CME Swiss Franc Future June 2012
| Trading Metrics calculated at close of trading on 26-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Mar-2012 |
26-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0960 |
1.1026 |
0.0066 |
0.6% |
1.0939 |
| High |
1.1042 |
1.1095 |
0.0053 |
0.5% |
1.1042 |
| Low |
1.0946 |
1.0956 |
0.0010 |
0.1% |
1.0905 |
| Close |
1.1018 |
1.1079 |
0.0061 |
0.6% |
1.1018 |
| Range |
0.0096 |
0.0139 |
0.0043 |
44.8% |
0.0137 |
| ATR |
0.0095 |
0.0098 |
0.0003 |
3.3% |
0.0000 |
| Volume |
33,875 |
35,255 |
1,380 |
4.1% |
170,061 |
|
| Daily Pivots for day following 26-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1460 |
1.1409 |
1.1155 |
|
| R3 |
1.1321 |
1.1270 |
1.1117 |
|
| R2 |
1.1182 |
1.1182 |
1.1104 |
|
| R1 |
1.1131 |
1.1131 |
1.1092 |
1.1157 |
| PP |
1.1043 |
1.1043 |
1.1043 |
1.1056 |
| S1 |
1.0992 |
1.0992 |
1.1066 |
1.1018 |
| S2 |
1.0904 |
1.0904 |
1.1054 |
|
| S3 |
1.0765 |
1.0853 |
1.1041 |
|
| S4 |
1.0626 |
1.0714 |
1.1003 |
|
|
| Weekly Pivots for week ending 23-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1399 |
1.1346 |
1.1093 |
|
| R3 |
1.1262 |
1.1209 |
1.1056 |
|
| R2 |
1.1125 |
1.1125 |
1.1043 |
|
| R1 |
1.1072 |
1.1072 |
1.1031 |
1.1099 |
| PP |
1.0988 |
1.0988 |
1.0988 |
1.1002 |
| S1 |
1.0935 |
1.0935 |
1.1005 |
1.0962 |
| S2 |
1.0851 |
1.0851 |
1.0993 |
|
| S3 |
1.0714 |
1.0798 |
1.0980 |
|
| S4 |
1.0577 |
1.0661 |
1.0943 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1095 |
1.0905 |
0.0190 |
1.7% |
0.0098 |
0.9% |
92% |
True |
False |
33,488 |
| 10 |
1.1095 |
1.0725 |
0.0370 |
3.3% |
0.0112 |
1.0% |
96% |
True |
False |
30,795 |
| 20 |
1.1205 |
1.0725 |
0.0480 |
4.3% |
0.0100 |
0.9% |
74% |
False |
False |
16,724 |
| 40 |
1.1213 |
1.0725 |
0.0488 |
4.4% |
0.0079 |
0.7% |
73% |
False |
False |
8,381 |
| 60 |
1.1213 |
1.0489 |
0.0724 |
6.5% |
0.0064 |
0.6% |
81% |
False |
False |
5,590 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1686 |
|
2.618 |
1.1459 |
|
1.618 |
1.1320 |
|
1.000 |
1.1234 |
|
0.618 |
1.1181 |
|
HIGH |
1.1095 |
|
0.618 |
1.1042 |
|
0.500 |
1.1026 |
|
0.382 |
1.1009 |
|
LOW |
1.0956 |
|
0.618 |
1.0870 |
|
1.000 |
1.0817 |
|
1.618 |
1.0731 |
|
2.618 |
1.0592 |
|
4.250 |
1.0365 |
|
|
| Fisher Pivots for day following 26-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.1061 |
1.1053 |
| PP |
1.1043 |
1.1026 |
| S1 |
1.1026 |
1.1000 |
|