CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 31-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jan-2012 |
31-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0962 |
1.0907 |
-0.0055 |
-0.5% |
1.0675 |
| High |
1.0966 |
1.0969 |
0.0003 |
0.0% |
1.0979 |
| Low |
1.0866 |
1.0845 |
-0.0021 |
-0.2% |
1.0674 |
| Close |
1.0897 |
1.0876 |
-0.0021 |
-0.2% |
1.0959 |
| Range |
0.0100 |
0.0124 |
0.0024 |
24.0% |
0.0305 |
| ATR |
0.0116 |
0.0117 |
0.0001 |
0.5% |
0.0000 |
| Volume |
26,186 |
25,917 |
-269 |
-1.0% |
150,470 |
|
| Daily Pivots for day following 31-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1269 |
1.1196 |
1.0944 |
|
| R3 |
1.1145 |
1.1072 |
1.0910 |
|
| R2 |
1.1021 |
1.1021 |
1.0899 |
|
| R1 |
1.0948 |
1.0948 |
1.0887 |
1.0923 |
| PP |
1.0897 |
1.0897 |
1.0897 |
1.0884 |
| S1 |
1.0824 |
1.0824 |
1.0865 |
1.0799 |
| S2 |
1.0773 |
1.0773 |
1.0853 |
|
| S3 |
1.0649 |
1.0700 |
1.0842 |
|
| S4 |
1.0525 |
1.0576 |
1.0808 |
|
|
| Weekly Pivots for week ending 27-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1786 |
1.1677 |
1.1127 |
|
| R3 |
1.1481 |
1.1372 |
1.1043 |
|
| R2 |
1.1176 |
1.1176 |
1.1015 |
|
| R1 |
1.1067 |
1.1067 |
1.0987 |
1.1122 |
| PP |
1.0871 |
1.0871 |
1.0871 |
1.0898 |
| S1 |
1.0762 |
1.0762 |
1.0931 |
1.0817 |
| S2 |
1.0566 |
1.0566 |
1.0903 |
|
| S3 |
1.0261 |
1.0457 |
1.0875 |
|
| S4 |
0.9956 |
1.0152 |
1.0791 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0979 |
1.0715 |
0.0264 |
2.4% |
0.0121 |
1.1% |
61% |
False |
False |
30,034 |
| 10 |
1.0979 |
1.0532 |
0.0447 |
4.1% |
0.0116 |
1.1% |
77% |
False |
False |
28,231 |
| 20 |
1.0979 |
1.0431 |
0.0548 |
5.0% |
0.0117 |
1.1% |
81% |
False |
False |
26,595 |
| 40 |
1.0990 |
1.0431 |
0.0559 |
5.1% |
0.0113 |
1.0% |
80% |
False |
False |
18,926 |
| 60 |
1.1427 |
1.0431 |
0.0996 |
9.2% |
0.0110 |
1.0% |
45% |
False |
False |
12,636 |
| 80 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0098 |
0.9% |
35% |
False |
False |
9,480 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0085 |
0.8% |
35% |
False |
False |
7,592 |
| 120 |
1.3800 |
1.0431 |
0.3369 |
31.0% |
0.0075 |
0.7% |
13% |
False |
False |
6,329 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1496 |
|
2.618 |
1.1294 |
|
1.618 |
1.1170 |
|
1.000 |
1.1093 |
|
0.618 |
1.1046 |
|
HIGH |
1.0969 |
|
0.618 |
1.0922 |
|
0.500 |
1.0907 |
|
0.382 |
1.0892 |
|
LOW |
1.0845 |
|
0.618 |
1.0768 |
|
1.000 |
1.0721 |
|
1.618 |
1.0644 |
|
2.618 |
1.0520 |
|
4.250 |
1.0318 |
|
|
| Fisher Pivots for day following 31-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0907 |
1.0910 |
| PP |
1.0897 |
1.0899 |
| S1 |
1.0886 |
1.0887 |
|