CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 27-Apr-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Apr-2011 |
27-Apr-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1350 |
1.1450 |
0.0100 |
0.9% |
1.1207 |
| High |
1.1438 |
1.1539 |
0.0101 |
0.9% |
1.1392 |
| Low |
1.1293 |
1.1322 |
0.0029 |
0.3% |
1.1105 |
| Close |
1.1396 |
1.1411 |
0.0015 |
0.1% |
1.1324 |
| Range |
0.0145 |
0.0217 |
0.0072 |
49.7% |
0.0287 |
| ATR |
0.0116 |
0.0123 |
0.0007 |
6.3% |
0.0000 |
| Volume |
19,504 |
38,198 |
18,694 |
95.8% |
162,885 |
|
| Daily Pivots for day following 27-Apr-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2075 |
1.1960 |
1.1530 |
|
| R3 |
1.1858 |
1.1743 |
1.1471 |
|
| R2 |
1.1641 |
1.1641 |
1.1451 |
|
| R1 |
1.1526 |
1.1526 |
1.1431 |
1.1475 |
| PP |
1.1424 |
1.1424 |
1.1424 |
1.1399 |
| S1 |
1.1309 |
1.1309 |
1.1391 |
1.1258 |
| S2 |
1.1207 |
1.1207 |
1.1371 |
|
| S3 |
1.0990 |
1.1092 |
1.1351 |
|
| S4 |
1.0773 |
1.0875 |
1.1292 |
|
|
| Weekly Pivots for week ending 22-Apr-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2135 |
1.2016 |
1.1482 |
|
| R3 |
1.1848 |
1.1729 |
1.1403 |
|
| R2 |
1.1561 |
1.1561 |
1.1377 |
|
| R1 |
1.1442 |
1.1442 |
1.1350 |
1.1502 |
| PP |
1.1274 |
1.1274 |
1.1274 |
1.1303 |
| S1 |
1.1155 |
1.1155 |
1.1298 |
1.1215 |
| S2 |
1.0987 |
1.0987 |
1.1271 |
|
| S3 |
1.0700 |
1.0868 |
1.1245 |
|
| S4 |
1.0413 |
1.0581 |
1.1166 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1539 |
1.1115 |
0.0424 |
3.7% |
0.0158 |
1.4% |
70% |
True |
False |
37,559 |
| 10 |
1.1539 |
1.1105 |
0.0434 |
3.8% |
0.0122 |
1.1% |
71% |
True |
False |
40,417 |
| 20 |
1.1539 |
1.0710 |
0.0829 |
7.3% |
0.0120 |
1.1% |
85% |
True |
False |
40,545 |
| 40 |
1.1539 |
1.0680 |
0.0859 |
7.5% |
0.0115 |
1.0% |
85% |
True |
False |
37,099 |
| 60 |
1.1539 |
1.0268 |
0.1271 |
11.1% |
0.0108 |
0.9% |
90% |
True |
False |
24,771 |
| 80 |
1.1539 |
1.0250 |
0.1289 |
11.3% |
0.0099 |
0.9% |
90% |
True |
False |
18,583 |
| 100 |
1.1539 |
1.0153 |
0.1386 |
12.1% |
0.0085 |
0.7% |
91% |
True |
False |
14,869 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2461 |
|
2.618 |
1.2107 |
|
1.618 |
1.1890 |
|
1.000 |
1.1756 |
|
0.618 |
1.1673 |
|
HIGH |
1.1539 |
|
0.618 |
1.1456 |
|
0.500 |
1.1431 |
|
0.382 |
1.1405 |
|
LOW |
1.1322 |
|
0.618 |
1.1188 |
|
1.000 |
1.1105 |
|
1.618 |
1.0971 |
|
2.618 |
1.0754 |
|
4.250 |
1.0400 |
|
|
| Fisher Pivots for day following 27-Apr-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1431 |
1.1409 |
| PP |
1.1424 |
1.1408 |
| S1 |
1.1418 |
1.1406 |
|