CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 14-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Dec-2011 |
14-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0649 |
1.0573 |
-0.0076 |
-0.7% |
1.0851 |
| High |
1.0706 |
1.0605 |
-0.0101 |
-0.9% |
1.0913 |
| Low |
1.0550 |
1.0484 |
-0.0066 |
-0.6% |
1.0755 |
| Close |
1.0574 |
1.0490 |
-0.0084 |
-0.8% |
1.0819 |
| Range |
0.0156 |
0.0121 |
-0.0035 |
-22.4% |
0.0158 |
| ATR |
0.0146 |
0.0144 |
-0.0002 |
-1.2% |
0.0000 |
| Volume |
35,749 |
32,016 |
-3,733 |
-10.4% |
125,785 |
|
| Daily Pivots for day following 14-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0889 |
1.0811 |
1.0557 |
|
| R3 |
1.0768 |
1.0690 |
1.0523 |
|
| R2 |
1.0647 |
1.0647 |
1.0512 |
|
| R1 |
1.0569 |
1.0569 |
1.0501 |
1.0548 |
| PP |
1.0526 |
1.0526 |
1.0526 |
1.0516 |
| S1 |
1.0448 |
1.0448 |
1.0479 |
1.0427 |
| S2 |
1.0405 |
1.0405 |
1.0468 |
|
| S3 |
1.0284 |
1.0327 |
1.0457 |
|
| S4 |
1.0163 |
1.0206 |
1.0423 |
|
|
| 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 |
1.0484 |
0.0414 |
3.9% |
0.0140 |
1.3% |
1% |
False |
True |
31,960 |
| 10 |
1.1027 |
1.0484 |
0.0543 |
5.2% |
0.0127 |
1.2% |
1% |
False |
True |
26,957 |
| 20 |
1.1035 |
1.0484 |
0.0551 |
5.3% |
0.0133 |
1.3% |
1% |
False |
True |
24,993 |
| 40 |
1.1682 |
1.0484 |
0.1198 |
11.4% |
0.0154 |
1.5% |
1% |
False |
True |
24,488 |
| 60 |
1.1682 |
1.0484 |
0.1198 |
11.4% |
0.0158 |
1.5% |
1% |
False |
True |
24,149 |
| 80 |
1.2985 |
1.0484 |
0.2501 |
23.8% |
0.0180 |
1.7% |
0% |
False |
True |
19,630 |
| 100 |
1.4150 |
1.0484 |
0.3666 |
34.9% |
0.0203 |
1.9% |
0% |
False |
True |
15,781 |
| 120 |
1.4150 |
1.0484 |
0.3666 |
34.9% |
0.0187 |
1.8% |
0% |
False |
True |
13,156 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1119 |
|
2.618 |
1.0922 |
|
1.618 |
1.0801 |
|
1.000 |
1.0726 |
|
0.618 |
1.0680 |
|
HIGH |
1.0605 |
|
0.618 |
1.0559 |
|
0.500 |
1.0545 |
|
0.382 |
1.0530 |
|
LOW |
1.0484 |
|
0.618 |
1.0409 |
|
1.000 |
1.0363 |
|
1.618 |
1.0288 |
|
2.618 |
1.0167 |
|
4.250 |
0.9970 |
|
|
| Fisher Pivots for day following 14-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0545 |
1.0652 |
| PP |
1.0526 |
1.0598 |
| S1 |
1.0508 |
1.0544 |
|