CME Swiss Franc Future March 2012
| 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 |
1.0590 |
1.0519 |
-0.0071 |
-0.7% |
1.0905 |
| High |
1.0631 |
1.0674 |
0.0043 |
0.4% |
1.0926 |
| Low |
1.0512 |
1.0501 |
-0.0011 |
-0.1% |
1.0784 |
| Close |
1.0518 |
1.0655 |
0.0137 |
1.3% |
1.0840 |
| Range |
0.0119 |
0.0173 |
0.0054 |
45.4% |
0.0142 |
| ATR |
0.0121 |
0.0124 |
0.0004 |
3.1% |
0.0000 |
| Volume |
16,401 |
21,794 |
5,393 |
32.9% |
9,312 |
|
| Daily Pivots for day following 15-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1129 |
1.1065 |
1.0750 |
|
| R3 |
1.0956 |
1.0892 |
1.0703 |
|
| R2 |
1.0783 |
1.0783 |
1.0687 |
|
| R1 |
1.0719 |
1.0719 |
1.0671 |
1.0751 |
| PP |
1.0610 |
1.0610 |
1.0610 |
1.0626 |
| S1 |
1.0546 |
1.0546 |
1.0639 |
1.0578 |
| S2 |
1.0437 |
1.0437 |
1.0623 |
|
| S3 |
1.0264 |
1.0373 |
1.0607 |
|
| S4 |
1.0091 |
1.0200 |
1.0560 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1276 |
1.1200 |
1.0918 |
|
| R3 |
1.1134 |
1.1058 |
1.0879 |
|
| R2 |
1.0992 |
1.0992 |
1.0866 |
|
| R1 |
1.0916 |
1.0916 |
1.0853 |
1.0883 |
| PP |
1.0850 |
1.0850 |
1.0850 |
1.0834 |
| S1 |
1.0774 |
1.0774 |
1.0827 |
1.0741 |
| S2 |
1.0708 |
1.0708 |
1.0814 |
|
| S3 |
1.0566 |
1.0632 |
1.0801 |
|
| S4 |
1.0424 |
1.0490 |
1.0762 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0915 |
1.0501 |
0.0414 |
3.9% |
0.0145 |
1.4% |
37% |
False |
True |
12,999 |
| 10 |
1.0990 |
1.0501 |
0.0489 |
4.6% |
0.0121 |
1.1% |
31% |
False |
True |
7,194 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0119 |
1.1% |
28% |
False |
True |
3,646 |
| 40 |
1.1700 |
1.0501 |
0.1199 |
11.3% |
0.0104 |
1.0% |
13% |
False |
True |
1,832 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.3% |
0.0083 |
0.8% |
13% |
False |
True |
1,226 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
22.0% |
0.0065 |
0.6% |
7% |
False |
True |
927 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.8% |
0.0063 |
0.6% |
4% |
False |
True |
744 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.8% |
0.0053 |
0.5% |
4% |
False |
True |
620 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1409 |
|
2.618 |
1.1127 |
|
1.618 |
1.0954 |
|
1.000 |
1.0847 |
|
0.618 |
1.0781 |
|
HIGH |
1.0674 |
|
0.618 |
1.0608 |
|
0.500 |
1.0588 |
|
0.382 |
1.0567 |
|
LOW |
1.0501 |
|
0.618 |
1.0394 |
|
1.000 |
1.0328 |
|
1.618 |
1.0221 |
|
2.618 |
1.0048 |
|
4.250 |
0.9766 |
|
|
| Fisher Pivots for day following 15-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0633 |
1.0642 |
| PP |
1.0610 |
1.0628 |
| S1 |
1.0588 |
1.0615 |
|