CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 15-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Mar-2011 |
15-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0778 |
1.0825 |
0.0047 |
0.4% |
1.0816 |
| High |
1.0844 |
1.0950 |
0.0106 |
1.0% |
1.0833 |
| Low |
1.0741 |
1.0816 |
0.0075 |
0.7% |
1.0680 |
| Close |
1.0832 |
1.0911 |
0.0079 |
0.7% |
1.0767 |
| Range |
0.0103 |
0.0134 |
0.0031 |
30.1% |
0.0153 |
| ATR |
0.0096 |
0.0099 |
0.0003 |
2.8% |
0.0000 |
| Volume |
53,671 |
39,628 |
-14,043 |
-26.2% |
109,553 |
|
| Daily Pivots for day following 15-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1294 |
1.1237 |
1.0985 |
|
| R3 |
1.1160 |
1.1103 |
1.0948 |
|
| R2 |
1.1026 |
1.1026 |
1.0936 |
|
| R1 |
1.0969 |
1.0969 |
1.0923 |
1.0998 |
| PP |
1.0892 |
1.0892 |
1.0892 |
1.0907 |
| S1 |
1.0835 |
1.0835 |
1.0899 |
1.0864 |
| S2 |
1.0758 |
1.0758 |
1.0886 |
|
| S3 |
1.0624 |
1.0701 |
1.0874 |
|
| S4 |
1.0490 |
1.0567 |
1.0837 |
|
|
| 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 |
1.0950 |
1.0680 |
0.0270 |
2.5% |
0.0111 |
1.0% |
86% |
True |
False |
37,790 |
| 10 |
1.0950 |
1.0680 |
0.0270 |
2.5% |
0.0105 |
1.0% |
86% |
True |
False |
20,619 |
| 20 |
1.0950 |
1.0283 |
0.0667 |
6.1% |
0.0101 |
0.9% |
94% |
True |
False |
10,405 |
| 40 |
1.0950 |
1.0268 |
0.0682 |
6.3% |
0.0086 |
0.8% |
94% |
True |
False |
5,216 |
| 60 |
1.0950 |
1.0250 |
0.0700 |
6.4% |
0.0081 |
0.7% |
94% |
True |
False |
3,484 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1520 |
|
2.618 |
1.1301 |
|
1.618 |
1.1167 |
|
1.000 |
1.1084 |
|
0.618 |
1.1033 |
|
HIGH |
1.0950 |
|
0.618 |
1.0899 |
|
0.500 |
1.0883 |
|
0.382 |
1.0867 |
|
LOW |
1.0816 |
|
0.618 |
1.0733 |
|
1.000 |
1.0682 |
|
1.618 |
1.0599 |
|
2.618 |
1.0465 |
|
4.250 |
1.0247 |
|
|
| Fisher Pivots for day following 15-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0902 |
1.0881 |
| PP |
1.0892 |
1.0851 |
| S1 |
1.0883 |
1.0821 |
|