0903 |
1.0833 |
1.0866 |
| PP |
1.0829 |
1.0829 |
1.0829 |
1.0811 |
| S1 |
1.0745 |
1.0745 |
1.0805 |
1.0708 |
| S2 |
1.0671 |
1.0671 |
1.0790 |
|
| S3 |
1.0513 |
1.0587 |
1.0776 |
|
| S4 |
1.0355 |
1.0429 |
1.0732 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0913 |
1.0755 |
0.0158 |
1.5% |
0.0104 |
1.0% |
41% |
False |
False |
25,157 |
| 10 |
1.1035 |
1.0748 |
0.0287 |
2.7% |
0.0133 |
1.2% |
25% |
False |
False |
24,842 |
| 20 |
1.1175 |
1.0705 |
0.0470 |
4.3% |
0.0134 |
1.2% |
24% |
False |
False |
22,755 |
| 40 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0154 |
1.4% |
12% |
False |
False |
23,534 |
| 60 |
1.1682 |
1.0705 |
0.0977 |
9.0% |
0.0158 |
1.5% |
12% |
False |
False |
23,662 |
| 80 |
1.2985 |
1.0705 |
0.2280 |
21.1% |
0.0180 |
1.7% |
5% |
False |
False |
18,412 |
| 100 |
1.4150 |
1.0705 |
0.3445 |
31.8% |
0.0202 |
1.9% |
3% |
False |
False |
14,798 |
| 120 |
1.4150 |
1.0705 |
0.3445 |
31.8% |
0.0186 |
1.7% |
3% |
False |
False |
12,338 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1412 |
|
2.618 |
1.1212 |
|
1.618 |
1.1090 |
|
1.000 |
1.1015 |
|
0.618 |
1.0968 |
|
HIGH |
1.0893 |
|
0.618 |
1.0846 |
|
0.500 |
1.0832 |
|
0.382 |
1.0818 |
|
LOW |
1.0771 |
|
0.618 |
1.0696 |
|
1.000 |
1.0649 |
|
1.618 |
1.0574 |
|
2.618 |
1.0452 |
|
4.250 |
1.0253 |
|
|
| Fisher Pivots for day following 09-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0832 |
1.0831 |
| PP |
1.0828 |
1.0827 |
| S1 |
1.0823 |
1.0823 |
|