CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 24-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Jan-2012 |
24-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0675 |
1.0791 |
0.0116 |
1.1% |
1.0480 |
| High |
1.0817 |
1.0836 |
0.0019 |
0.2% |
1.0755 |
| Low |
1.0674 |
1.0747 |
0.0073 |
0.7% |
1.0457 |
| Close |
1.0791 |
1.0777 |
-0.0014 |
-0.1% |
1.0699 |
| Range |
0.0143 |
0.0089 |
-0.0054 |
-37.8% |
0.0298 |
| ATR |
0.0117 |
0.0115 |
-0.0002 |
-1.7% |
0.0000 |
| Volume |
28,036 |
24,366 |
-3,670 |
-13.1% |
118,633 |
|
| Daily Pivots for day following 24-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1054 |
1.1004 |
1.0826 |
|
| R3 |
1.0965 |
1.0915 |
1.0801 |
|
| R2 |
1.0876 |
1.0876 |
1.0793 |
|
| R1 |
1.0826 |
1.0826 |
1.0785 |
1.0807 |
| PP |
1.0787 |
1.0787 |
1.0787 |
1.0777 |
| S1 |
1.0737 |
1.0737 |
1.0769 |
1.0718 |
| S2 |
1.0698 |
1.0698 |
1.0761 |
|
| S3 |
1.0609 |
1.0648 |
1.0753 |
|
| S4 |
1.0520 |
1.0559 |
1.0728 |
|
|
| 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 |
1.0836 |
1.0532 |
0.0304 |
2.8% |
0.0111 |
1.0% |
81% |
True |
False |
26,429 |
| 10 |
1.0836 |
1.0453 |
0.0383 |
3.6% |
0.0118 |
1.1% |
85% |
True |
False |
27,470 |
| 20 |
1.0836 |
1.0431 |
0.0405 |
3.8% |
0.0109 |
1.0% |
85% |
True |
False |
22,052 |
| 40 |
1.1058 |
1.0431 |
0.0627 |
5.8% |
0.0118 |
1.1% |
55% |
False |
False |
15,194 |
| 60 |
1.1700 |
1.0431 |
0.1269 |
11.8% |
0.0108 |
1.0% |
27% |
False |
False |
10,135 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.8% |
0.0093 |
0.9% |
27% |
False |
False |
7,604 |
| 100 |
1.2850 |
1.0431 |
0.2419 |
22.4% |
0.0079 |
0.7% |
14% |
False |
False |
6,091 |
| 120 |
1.4099 |
1.0431 |
0.3668 |
34.0% |
0.0075 |
0.7% |
9% |
False |
False |
5,077 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1214 |
|
2.618 |
1.1069 |
|
1.618 |
1.0980 |
|
1.000 |
1.0925 |
|
0.618 |
1.0891 |
|
HIGH |
1.0836 |
|
0.618 |
1.0802 |
|
0.500 |
1.0792 |
|
0.382 |
1.0781 |
|
LOW |
1.0747 |
|
0.618 |
1.0692 |
|
1.000 |
1.0658 |
|
1.618 |
1.0603 |
|
2.618 |
1.0514 |
|
4.250 |
1.0369 |
|
|
| Fisher Pivots for day following 24-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0792 |
1.0770 |
| PP |
1.0787 |
1.0762 |
| S1 |
1.0782 |
1.0755 |
|