CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 12-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Jan-2012 |
12-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0542 |
1.0495 |
-0.0047 |
-0.4% |
1.0742 |
| High |
1.0558 |
1.0635 |
0.0077 |
0.7% |
1.0768 |
| Low |
1.0464 |
1.0481 |
0.0017 |
0.2% |
1.0451 |
| Close |
1.0481 |
1.0607 |
0.0126 |
1.2% |
1.0483 |
| Range |
0.0094 |
0.0154 |
0.0060 |
63.8% |
0.0317 |
| ATR |
0.0107 |
0.0110 |
0.0003 |
3.1% |
0.0000 |
| Volume |
23,576 |
27,426 |
3,850 |
16.3% |
83,995 |
|
| Daily Pivots for day following 12-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1036 |
1.0976 |
1.0692 |
|
| R3 |
1.0882 |
1.0822 |
1.0649 |
|
| R2 |
1.0728 |
1.0728 |
1.0635 |
|
| R1 |
1.0668 |
1.0668 |
1.0621 |
1.0698 |
| PP |
1.0574 |
1.0574 |
1.0574 |
1.0590 |
| S1 |
1.0514 |
1.0514 |
1.0593 |
1.0544 |
| S2 |
1.0420 |
1.0420 |
1.0579 |
|
| S3 |
1.0266 |
1.0360 |
1.0565 |
|
| S4 |
1.0112 |
1.0206 |
1.0522 |
|
|
| 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 |
1.0635 |
1.0431 |
0.0204 |
1.9% |
0.0100 |
0.9% |
86% |
True |
False |
23,298 |
| 10 |
1.0768 |
1.0431 |
0.0337 |
3.2% |
0.0105 |
1.0% |
52% |
False |
False |
20,490 |
| 20 |
1.0839 |
1.0431 |
0.0408 |
3.8% |
0.0106 |
1.0% |
43% |
False |
False |
18,473 |
| 40 |
1.1058 |
1.0431 |
0.0627 |
5.9% |
0.0109 |
1.0% |
28% |
False |
False |
10,105 |
| 60 |
1.1700 |
1.0431 |
0.1269 |
12.0% |
0.0100 |
0.9% |
14% |
False |
False |
6,742 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
12.0% |
0.0087 |
0.8% |
14% |
False |
False |
5,061 |
| 100 |
1.2850 |
1.0431 |
0.2419 |
22.8% |
0.0071 |
0.7% |
7% |
False |
False |
4,055 |
| 120 |
1.4099 |
1.0431 |
0.3668 |
34.6% |
0.0068 |
0.6% |
5% |
False |
False |
3,380 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1290 |
|
2.618 |
1.1038 |
|
1.618 |
1.0884 |
|
1.000 |
1.0789 |
|
0.618 |
1.0730 |
|
HIGH |
1.0635 |
|
0.618 |
1.0576 |
|
0.500 |
1.0558 |
|
0.382 |
1.0540 |
|
LOW |
1.0481 |
|
0.618 |
1.0386 |
|
1.000 |
1.0327 |
|
1.618 |
1.0232 |
|
2.618 |
1.0078 |
|
4.250 |
0.9827 |
|
|
| Fisher Pivots for day following 12-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0591 |
1.0588 |
| PP |
1.0574 |
1.0569 |
| S1 |
1.0558 |
1.0550 |
|