CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 13-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Dec-2011 |
13-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0796 |
1.0649 |
-0.0147 |
-1.4% |
1.0851 |
| High |
1.0819 |
1.0706 |
-0.0113 |
-1.0% |
1.0913 |
| Low |
1.0652 |
1.0550 |
-0.0102 |
-1.0% |
1.0755 |
| Close |
1.0675 |
1.0574 |
-0.0101 |
-0.9% |
1.0819 |
| Range |
0.0167 |
0.0156 |
-0.0011 |
-6.6% |
0.0158 |
| ATR |
0.0145 |
0.0146 |
0.0001 |
0.6% |
0.0000 |
| Volume |
30,745 |
35,749 |
5,004 |
16.3% |
125,785 |
|
| Daily Pivots for day following 13-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1078 |
1.0982 |
1.0660 |
|
| R3 |
1.0922 |
1.0826 |
1.0617 |
|
| R2 |
1.0766 |
1.0766 |
1.0603 |
|
| R1 |
1.0670 |
1.0670 |
1.0588 |
1.0640 |
| PP |
1.0610 |
1.0610 |
1.0610 |
1.0595 |
| S1 |
1.0514 |
1.0514 |
1.0560 |
1.0484 |
| S2 |
1.0454 |
1.0454 |
1.0545 |
|
| S3 |
1.0298 |
1.0358 |
1.0531 |
|
| S4 |
1.0142 |
1.0202 |
1.0488 |
|
|
| 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 |
1.0898 |
1.0550 |
0.0348 |
3.3% |
0.0130 |
1.2% |
7% |
False |
True |
30,040 |
| 10 |
1.1035 |
1.0550 |
0.0485 |
4.6% |
0.0137 |
1.3% |
5% |
False |
True |
27,636 |
| 20 |
1.1035 |
1.0550 |
0.0485 |
4.6% |
0.0134 |
1.3% |
5% |
False |
True |
24,317 |
| 40 |
1.1682 |
1.0550 |
0.1132 |
10.7% |
0.0154 |
1.5% |
2% |
False |
True |
24,338 |
| 60 |
1.1682 |
1.0550 |
0.1132 |
10.7% |
0.0158 |
1.5% |
2% |
False |
True |
24,125 |
| 80 |
1.2985 |
1.0550 |
0.2435 |
23.0% |
0.0179 |
1.7% |
1% |
False |
True |
19,232 |
| 100 |
1.4150 |
1.0550 |
0.3600 |
34.0% |
0.0203 |
1.9% |
1% |
False |
True |
15,463 |
| 120 |
1.4150 |
1.0550 |
0.3600 |
34.0% |
0.0187 |
1.8% |
1% |
False |
True |
12,891 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1369 |
|
2.618 |
1.1114 |
|
1.618 |
1.0958 |
|
1.000 |
1.0862 |
|
0.618 |
1.0802 |
|
HIGH |
1.0706 |
|
0.618 |
1.0646 |
|
0.500 |
1.0628 |
|
0.382 |
1.0610 |
|
LOW |
1.0550 |
|
0.618 |
1.0454 |
|
1.000 |
1.0394 |
|
1.618 |
1.0298 |
|
2.618 |
1.0142 |
|
4.250 |
0.9887 |
|
|
| Fisher Pivots for day following 13-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0628 |
1.0722 |
| PP |
1.0610 |
1.0672 |
| S1 |
1.0592 |
1.0623 |
|