CME Swiss Franc Future December 2011
| Trading Metrics calculated at close of trading on 15-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Dec-2011 |
15-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0573 |
1.0490 |
-0.0083 |
-0.8% |
1.0851 |
| High |
1.0605 |
1.0653 |
0.0048 |
0.5% |
1.0913 |
| Low |
1.0484 |
1.0474 |
-0.0010 |
-0.1% |
1.0755 |
| Close |
1.0490 |
1.0633 |
0.0143 |
1.4% |
1.0819 |
| Range |
0.0121 |
0.0179 |
0.0058 |
47.9% |
0.0158 |
| ATR |
0.0144 |
0.0146 |
0.0003 |
1.7% |
0.0000 |
| Volume |
32,016 |
33,914 |
1,898 |
5.9% |
125,785 |
|
| Daily Pivots for day following 15-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1124 |
1.1057 |
1.0731 |
|
| R3 |
1.0945 |
1.0878 |
1.0682 |
|
| R2 |
1.0766 |
1.0766 |
1.0666 |
|
| R1 |
1.0699 |
1.0699 |
1.0649 |
1.0733 |
| PP |
1.0587 |
1.0587 |
1.0587 |
1.0603 |
| S1 |
1.0520 |
1.0520 |
1.0617 |
1.0554 |
| S2 |
1.0408 |
1.0408 |
1.0600 |
|
| S3 |
1.0229 |
1.0341 |
1.0584 |
|
| S4 |
1.0050 |
1.0162 |
1.0535 |
|
|
| 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 |
1.0893 |
1.0474 |
0.0419 |
3.9% |
0.0149 |
1.4% |
38% |
False |
True |
31,269 |
| 10 |
1.0979 |
1.0474 |
0.0505 |
4.7% |
0.0130 |
1.2% |
31% |
False |
True |
27,667 |
| 20 |
1.1035 |
1.0474 |
0.0561 |
5.3% |
0.0137 |
1.3% |
28% |
False |
True |
25,695 |
| 40 |
1.1682 |
1.0474 |
0.1208 |
11.4% |
0.0156 |
1.5% |
13% |
False |
True |
24,731 |
| 60 |
1.1682 |
1.0474 |
0.1208 |
11.4% |
0.0157 |
1.5% |
13% |
False |
True |
24,248 |
| 80 |
1.2985 |
1.0474 |
0.2511 |
23.6% |
0.0181 |
1.7% |
6% |
False |
True |
20,053 |
| 100 |
1.4150 |
1.0474 |
0.3676 |
34.6% |
0.0204 |
1.9% |
4% |
False |
True |
16,119 |
| 120 |
1.4150 |
1.0474 |
0.3676 |
34.6% |
0.0188 |
1.8% |
4% |
False |
True |
13,439 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1414 |
|
2.618 |
1.1122 |
|
1.618 |
1.0943 |
|
1.000 |
1.0832 |
|
0.618 |
1.0764 |
|
HIGH |
1.0653 |
|
0.618 |
1.0585 |
|
0.500 |
1.0564 |
|
0.382 |
1.0542 |
|
LOW |
1.0474 |
|
0.618 |
1.0363 |
|
1.000 |
1.0295 |
|
1.618 |
1.0184 |
|
2.618 |
1.0005 |
|
4.250 |
0.9713 |
|
|
| Fisher Pivots for day following 15-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0610 |
1.0619 |
| PP |
1.0587 |
1.0604 |
| S1 |
1.0564 |
1.0590 |
|