CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 24-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Mar-2011 |
24-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1077 |
1.1018 |
-0.0059 |
-0.5% |
1.0778 |
| High |
1.1145 |
1.1082 |
-0.0063 |
-0.6% |
1.1163 |
| Low |
1.1007 |
1.0966 |
-0.0041 |
-0.4% |
1.0741 |
| Close |
1.1021 |
1.1029 |
0.0008 |
0.1% |
1.1096 |
| Range |
0.0138 |
0.0116 |
-0.0022 |
-15.9% |
0.0422 |
| ATR |
0.0105 |
0.0106 |
0.0001 |
0.7% |
0.0000 |
| Volume |
30,900 |
47,285 |
16,385 |
53.0% |
285,524 |
|
| Daily Pivots for day following 24-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1374 |
1.1317 |
1.1093 |
|
| R3 |
1.1258 |
1.1201 |
1.1061 |
|
| R2 |
1.1142 |
1.1142 |
1.1050 |
|
| R1 |
1.1085 |
1.1085 |
1.1040 |
1.1114 |
| PP |
1.1026 |
1.1026 |
1.1026 |
1.1040 |
| S1 |
1.0969 |
1.0969 |
1.1018 |
1.0998 |
| S2 |
1.0910 |
1.0910 |
1.1008 |
|
| S3 |
1.0794 |
1.0853 |
1.0997 |
|
| S4 |
1.0678 |
1.0737 |
1.0965 |
|
|
| Weekly Pivots for week ending 18-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2266 |
1.2103 |
1.1328 |
|
| R3 |
1.1844 |
1.1681 |
1.1212 |
|
| R2 |
1.1422 |
1.1422 |
1.1173 |
|
| R1 |
1.1259 |
1.1259 |
1.1135 |
1.1341 |
| PP |
1.1000 |
1.1000 |
1.1000 |
1.1041 |
| S1 |
1.0837 |
1.0837 |
1.1057 |
1.0919 |
| S2 |
1.0578 |
1.0578 |
1.1019 |
|
| S3 |
1.0156 |
1.0415 |
1.0980 |
|
| S4 |
0.9734 |
0.9993 |
1.0864 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1149 |
1.0966 |
0.0183 |
1.7% |
0.0105 |
1.0% |
34% |
False |
True |
42,334 |
| 10 |
1.1163 |
1.0691 |
0.0472 |
4.3% |
0.0114 |
1.0% |
72% |
False |
False |
49,828 |
| 20 |
1.1163 |
1.0680 |
0.0483 |
4.4% |
0.0101 |
0.9% |
72% |
False |
False |
27,962 |
| 40 |
1.1163 |
1.0268 |
0.0895 |
8.1% |
0.0097 |
0.9% |
85% |
False |
False |
14,015 |
| 60 |
1.1163 |
1.0250 |
0.0913 |
8.3% |
0.0089 |
0.8% |
85% |
False |
False |
9,349 |
| 80 |
1.1163 |
0.9990 |
0.1173 |
10.6% |
0.0072 |
0.7% |
89% |
False |
False |
7,014 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1575 |
|
2.618 |
1.1386 |
|
1.618 |
1.1270 |
|
1.000 |
1.1198 |
|
0.618 |
1.1154 |
|
HIGH |
1.1082 |
|
0.618 |
1.1038 |
|
0.500 |
1.1024 |
|
0.382 |
1.1010 |
|
LOW |
1.0966 |
|
0.618 |
1.0894 |
|
1.000 |
1.0850 |
|
1.618 |
1.0778 |
|
2.618 |
1.0662 |
|
4.250 |
1.0473 |
|
|
| Fisher Pivots for day following 24-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1027 |
1.1056 |
| PP |
1.1026 |
1.1047 |
| S1 |
1.1024 |
1.1038 |
|