CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 06-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Jan-2012 |
06-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0624 |
1.0514 |
-0.0110 |
-1.0% |
1.0742 |
| High |
1.0635 |
1.0533 |
-0.0102 |
-1.0% |
1.0768 |
| Low |
1.0498 |
1.0451 |
-0.0047 |
-0.4% |
1.0451 |
| Close |
1.0502 |
1.0483 |
-0.0019 |
-0.2% |
1.0483 |
| Range |
0.0137 |
0.0082 |
-0.0055 |
-40.1% |
0.0317 |
| ATR |
0.0114 |
0.0112 |
-0.0002 |
-2.0% |
0.0000 |
| Volume |
24,438 |
22,412 |
-2,026 |
-8.3% |
83,995 |
|
| Daily Pivots for day following 06-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0735 |
1.0691 |
1.0528 |
|
| R3 |
1.0653 |
1.0609 |
1.0506 |
|
| R2 |
1.0571 |
1.0571 |
1.0498 |
|
| R1 |
1.0527 |
1.0527 |
1.0491 |
1.0508 |
| PP |
1.0489 |
1.0489 |
1.0489 |
1.0480 |
| S1 |
1.0445 |
1.0445 |
1.0475 |
1.0426 |
| S2 |
1.0407 |
1.0407 |
1.0468 |
|
| S3 |
1.0325 |
1.0363 |
1.0460 |
|
| S4 |
1.0243 |
1.0281 |
1.0438 |
|
|
| Weekly Pivots for week ending 06-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1518 |
1.1318 |
1.0657 |
|
| R3 |
1.1201 |
1.1001 |
1.0570 |
|
| R2 |
1.0884 |
1.0884 |
1.0541 |
|
| R1 |
1.0684 |
1.0684 |
1.0512 |
1.0626 |
| PP |
1.0567 |
1.0567 |
1.0567 |
1.0538 |
| S1 |
1.0367 |
1.0367 |
1.0454 |
1.0309 |
| S2 |
1.0250 |
1.0250 |
1.0425 |
|
| S3 |
0.9933 |
1.0050 |
1.0396 |
|
| S4 |
0.9616 |
0.9733 |
1.0309 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0768 |
1.0451 |
0.0317 |
3.0% |
0.0108 |
1.0% |
10% |
False |
True |
19,927 |
| 10 |
1.0768 |
1.0451 |
0.0317 |
3.0% |
0.0098 |
0.9% |
10% |
False |
True |
15,634 |
| 20 |
1.0915 |
1.0451 |
0.0464 |
4.4% |
0.0114 |
1.1% |
7% |
False |
True |
15,312 |
| 40 |
1.1147 |
1.0451 |
0.0696 |
6.6% |
0.0107 |
1.0% |
5% |
False |
True |
7,755 |
| 60 |
1.1700 |
1.0451 |
0.1249 |
11.9% |
0.0093 |
0.9% |
3% |
False |
True |
5,175 |
| 80 |
1.1700 |
1.0451 |
0.1249 |
11.9% |
0.0082 |
0.8% |
3% |
False |
True |
3,885 |
| 100 |
1.2850 |
1.0451 |
0.2399 |
22.9% |
0.0069 |
0.7% |
1% |
False |
True |
3,115 |
| 120 |
1.4099 |
1.0451 |
0.3648 |
34.8% |
0.0065 |
0.6% |
1% |
False |
True |
2,597 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0882 |
|
2.618 |
1.0748 |
|
1.618 |
1.0666 |
|
1.000 |
1.0615 |
|
0.618 |
1.0584 |
|
HIGH |
1.0533 |
|
0.618 |
1.0502 |
|
0.500 |
1.0492 |
|
0.382 |
1.0482 |
|
LOW |
1.0451 |
|
0.618 |
1.0400 |
|
1.000 |
1.0369 |
|
1.618 |
1.0318 |
|
2.618 |
1.0236 |
|
4.250 |
1.0103 |
|
|
| Fisher Pivots for day following 06-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0492 |
1.0599 |
| PP |
1.0489 |
1.0560 |
| S1 |
1.0486 |
1.0522 |
|