CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 27-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Dec-2011 |
27-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0704 |
1.0721 |
0.0017 |
0.2% |
1.0699 |
| High |
1.0734 |
1.0742 |
0.0008 |
0.1% |
1.0839 |
| Low |
1.0672 |
1.0701 |
0.0029 |
0.3% |
1.0657 |
| Close |
1.0701 |
1.0729 |
0.0028 |
0.3% |
1.0701 |
| Range |
0.0062 |
0.0041 |
-0.0021 |
-33.9% |
0.0182 |
| ATR |
0.0116 |
0.0111 |
-0.0005 |
-4.6% |
0.0000 |
| Volume |
8,745 |
5,717 |
-3,028 |
-34.6% |
83,094 |
|
| Daily Pivots for day following 27-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0847 |
1.0829 |
1.0752 |
|
| R3 |
1.0806 |
1.0788 |
1.0740 |
|
| R2 |
1.0765 |
1.0765 |
1.0737 |
|
| R1 |
1.0747 |
1.0747 |
1.0733 |
1.0756 |
| PP |
1.0724 |
1.0724 |
1.0724 |
1.0729 |
| S1 |
1.0706 |
1.0706 |
1.0725 |
1.0715 |
| S2 |
1.0683 |
1.0683 |
1.0721 |
|
| S3 |
1.0642 |
1.0665 |
1.0718 |
|
| S4 |
1.0601 |
1.0624 |
1.0706 |
|
|
| Weekly Pivots for week ending 23-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1278 |
1.1172 |
1.0801 |
|
| R3 |
1.1096 |
1.0990 |
1.0751 |
|
| R2 |
1.0914 |
1.0914 |
1.0734 |
|
| R1 |
1.0808 |
1.0808 |
1.0718 |
1.0861 |
| PP |
1.0732 |
1.0732 |
1.0732 |
1.0759 |
| S1 |
1.0626 |
1.0626 |
1.0684 |
1.0679 |
| S2 |
1.0550 |
1.0550 |
1.0668 |
|
| S3 |
1.0368 |
1.0444 |
1.0651 |
|
| S4 |
1.0186 |
1.0262 |
1.0601 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0839 |
1.0660 |
0.0179 |
1.7% |
0.0102 |
1.0% |
39% |
False |
False |
14,953 |
| 10 |
1.0839 |
1.0501 |
0.0338 |
3.2% |
0.0109 |
1.0% |
67% |
False |
False |
15,868 |
| 20 |
1.1058 |
1.0501 |
0.0557 |
5.2% |
0.0116 |
1.1% |
41% |
False |
False |
9,050 |
| 40 |
1.1532 |
1.0501 |
0.1031 |
9.6% |
0.0102 |
1.0% |
22% |
False |
False |
4,536 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0089 |
0.8% |
19% |
False |
False |
3,029 |
| 80 |
1.2850 |
1.0501 |
0.2349 |
21.9% |
0.0073 |
0.7% |
10% |
False |
False |
2,281 |
| 100 |
1.4099 |
1.0501 |
0.3598 |
33.5% |
0.0070 |
0.7% |
6% |
False |
False |
1,827 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.5% |
0.0059 |
0.5% |
6% |
False |
False |
1,523 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0916 |
|
2.618 |
1.0849 |
|
1.618 |
1.0808 |
|
1.000 |
1.0783 |
|
0.618 |
1.0767 |
|
HIGH |
1.0742 |
|
0.618 |
1.0726 |
|
0.500 |
1.0722 |
|
0.382 |
1.0717 |
|
LOW |
1.0701 |
|
0.618 |
1.0676 |
|
1.000 |
1.0660 |
|
1.618 |
1.0635 |
|
2.618 |
1.0594 |
|
4.250 |
1.0527 |
|
|
| Fisher Pivots for day following 27-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0727 |
1.0724 |
| PP |
1.0724 |
1.0719 |
| S1 |
1.0722 |
1.0714 |
|