CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 21-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Dec-2011 |
21-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0689 |
1.0755 |
0.0066 |
0.6% |
1.0815 |
| High |
1.0813 |
1.0839 |
0.0026 |
0.2% |
1.0832 |
| Low |
1.0683 |
1.0668 |
-0.0015 |
-0.1% |
1.0501 |
| Close |
1.0760 |
1.0704 |
-0.0056 |
-0.5% |
1.0691 |
| Range |
0.0130 |
0.0171 |
0.0041 |
31.5% |
0.0331 |
| ATR |
0.0118 |
0.0121 |
0.0004 |
3.3% |
0.0000 |
| Volume |
20,114 |
27,164 |
7,050 |
35.1% |
81,715 |
|
| Daily Pivots for day following 21-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1250 |
1.1148 |
1.0798 |
|
| R3 |
1.1079 |
1.0977 |
1.0751 |
|
| R2 |
1.0908 |
1.0908 |
1.0735 |
|
| R1 |
1.0806 |
1.0806 |
1.0720 |
1.0772 |
| PP |
1.0737 |
1.0737 |
1.0737 |
1.0720 |
| S1 |
1.0635 |
1.0635 |
1.0688 |
1.0601 |
| S2 |
1.0566 |
1.0566 |
1.0673 |
|
| S3 |
1.0395 |
1.0464 |
1.0657 |
|
| S4 |
1.0224 |
1.0293 |
1.0610 |
|
|
| 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 |
1.0839 |
1.0501 |
0.0338 |
3.2% |
0.0122 |
1.1% |
60% |
True |
False |
20,527 |
| 10 |
1.0915 |
1.0501 |
0.0414 |
3.9% |
0.0130 |
1.2% |
49% |
False |
False |
14,990 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0128 |
1.2% |
36% |
False |
False |
7,685 |
| 40 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0108 |
1.0% |
17% |
False |
False |
3,851 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0086 |
0.8% |
17% |
False |
False |
2,572 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
21.9% |
0.0071 |
0.7% |
9% |
False |
False |
1,937 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0068 |
0.6% |
6% |
False |
False |
1,552 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0057 |
0.5% |
6% |
False |
False |
1,294 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1566 |
|
2.618 |
1.1287 |
|
1.618 |
1.1116 |
|
1.000 |
1.1010 |
|
0.618 |
1.0945 |
|
HIGH |
1.0839 |
|
0.618 |
1.0774 |
|
0.500 |
1.0754 |
|
0.382 |
1.0733 |
|
LOW |
1.0668 |
|
0.618 |
1.0562 |
|
1.000 |
1.0497 |
|
1.618 |
1.0391 |
|
2.618 |
1.0220 |
|
4.250 |
0.9941 |
|
|
| Fisher Pivots for day following 21-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0754 |
1.0748 |
| PP |
1.0737 |
1.0733 |
| S1 |
1.0721 |
1.0719 |
|