CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 16-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Mar-2011 |
16-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0825 |
1.0916 |
0.0091 |
0.8% |
1.0816 |
| High |
1.0950 |
1.1031 |
0.0081 |
0.7% |
1.0833 |
| Low |
1.0816 |
1.0880 |
0.0064 |
0.6% |
1.0680 |
| Close |
1.0911 |
1.1004 |
0.0093 |
0.9% |
1.0767 |
| Range |
0.0134 |
0.0151 |
0.0017 |
12.7% |
0.0153 |
| ATR |
0.0099 |
0.0102 |
0.0004 |
3.8% |
0.0000 |
| Volume |
39,628 |
76,522 |
36,894 |
93.1% |
109,553 |
|
| Daily Pivots for day following 16-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1425 |
1.1365 |
1.1087 |
|
| R3 |
1.1274 |
1.1214 |
1.1046 |
|
| R2 |
1.1123 |
1.1123 |
1.1032 |
|
| R1 |
1.1063 |
1.1063 |
1.1018 |
1.1093 |
| PP |
1.0972 |
1.0972 |
1.0972 |
1.0987 |
| S1 |
1.0912 |
1.0912 |
1.0990 |
1.0942 |
| S2 |
1.0821 |
1.0821 |
1.0976 |
|
| S3 |
1.0670 |
1.0761 |
1.0962 |
|
| S4 |
1.0519 |
1.0610 |
1.0921 |
|
|
| 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 |
1.1031 |
1.0687 |
0.0344 |
3.1% |
0.0118 |
1.1% |
92% |
True |
False |
50,336 |
| 10 |
1.1031 |
1.0680 |
0.0351 |
3.2% |
0.0110 |
1.0% |
92% |
True |
False |
28,215 |
| 20 |
1.1031 |
1.0283 |
0.0748 |
6.8% |
0.0106 |
1.0% |
96% |
True |
False |
14,229 |
| 40 |
1.1031 |
1.0268 |
0.0763 |
6.9% |
0.0087 |
0.8% |
96% |
True |
False |
7,129 |
| 60 |
1.1031 |
1.0250 |
0.0781 |
7.1% |
0.0081 |
0.7% |
97% |
True |
False |
4,759 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1673 |
|
2.618 |
1.1426 |
|
1.618 |
1.1275 |
|
1.000 |
1.1182 |
|
0.618 |
1.1124 |
|
HIGH |
1.1031 |
|
0.618 |
1.0973 |
|
0.500 |
1.0956 |
|
0.382 |
1.0938 |
|
LOW |
1.0880 |
|
0.618 |
1.0787 |
|
1.000 |
1.0729 |
|
1.618 |
1.0636 |
|
2.618 |
1.0485 |
|
4.250 |
1.0238 |
|
|
| Fisher Pivots for day following 16-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0988 |
1.0965 |
| PP |
1.0972 |
1.0925 |
| S1 |
1.0956 |
1.0886 |
|