CME Swiss Franc Future March 2012
| Trading Metrics calculated at close of trading on 15-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Mar-2012 |
15-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0828 |
1.0742 |
-0.0086 |
-0.8% |
1.0939 |
| High |
1.0836 |
1.0869 |
0.0033 |
0.3% |
1.1024 |
| Low |
1.0717 |
1.0713 |
-0.0004 |
0.0% |
1.0860 |
| Close |
1.0749 |
1.0852 |
0.0103 |
1.0% |
1.0869 |
| Range |
0.0119 |
0.0156 |
0.0037 |
31.1% |
0.0164 |
| ATR |
0.0105 |
0.0109 |
0.0004 |
3.4% |
0.0000 |
| Volume |
70,995 |
45,123 |
-25,872 |
-36.4% |
221,244 |
|
| Daily Pivots for day following 15-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1279 |
1.1222 |
1.0938 |
|
| R3 |
1.1123 |
1.1066 |
1.0895 |
|
| R2 |
1.0967 |
1.0967 |
1.0881 |
|
| R1 |
1.0910 |
1.0910 |
1.0866 |
1.0939 |
| PP |
1.0811 |
1.0811 |
1.0811 |
1.0826 |
| S1 |
1.0754 |
1.0754 |
1.0838 |
1.0783 |
| S2 |
1.0655 |
1.0655 |
1.0823 |
|
| S3 |
1.0499 |
1.0598 |
1.0809 |
|
| S4 |
1.0343 |
1.0442 |
1.0766 |
|
|
| Weekly Pivots for week ending 09-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1410 |
1.1303 |
1.0959 |
|
| R3 |
1.1246 |
1.1139 |
1.0914 |
|
| R2 |
1.1082 |
1.1082 |
1.0899 |
|
| R1 |
1.0975 |
1.0975 |
1.0884 |
1.0947 |
| PP |
1.0918 |
1.0918 |
1.0918 |
1.0903 |
| S1 |
1.0811 |
1.0811 |
1.0854 |
1.0783 |
| S2 |
1.0754 |
1.0754 |
1.0839 |
|
| S3 |
1.0590 |
1.0647 |
1.0824 |
|
| S4 |
1.0426 |
1.0483 |
1.0779 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1015 |
1.0713 |
0.0302 |
2.8% |
0.0125 |
1.2% |
46% |
False |
True |
53,474 |
| 10 |
1.1054 |
1.0713 |
0.0341 |
3.1% |
0.0109 |
1.0% |
41% |
False |
True |
46,961 |
| 20 |
1.1200 |
1.0713 |
0.0487 |
4.5% |
0.0105 |
1.0% |
29% |
False |
True |
46,341 |
| 40 |
1.1200 |
1.0632 |
0.0568 |
5.2% |
0.0108 |
1.0% |
39% |
False |
False |
37,804 |
| 60 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0109 |
1.0% |
55% |
False |
False |
32,155 |
| 80 |
1.1200 |
1.0431 |
0.0769 |
7.1% |
0.0111 |
1.0% |
55% |
False |
False |
25,272 |
| 100 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0106 |
1.0% |
33% |
False |
False |
20,221 |
| 120 |
1.1700 |
1.0431 |
0.1269 |
11.7% |
0.0095 |
0.9% |
33% |
False |
False |
16,853 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1532 |
|
2.618 |
1.1277 |
|
1.618 |
1.1121 |
|
1.000 |
1.1025 |
|
0.618 |
1.0965 |
|
HIGH |
1.0869 |
|
0.618 |
1.0809 |
|
0.500 |
1.0791 |
|
0.382 |
1.0773 |
|
LOW |
1.0713 |
|
0.618 |
1.0617 |
|
1.000 |
1.0557 |
|
1.618 |
1.0461 |
|
2.618 |
1.0305 |
|
4.250 |
1.0050 |
|
|
| Fisher Pivots for day following 15-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0832 |
1.0844 |
| PP |
1.0811 |
1.0835 |
| S1 |
1.0791 |
1.0827 |
|