CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 19-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Dec-2011 |
19-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0664 |
1.0699 |
0.0035 |
0.3% |
1.0815 |
| High |
1.0716 |
1.0722 |
0.0006 |
0.1% |
1.0832 |
| Low |
1.0644 |
1.0657 |
0.0013 |
0.1% |
1.0501 |
| Close |
1.0691 |
1.0694 |
0.0003 |
0.0% |
1.0691 |
| Range |
0.0072 |
0.0065 |
-0.0007 |
-9.7% |
0.0331 |
| ATR |
0.0121 |
0.0117 |
-0.0004 |
-3.3% |
0.0000 |
| Volume |
19,518 |
14,046 |
-5,472 |
-28.0% |
81,715 |
|
| Daily Pivots for day following 19-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0886 |
1.0855 |
1.0730 |
|
| R3 |
1.0821 |
1.0790 |
1.0712 |
|
| R2 |
1.0756 |
1.0756 |
1.0706 |
|
| R1 |
1.0725 |
1.0725 |
1.0700 |
1.0708 |
| PP |
1.0691 |
1.0691 |
1.0691 |
1.0683 |
| S1 |
1.0660 |
1.0660 |
1.0688 |
1.0643 |
| S2 |
1.0626 |
1.0626 |
1.0682 |
|
| S3 |
1.0561 |
1.0595 |
1.0676 |
|
| S4 |
1.0496 |
1.0530 |
1.0658 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1668 |
1.1510 |
1.0873 |
|
| R3 |
1.1337 |
1.1179 |
1.0782 |
|
| R2 |
1.1006 |
1.1006 |
1.0752 |
|
| R1 |
1.0848 |
1.0848 |
1.0721 |
1.0762 |
| PP |
1.0675 |
1.0675 |
1.0675 |
1.0631 |
| S1 |
1.0517 |
1.0517 |
1.0661 |
1.0431 |
| S2 |
1.0344 |
1.0344 |
1.0630 |
|
| S3 |
1.0013 |
1.0186 |
1.0600 |
|
| S4 |
0.9682 |
0.9855 |
1.0509 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0729 |
1.0501 |
0.0228 |
2.1% |
0.0116 |
1.1% |
85% |
False |
False |
16,783 |
| 10 |
1.0915 |
1.0501 |
0.0414 |
3.9% |
0.0115 |
1.1% |
47% |
False |
False |
10,492 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0116 |
1.1% |
35% |
False |
False |
5,323 |
| 40 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0102 |
1.0% |
16% |
False |
False |
2,670 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0082 |
0.8% |
16% |
False |
False |
1,784 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
22.0% |
0.0067 |
0.6% |
8% |
False |
False |
1,347 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0065 |
0.6% |
5% |
False |
False |
1,079 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0054 |
0.5% |
5% |
False |
False |
900 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0998 |
|
2.618 |
1.0892 |
|
1.618 |
1.0827 |
|
1.000 |
1.0787 |
|
0.618 |
1.0762 |
|
HIGH |
1.0722 |
|
0.618 |
1.0697 |
|
0.500 |
1.0690 |
|
0.382 |
1.0682 |
|
LOW |
1.0657 |
|
0.618 |
1.0617 |
|
1.000 |
1.0592 |
|
1.618 |
1.0552 |
|
2.618 |
1.0487 |
|
4.250 |
1.0381 |
|
|
| Fisher Pivots for day following 19-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0693 |
1.0667 |
| PP |
1.0691 |
1.0639 |
| S1 |
1.0690 |
1.0612 |
|