CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 20-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jan-2012 |
20-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0649 |
1.0731 |
0.0082 |
0.8% |
1.0480 |
| High |
1.0742 |
1.0755 |
0.0013 |
0.1% |
1.0755 |
| Low |
1.0632 |
1.0680 |
0.0048 |
0.5% |
1.0457 |
| Close |
1.0715 |
1.0699 |
-0.0016 |
-0.1% |
1.0699 |
| Range |
0.0110 |
0.0075 |
-0.0035 |
-31.8% |
0.0298 |
| ATR |
0.0118 |
0.0115 |
-0.0003 |
-2.6% |
0.0000 |
| Volume |
25,773 |
20,067 |
-5,706 |
-22.1% |
118,633 |
|
| Daily Pivots for day following 20-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0936 |
1.0893 |
1.0740 |
|
| R3 |
1.0861 |
1.0818 |
1.0720 |
|
| R2 |
1.0786 |
1.0786 |
1.0713 |
|
| R1 |
1.0743 |
1.0743 |
1.0706 |
1.0727 |
| PP |
1.0711 |
1.0711 |
1.0711 |
1.0704 |
| S1 |
1.0668 |
1.0668 |
1.0692 |
1.0652 |
| S2 |
1.0636 |
1.0636 |
1.0685 |
|
| S3 |
1.0561 |
1.0593 |
1.0678 |
|
| S4 |
1.0486 |
1.0518 |
1.0658 |
|
|
| Weekly Pivots for week ending 20-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1531 |
1.1413 |
1.0863 |
|
| R3 |
1.1233 |
1.1115 |
1.0781 |
|
| R2 |
1.0935 |
1.0935 |
1.0754 |
|
| R1 |
1.0817 |
1.0817 |
1.0726 |
1.0876 |
| PP |
1.0637 |
1.0637 |
1.0637 |
1.0667 |
| S1 |
1.0519 |
1.0519 |
1.0672 |
1.0578 |
| S2 |
1.0339 |
1.0339 |
1.0644 |
|
| S3 |
1.0041 |
1.0221 |
1.0617 |
|
| S4 |
0.9743 |
0.9923 |
1.0535 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0755 |
1.0453 |
0.0302 |
2.8% |
0.0129 |
1.2% |
81% |
True |
False |
30,250 |
| 10 |
1.0755 |
1.0431 |
0.0324 |
3.0% |
0.0115 |
1.1% |
83% |
True |
False |
26,774 |
| 20 |
1.0839 |
1.0431 |
0.0408 |
3.8% |
0.0111 |
1.0% |
66% |
False |
False |
21,442 |
| 40 |
1.1058 |
1.0431 |
0.0627 |
5.9% |
0.0115 |
1.1% |
43% |
False |
False |
13,885 |
| 60 |
1.1700 |
1.0431 |
0.1269 |
11.9% |
0.0107 |
1.0% |
21% |
False |
False |
9,262 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.9% |
0.0091 |
0.8% |
21% |
False |
False |
6,950 |
| 100 |
1.2850 |
1.0431 |
0.2419 |
22.6% |
0.0077 |
0.7% |
11% |
False |
False |
5,567 |
| 120 |
1.4099 |
1.0431 |
0.3668 |
34.3% |
0.0074 |
0.7% |
7% |
False |
False |
4,641 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1074 |
|
2.618 |
1.0951 |
|
1.618 |
1.0876 |
|
1.000 |
1.0830 |
|
0.618 |
1.0801 |
|
HIGH |
1.0755 |
|
0.618 |
1.0726 |
|
0.500 |
1.0718 |
|
0.382 |
1.0709 |
|
LOW |
1.0680 |
|
0.618 |
1.0634 |
|
1.000 |
1.0605 |
|
1.618 |
1.0559 |
|
2.618 |
1.0484 |
|
4.250 |
1.0361 |
|
|
| Fisher Pivots for day following 20-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0718 |
1.0681 |
| PP |
1.0711 |
1.0662 |
| S1 |
1.0705 |
1.0644 |
|