CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 14-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Mar-2011 |
14-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0741 |
1.0778 |
0.0037 |
0.3% |
1.0816 |
| High |
1.0799 |
1.0844 |
0.0045 |
0.4% |
1.0833 |
| Low |
1.0691 |
1.0741 |
0.0050 |
0.5% |
1.0680 |
| Close |
1.0767 |
1.0832 |
0.0065 |
0.6% |
1.0767 |
| Range |
0.0108 |
0.0103 |
-0.0005 |
-4.6% |
0.0153 |
| ATR |
0.0095 |
0.0096 |
0.0001 |
0.6% |
0.0000 |
| Volume |
52,940 |
53,671 |
731 |
1.4% |
109,553 |
|
| Daily Pivots for day following 14-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1115 |
1.1076 |
1.0889 |
|
| R3 |
1.1012 |
1.0973 |
1.0860 |
|
| R2 |
1.0909 |
1.0909 |
1.0851 |
|
| R1 |
1.0870 |
1.0870 |
1.0841 |
1.0890 |
| PP |
1.0806 |
1.0806 |
1.0806 |
1.0815 |
| S1 |
1.0767 |
1.0767 |
1.0823 |
1.0787 |
| S2 |
1.0703 |
1.0703 |
1.0813 |
|
| S3 |
1.0600 |
1.0664 |
1.0804 |
|
| S4 |
1.0497 |
1.0561 |
1.0775 |
|
|
| Weekly Pivots for week ending 11-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1219 |
1.1146 |
1.0851 |
|
| R3 |
1.1066 |
1.0993 |
1.0809 |
|
| R2 |
1.0913 |
1.0913 |
1.0795 |
|
| R1 |
1.0840 |
1.0840 |
1.0781 |
1.0800 |
| PP |
1.0760 |
1.0760 |
1.0760 |
1.0740 |
| S1 |
1.0687 |
1.0687 |
1.0753 |
1.0647 |
| S2 |
1.0607 |
1.0607 |
1.0739 |
|
| S3 |
1.0454 |
1.0534 |
1.0725 |
|
| S4 |
1.0301 |
1.0381 |
1.0683 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0844 |
1.0680 |
0.0164 |
1.5% |
0.0108 |
1.0% |
93% |
True |
False |
31,463 |
| 10 |
1.0877 |
1.0680 |
0.0197 |
1.8% |
0.0097 |
0.9% |
77% |
False |
False |
16,673 |
| 20 |
1.0877 |
1.0275 |
0.0602 |
5.6% |
0.0097 |
0.9% |
93% |
False |
False |
8,426 |
| 40 |
1.0877 |
1.0268 |
0.0609 |
5.6% |
0.0084 |
0.8% |
93% |
False |
False |
4,226 |
| 60 |
1.0877 |
1.0250 |
0.0627 |
5.8% |
0.0079 |
0.7% |
93% |
False |
False |
2,824 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1282 |
|
2.618 |
1.1114 |
|
1.618 |
1.1011 |
|
1.000 |
1.0947 |
|
0.618 |
1.0908 |
|
HIGH |
1.0844 |
|
0.618 |
1.0805 |
|
0.500 |
1.0793 |
|
0.382 |
1.0780 |
|
LOW |
1.0741 |
|
0.618 |
1.0677 |
|
1.000 |
1.0638 |
|
1.618 |
1.0574 |
|
2.618 |
1.0471 |
|
4.250 |
1.0303 |
|
|
| Fisher Pivots for day following 14-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0819 |
1.0810 |
| PP |
1.0806 |
1.0788 |
| S1 |
1.0793 |
1.0766 |
|