CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 17-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Mar-2011 |
17-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0916 |
1.1134 |
0.0218 |
2.0% |
1.0816 |
| High |
1.1031 |
1.1163 |
0.0132 |
1.2% |
1.0833 |
| Low |
1.0880 |
1.1047 |
0.0167 |
1.5% |
1.0680 |
| Close |
1.1004 |
1.1113 |
0.0109 |
1.0% |
1.0767 |
| Range |
0.0151 |
0.0116 |
-0.0035 |
-23.2% |
0.0153 |
| ATR |
0.0102 |
0.0106 |
0.0004 |
4.0% |
0.0000 |
| Volume |
76,522 |
63,855 |
-12,667 |
-16.6% |
109,553 |
|
| Daily Pivots for day following 17-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1456 |
1.1400 |
1.1177 |
|
| R3 |
1.1340 |
1.1284 |
1.1145 |
|
| R2 |
1.1224 |
1.1224 |
1.1134 |
|
| R1 |
1.1168 |
1.1168 |
1.1124 |
1.1138 |
| PP |
1.1108 |
1.1108 |
1.1108 |
1.1093 |
| S1 |
1.1052 |
1.1052 |
1.1102 |
1.1022 |
| S2 |
1.0992 |
1.0992 |
1.1092 |
|
| S3 |
1.0876 |
1.0936 |
1.1081 |
|
| S4 |
1.0760 |
1.0820 |
1.1049 |
|
|
| 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 |
1.1163 |
1.0691 |
0.0472 |
4.2% |
0.0122 |
1.1% |
89% |
True |
False |
57,323 |
| 10 |
1.1163 |
1.0680 |
0.0483 |
4.3% |
0.0111 |
1.0% |
90% |
True |
False |
34,503 |
| 20 |
1.1163 |
1.0428 |
0.0735 |
6.6% |
0.0102 |
0.9% |
93% |
True |
False |
17,420 |
| 40 |
1.1163 |
1.0268 |
0.0895 |
8.1% |
0.0090 |
0.8% |
94% |
True |
False |
8,725 |
| 60 |
1.1163 |
1.0250 |
0.0913 |
8.2% |
0.0083 |
0.7% |
95% |
True |
False |
5,822 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1656 |
|
2.618 |
1.1467 |
|
1.618 |
1.1351 |
|
1.000 |
1.1279 |
|
0.618 |
1.1235 |
|
HIGH |
1.1163 |
|
0.618 |
1.1119 |
|
0.500 |
1.1105 |
|
0.382 |
1.1091 |
|
LOW |
1.1047 |
|
0.618 |
1.0975 |
|
1.000 |
1.0931 |
|
1.618 |
1.0859 |
|
2.618 |
1.0743 |
|
4.250 |
1.0554 |
|
|
| Fisher Pivots for day following 17-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1110 |
1.1072 |
| PP |
1.1108 |
1.1031 |
| S1 |
1.1105 |
1.0990 |
|