CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 28-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Mar-2011 |
28-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1018 |
1.0862 |
-0.0156 |
-1.4% |
1.1089 |
| High |
1.1025 |
1.0933 |
-0.0092 |
-0.8% |
1.1145 |
| Low |
1.0856 |
1.0835 |
-0.0021 |
-0.2% |
1.0856 |
| Close |
1.0882 |
1.0913 |
0.0031 |
0.3% |
1.0882 |
| Range |
0.0169 |
0.0098 |
-0.0071 |
-42.0% |
0.0289 |
| ATR |
0.0111 |
0.0110 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
36,704 |
43,132 |
6,428 |
17.5% |
196,528 |
|
| Daily Pivots for day following 28-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1188 |
1.1148 |
1.0967 |
|
| R3 |
1.1090 |
1.1050 |
1.0940 |
|
| R2 |
1.0992 |
1.0992 |
1.0931 |
|
| R1 |
1.0952 |
1.0952 |
1.0922 |
1.0972 |
| PP |
1.0894 |
1.0894 |
1.0894 |
1.0904 |
| S1 |
1.0854 |
1.0854 |
1.0904 |
1.0874 |
| S2 |
1.0796 |
1.0796 |
1.0895 |
|
| S3 |
1.0698 |
1.0756 |
1.0886 |
|
| S4 |
1.0600 |
1.0658 |
1.0859 |
|
|
| Weekly Pivots for week ending 25-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1828 |
1.1644 |
1.1041 |
|
| R3 |
1.1539 |
1.1355 |
1.0961 |
|
| R2 |
1.1250 |
1.1250 |
1.0935 |
|
| R1 |
1.1066 |
1.1066 |
1.0908 |
1.1014 |
| PP |
1.0961 |
1.0961 |
1.0961 |
1.0935 |
| S1 |
1.0777 |
1.0777 |
1.0856 |
1.0725 |
| S2 |
1.0672 |
1.0672 |
1.0829 |
|
| S3 |
1.0383 |
1.0488 |
1.0803 |
|
| S4 |
1.0094 |
1.0199 |
1.0723 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1145 |
1.0835 |
0.0310 |
2.8% |
0.0115 |
1.1% |
25% |
False |
True |
38,336 |
| 10 |
1.1163 |
1.0816 |
0.0347 |
3.2% |
0.0119 |
1.1% |
28% |
False |
False |
47,151 |
| 20 |
1.1163 |
1.0680 |
0.0483 |
4.4% |
0.0108 |
1.0% |
48% |
False |
False |
31,912 |
| 40 |
1.1163 |
1.0268 |
0.0895 |
8.2% |
0.0101 |
0.9% |
72% |
False |
False |
16,010 |
| 60 |
1.1163 |
1.0250 |
0.0913 |
8.4% |
0.0091 |
0.8% |
73% |
False |
False |
10,679 |
| 80 |
1.1163 |
1.0092 |
0.1071 |
9.8% |
0.0075 |
0.7% |
77% |
False |
False |
8,012 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1350 |
|
2.618 |
1.1190 |
|
1.618 |
1.1092 |
|
1.000 |
1.1031 |
|
0.618 |
1.0994 |
|
HIGH |
1.0933 |
|
0.618 |
1.0896 |
|
0.500 |
1.0884 |
|
0.382 |
1.0872 |
|
LOW |
1.0835 |
|
0.618 |
1.0774 |
|
1.000 |
1.0737 |
|
1.618 |
1.0676 |
|
2.618 |
1.0578 |
|
4.250 |
1.0419 |
|
|
| Fisher Pivots for day following 28-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0903 |
1.0959 |
| PP |
1.0894 |
1.0943 |
| S1 |
1.0884 |
1.0928 |
|