CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 05-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Mar-2012 |
05-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.1044 |
1.0939 |
-0.0105 |
-1.0% |
1.1182 |
| High |
1.1054 |
1.0983 |
-0.0071 |
-0.6% |
1.1193 |
| Low |
1.0930 |
1.0915 |
-0.0015 |
-0.1% |
1.0930 |
| Close |
1.0945 |
1.0968 |
0.0023 |
0.2% |
1.0945 |
| Range |
0.0124 |
0.0068 |
-0.0056 |
-45.2% |
0.0263 |
| ATR |
0.0106 |
0.0103 |
-0.0003 |
-2.6% |
0.0000 |
| Volume |
42,819 |
31,552 |
-11,267 |
-26.3% |
243,796 |
|
| Daily Pivots for day following 05-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1159 |
1.1132 |
1.1005 |
|
| R3 |
1.1091 |
1.1064 |
1.0987 |
|
| R2 |
1.1023 |
1.1023 |
1.0980 |
|
| R1 |
1.0996 |
1.0996 |
1.0974 |
1.1010 |
| PP |
1.0955 |
1.0955 |
1.0955 |
1.0962 |
| S1 |
1.0928 |
1.0928 |
1.0962 |
1.0942 |
| S2 |
1.0887 |
1.0887 |
1.0956 |
|
| S3 |
1.0819 |
1.0860 |
1.0949 |
|
| S4 |
1.0751 |
1.0792 |
1.0931 |
|
|
| Weekly Pivots for week ending 02-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1812 |
1.1641 |
1.1090 |
|
| R3 |
1.1549 |
1.1378 |
1.1017 |
|
| R2 |
1.1286 |
1.1286 |
1.0993 |
|
| R1 |
1.1115 |
1.1115 |
1.0969 |
1.1069 |
| PP |
1.1023 |
1.1023 |
1.1023 |
1.1000 |
| S1 |
1.0852 |
1.0852 |
1.0921 |
1.0806 |
| S2 |
1.0760 |
1.0760 |
1.0897 |
|
| S3 |
1.0497 |
1.0589 |
1.0873 |
|
| S4 |
1.0234 |
1.0326 |
1.0800 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1193 |
1.0915 |
0.0278 |
2.5% |
0.0094 |
0.9% |
19% |
False |
True |
46,018 |
| 10 |
1.1200 |
1.0890 |
0.0310 |
2.8% |
0.0100 |
0.9% |
25% |
False |
False |
46,111 |
| 20 |
1.1200 |
1.0755 |
0.0445 |
4.1% |
0.0100 |
0.9% |
48% |
False |
False |
38,676 |
| 40 |
1.1200 |
1.0431 |
0.0769 |
7.0% |
0.0109 |
1.0% |
70% |
False |
False |
33,471 |
| 60 |
1.1200 |
1.0431 |
0.0769 |
7.0% |
0.0110 |
1.0% |
70% |
False |
False |
27,077 |
| 80 |
1.1213 |
1.0431 |
0.0782 |
7.1% |
0.0109 |
1.0% |
69% |
False |
False |
20,333 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0099 |
0.9% |
42% |
False |
False |
16,269 |
| 120 |
1.1700 |
1.0431 |
0.1269 |
11.6% |
0.0090 |
0.8% |
42% |
False |
False |
13,560 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1272 |
|
2.618 |
1.1161 |
|
1.618 |
1.1093 |
|
1.000 |
1.1051 |
|
0.618 |
1.1025 |
|
HIGH |
1.0983 |
|
0.618 |
1.0957 |
|
0.500 |
1.0949 |
|
0.382 |
1.0941 |
|
LOW |
1.0915 |
|
0.618 |
1.0873 |
|
1.000 |
1.0847 |
|
1.618 |
1.0805 |
|
2.618 |
1.0737 |
|
4.250 |
1.0626 |
|
|
| Fisher Pivots for day following 05-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0962 |
1.1001 |
| PP |
1.0955 |
1.0990 |
| S1 |
1.0949 |
1.0979 |
|