CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 05-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Jan-2012 |
05-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0744 |
1.0624 |
-0.0120 |
-1.1% |
1.0721 |
| High |
1.0747 |
1.0635 |
-0.0112 |
-1.0% |
1.0750 |
| Low |
1.0596 |
1.0498 |
-0.0098 |
-0.9% |
1.0576 |
| Close |
1.0626 |
1.0502 |
-0.0124 |
-1.2% |
1.0670 |
| Range |
0.0151 |
0.0137 |
-0.0014 |
-9.3% |
0.0174 |
| ATR |
0.0112 |
0.0114 |
0.0002 |
1.6% |
0.0000 |
| Volume |
22,501 |
24,438 |
1,937 |
8.6% |
50,583 |
|
| Daily Pivots for day following 05-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0956 |
1.0866 |
1.0577 |
|
| R3 |
1.0819 |
1.0729 |
1.0540 |
|
| R2 |
1.0682 |
1.0682 |
1.0527 |
|
| R1 |
1.0592 |
1.0592 |
1.0515 |
1.0569 |
| PP |
1.0545 |
1.0545 |
1.0545 |
1.0533 |
| S1 |
1.0455 |
1.0455 |
1.0489 |
1.0432 |
| S2 |
1.0408 |
1.0408 |
1.0477 |
|
| S3 |
1.0271 |
1.0318 |
1.0464 |
|
| S4 |
1.0134 |
1.0181 |
1.0427 |
|
|
| 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 |
1.0498 |
0.0270 |
2.6% |
0.0110 |
1.0% |
1% |
False |
True |
17,683 |
| 10 |
1.0839 |
1.0498 |
0.0341 |
3.2% |
0.0107 |
1.0% |
1% |
False |
True |
16,110 |
| 20 |
1.0915 |
1.0498 |
0.0417 |
4.0% |
0.0113 |
1.1% |
1% |
False |
True |
14,289 |
| 40 |
1.1213 |
1.0498 |
0.0715 |
6.8% |
0.0108 |
1.0% |
1% |
False |
True |
7,195 |
| 60 |
1.1700 |
1.0498 |
0.1202 |
11.4% |
0.0093 |
0.9% |
0% |
False |
True |
4,801 |
| 80 |
1.1700 |
1.0498 |
0.1202 |
11.4% |
0.0081 |
0.8% |
0% |
False |
True |
3,605 |
| 100 |
1.2895 |
1.0498 |
0.2397 |
22.8% |
0.0070 |
0.7% |
0% |
False |
True |
2,891 |
| 120 |
1.4099 |
1.0498 |
0.3601 |
34.3% |
0.0064 |
0.6% |
0% |
False |
True |
2,410 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1217 |
|
2.618 |
1.0994 |
|
1.618 |
1.0857 |
|
1.000 |
1.0772 |
|
0.618 |
1.0720 |
|
HIGH |
1.0635 |
|
0.618 |
1.0583 |
|
0.500 |
1.0567 |
|
0.382 |
1.0550 |
|
LOW |
1.0498 |
|
0.618 |
1.0413 |
|
1.000 |
1.0361 |
|
1.618 |
1.0276 |
|
2.618 |
1.0139 |
|
4.250 |
0.9916 |
|
|
| Fisher Pivots for day following 05-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0567 |
1.0633 |
| PP |
1.0545 |
1.0589 |
| S1 |
1.0524 |
1.0546 |
|