CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 03-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Dec-2011 |
03-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0647 |
1.0742 |
0.0095 |
0.9% |
1.0721 |
| High |
1.0723 |
1.0768 |
0.0045 |
0.4% |
1.0750 |
| Low |
1.0625 |
1.0694 |
0.0069 |
0.6% |
1.0576 |
| Close |
1.0670 |
1.0745 |
0.0075 |
0.7% |
1.0670 |
| Range |
0.0098 |
0.0074 |
-0.0024 |
-24.5% |
0.0174 |
| ATR |
0.0110 |
0.0109 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
15,643 |
14,644 |
-999 |
-6.4% |
50,583 |
|
| Daily Pivots for day following 03-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0958 |
1.0925 |
1.0786 |
|
| R3 |
1.0884 |
1.0851 |
1.0765 |
|
| R2 |
1.0810 |
1.0810 |
1.0759 |
|
| R1 |
1.0777 |
1.0777 |
1.0752 |
1.0794 |
| PP |
1.0736 |
1.0736 |
1.0736 |
1.0744 |
| S1 |
1.0703 |
1.0703 |
1.0738 |
1.0720 |
| S2 |
1.0662 |
1.0662 |
1.0731 |
|
| S3 |
1.0588 |
1.0629 |
1.0725 |
|
| S4 |
1.0514 |
1.0555 |
1.0704 |
|
|
| Weekly Pivots for week ending 30-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1187 |
1.1103 |
1.0766 |
|
| R3 |
1.1013 |
1.0929 |
1.0718 |
|
| R2 |
1.0839 |
1.0839 |
1.0702 |
|
| R1 |
1.0755 |
1.0755 |
1.0686 |
1.0710 |
| PP |
1.0665 |
1.0665 |
1.0665 |
1.0643 |
| S1 |
1.0581 |
1.0581 |
1.0654 |
1.0536 |
| S2 |
1.0491 |
1.0491 |
1.0638 |
|
| S3 |
1.0317 |
1.0407 |
1.0622 |
|
| S4 |
1.0143 |
1.0233 |
1.0574 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0768 |
1.0576 |
0.0192 |
1.8% |
0.0088 |
0.8% |
88% |
True |
False |
13,045 |
| 10 |
1.0839 |
1.0576 |
0.0263 |
2.4% |
0.0098 |
0.9% |
64% |
False |
False |
14,832 |
| 20 |
1.0926 |
1.0501 |
0.0425 |
4.0% |
0.0106 |
1.0% |
57% |
False |
False |
11,967 |
| 40 |
1.1336 |
1.0501 |
0.0835 |
7.8% |
0.0106 |
1.0% |
29% |
False |
False |
6,022 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0092 |
0.9% |
20% |
False |
False |
4,019 |
| 80 |
1.1700 |
1.0501 |
0.1199 |
11.2% |
0.0078 |
0.7% |
20% |
False |
False |
3,025 |
| 100 |
1.3179 |
1.0501 |
0.2678 |
24.9% |
0.0067 |
0.6% |
9% |
False |
False |
2,422 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.5% |
0.0062 |
0.6% |
7% |
False |
False |
2,019 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1083 |
|
2.618 |
1.0962 |
|
1.618 |
1.0888 |
|
1.000 |
1.0842 |
|
0.618 |
1.0814 |
|
HIGH |
1.0768 |
|
0.618 |
1.0740 |
|
0.500 |
1.0731 |
|
0.382 |
1.0722 |
|
LOW |
1.0694 |
|
0.618 |
1.0648 |
|
1.000 |
1.0620 |
|
1.618 |
1.0574 |
|
2.618 |
1.0500 |
|
4.250 |
1.0380 |
|
|
| Fisher Pivots for day following 03-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0740 |
1.0721 |
| PP |
1.0736 |
1.0696 |
| S1 |
1.0731 |
1.0672 |
|