CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 04-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Mar-2011 |
04-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0830 |
1.0735 |
-0.0095 |
-0.9% |
1.0787 |
| High |
1.0836 |
1.0846 |
0.0010 |
0.1% |
1.0877 |
| Low |
1.0728 |
1.0725 |
-0.0003 |
0.0% |
1.0725 |
| Close |
1.0739 |
1.0804 |
0.0065 |
0.6% |
1.0804 |
| Range |
0.0108 |
0.0121 |
0.0013 |
12.0% |
0.0152 |
| ATR |
0.0092 |
0.0094 |
0.0002 |
2.3% |
0.0000 |
| Volume |
973 |
1,804 |
831 |
85.4% |
3,985 |
|
| Daily Pivots for day following 04-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1155 |
1.1100 |
1.0871 |
|
| R3 |
1.1034 |
1.0979 |
1.0837 |
|
| R2 |
1.0913 |
1.0913 |
1.0826 |
|
| R1 |
1.0858 |
1.0858 |
1.0815 |
1.0886 |
| PP |
1.0792 |
1.0792 |
1.0792 |
1.0805 |
| S1 |
1.0737 |
1.0737 |
1.0793 |
1.0765 |
| S2 |
1.0671 |
1.0671 |
1.0782 |
|
| S3 |
1.0550 |
1.0616 |
1.0771 |
|
| S4 |
1.0429 |
1.0495 |
1.0737 |
|
|
| Weekly Pivots for week ending 04-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1258 |
1.1183 |
1.0888 |
|
| R3 |
1.1106 |
1.1031 |
1.0846 |
|
| R2 |
1.0954 |
1.0954 |
1.0832 |
|
| R1 |
1.0879 |
1.0879 |
1.0818 |
1.0917 |
| PP |
1.0802 |
1.0802 |
1.0802 |
1.0821 |
| S1 |
1.0727 |
1.0727 |
1.0790 |
1.0765 |
| S2 |
1.0650 |
1.0650 |
1.0776 |
|
| S3 |
1.0498 |
1.0575 |
1.0762 |
|
| S4 |
1.0346 |
1.0423 |
1.0720 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0877 |
1.0725 |
0.0152 |
1.4% |
0.0086 |
0.8% |
52% |
False |
True |
797 |
| 10 |
1.0877 |
1.0497 |
0.0380 |
3.5% |
0.0092 |
0.8% |
81% |
False |
False |
494 |
| 20 |
1.0877 |
1.0268 |
0.0609 |
5.6% |
0.0094 |
0.9% |
88% |
False |
False |
274 |
| 40 |
1.0877 |
1.0250 |
0.0627 |
5.8% |
0.0082 |
0.8% |
88% |
False |
False |
148 |
| 60 |
1.0877 |
1.0167 |
0.0710 |
6.6% |
0.0070 |
0.6% |
90% |
False |
False |
104 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1360 |
|
2.618 |
1.1163 |
|
1.618 |
1.1042 |
|
1.000 |
1.0967 |
|
0.618 |
1.0921 |
|
HIGH |
1.0846 |
|
0.618 |
1.0800 |
|
0.500 |
1.0786 |
|
0.382 |
1.0771 |
|
LOW |
1.0725 |
|
0.618 |
1.0650 |
|
1.000 |
1.0604 |
|
1.618 |
1.0529 |
|
2.618 |
1.0408 |
|
4.250 |
1.0211 |
|
|
| Fisher Pivots for day following 04-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0798 |
1.0803 |
| PP |
1.0792 |
1.0802 |
| S1 |
1.0786 |
1.0801 |
|