CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 22-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Dec-2011 |
22-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0755 |
1.0704 |
-0.0051 |
-0.5% |
1.0815 |
| High |
1.0839 |
1.0767 |
-0.0072 |
-0.7% |
1.0832 |
| Low |
1.0668 |
1.0660 |
-0.0008 |
-0.1% |
1.0501 |
| Close |
1.0704 |
1.0702 |
-0.0002 |
0.0% |
1.0691 |
| Range |
0.0171 |
0.0107 |
-0.0064 |
-37.4% |
0.0331 |
| ATR |
0.0121 |
0.0120 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
27,164 |
13,025 |
-14,139 |
-52.1% |
81,715 |
|
| Daily Pivots for day following 22-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1031 |
1.0973 |
1.0761 |
|
| R3 |
1.0924 |
1.0866 |
1.0731 |
|
| R2 |
1.0817 |
1.0817 |
1.0722 |
|
| R1 |
1.0759 |
1.0759 |
1.0712 |
1.0735 |
| PP |
1.0710 |
1.0710 |
1.0710 |
1.0697 |
| S1 |
1.0652 |
1.0652 |
1.0692 |
1.0628 |
| S2 |
1.0603 |
1.0603 |
1.0682 |
|
| S3 |
1.0496 |
1.0545 |
1.0673 |
|
| S4 |
1.0389 |
1.0438 |
1.0643 |
|
|
| 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 |
1.0644 |
0.0195 |
1.8% |
0.0109 |
1.0% |
30% |
False |
False |
18,773 |
| 10 |
1.0915 |
1.0501 |
0.0414 |
3.9% |
0.0127 |
1.2% |
49% |
False |
False |
15,886 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0128 |
1.2% |
36% |
False |
False |
8,336 |
| 40 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0108 |
1.0% |
17% |
False |
False |
4,177 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0088 |
0.8% |
17% |
False |
False |
2,788 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
21.9% |
0.0072 |
0.7% |
9% |
False |
False |
2,100 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0069 |
0.6% |
6% |
False |
False |
1,682 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.6% |
0.0058 |
0.5% |
6% |
False |
False |
1,402 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1222 |
|
2.618 |
1.1047 |
|
1.618 |
1.0940 |
|
1.000 |
1.0874 |
|
0.618 |
1.0833 |
|
HIGH |
1.0767 |
|
0.618 |
1.0726 |
|
0.500 |
1.0714 |
|
0.382 |
1.0701 |
|
LOW |
1.0660 |
|
0.618 |
1.0594 |
|
1.000 |
1.0553 |
|
1.618 |
1.0487 |
|
2.618 |
1.0380 |
|
4.250 |
1.0205 |
|
|
| Fisher Pivots for day following 22-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0714 |
1.0750 |
| PP |
1.0710 |
1.0734 |
| S1 |
1.0706 |
1.0718 |
|