CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 04-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jan-2012 |
04-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0742 |
1.0744 |
0.0002 |
0.0% |
1.0721 |
| High |
1.0768 |
1.0747 |
-0.0021 |
-0.2% |
1.0750 |
| Low |
1.0694 |
1.0596 |
-0.0098 |
-0.9% |
1.0576 |
| Close |
1.0745 |
1.0626 |
-0.0119 |
-1.1% |
1.0670 |
| Range |
0.0074 |
0.0151 |
0.0077 |
104.1% |
0.0174 |
| ATR |
0.0109 |
0.0112 |
0.0003 |
2.7% |
0.0000 |
| Volume |
14,644 |
22,501 |
7,857 |
53.7% |
50,583 |
|
| Daily Pivots for day following 04-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1109 |
1.1019 |
1.0709 |
|
| R3 |
1.0958 |
1.0868 |
1.0668 |
|
| R2 |
1.0807 |
1.0807 |
1.0654 |
|
| R1 |
1.0717 |
1.0717 |
1.0640 |
1.0687 |
| PP |
1.0656 |
1.0656 |
1.0656 |
1.0641 |
| S1 |
1.0566 |
1.0566 |
1.0612 |
1.0536 |
| S2 |
1.0505 |
1.0505 |
1.0598 |
|
| S3 |
1.0354 |
1.0415 |
1.0584 |
|
| S4 |
1.0203 |
1.0264 |
1.0543 |
|
|
| 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% |
0.0110 |
1.0% |
26% |
False |
False |
16,402 |
| 10 |
1.0839 |
1.0576 |
0.0263 |
2.5% |
0.0106 |
1.0% |
19% |
False |
False |
15,677 |
| 20 |
1.0915 |
1.0501 |
0.0414 |
3.9% |
0.0111 |
1.0% |
30% |
False |
False |
13,085 |
| 40 |
1.1324 |
1.0501 |
0.0823 |
7.7% |
0.0110 |
1.0% |
15% |
False |
False |
6,584 |
| 60 |
1.1700 |
1.0501 |
0.1199 |
11.3% |
0.0094 |
0.9% |
10% |
False |
False |
4,394 |
| 80 |
1.1700 |
1.0501 |
0.1199 |
11.3% |
0.0080 |
0.8% |
10% |
False |
False |
3,300 |
| 100 |
1.2957 |
1.0501 |
0.2456 |
23.1% |
0.0069 |
0.6% |
5% |
False |
False |
2,647 |
| 120 |
1.4099 |
1.0501 |
0.3598 |
33.9% |
0.0063 |
0.6% |
3% |
False |
False |
2,206 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1389 |
|
2.618 |
1.1142 |
|
1.618 |
1.0991 |
|
1.000 |
1.0898 |
|
0.618 |
1.0840 |
|
HIGH |
1.0747 |
|
0.618 |
1.0689 |
|
0.500 |
1.0672 |
|
0.382 |
1.0654 |
|
LOW |
1.0596 |
|
0.618 |
1.0503 |
|
1.000 |
1.0445 |
|
1.618 |
1.0352 |
|
2.618 |
1.0201 |
|
4.250 |
0.9954 |
|
|
| Fisher Pivots for day following 04-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0672 |
1.0682 |
| PP |
1.0656 |
1.0663 |
| S1 |
1.0641 |
1.0645 |
|