CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 04-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-May-2011 |
04-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1564 |
1.1613 |
0.0049 |
0.4% |
1.1303 |
| High |
1.1636 |
1.1697 |
0.0061 |
0.5% |
1.1596 |
| Low |
1.1530 |
1.1562 |
0.0032 |
0.3% |
1.1273 |
| Close |
1.1609 |
1.1633 |
0.0024 |
0.2% |
1.1581 |
| Range |
0.0106 |
0.0135 |
0.0029 |
27.4% |
0.0323 |
| ATR |
0.0121 |
0.0122 |
0.0001 |
0.8% |
0.0000 |
| Volume |
33,199 |
38,536 |
5,337 |
16.1% |
192,471 |
|
| Daily Pivots for day following 04-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2036 |
1.1969 |
1.1707 |
|
| R3 |
1.1901 |
1.1834 |
1.1670 |
|
| R2 |
1.1766 |
1.1766 |
1.1658 |
|
| R1 |
1.1699 |
1.1699 |
1.1645 |
1.1733 |
| PP |
1.1631 |
1.1631 |
1.1631 |
1.1647 |
| S1 |
1.1564 |
1.1564 |
1.1621 |
1.1598 |
| S2 |
1.1496 |
1.1496 |
1.1608 |
|
| S3 |
1.1361 |
1.1429 |
1.1596 |
|
| S4 |
1.1226 |
1.1294 |
1.1559 |
|
|
| Weekly Pivots for week ending 29-Apr-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2452 |
1.2340 |
1.1759 |
|
| R3 |
1.2129 |
1.2017 |
1.1670 |
|
| R2 |
1.1806 |
1.1806 |
1.1640 |
|
| R1 |
1.1694 |
1.1694 |
1.1611 |
1.1750 |
| PP |
1.1483 |
1.1483 |
1.1483 |
1.1512 |
| S1 |
1.1371 |
1.1371 |
1.1551 |
1.1427 |
| S2 |
1.1160 |
1.1160 |
1.1522 |
|
| S3 |
1.0837 |
1.1048 |
1.1492 |
|
| S4 |
1.0514 |
1.0725 |
1.1403 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1697 |
1.1418 |
0.0279 |
2.4% |
0.0118 |
1.0% |
77% |
True |
False |
40,398 |
| 10 |
1.1697 |
1.1115 |
0.0582 |
5.0% |
0.0138 |
1.2% |
89% |
True |
False |
38,978 |
| 20 |
1.1697 |
1.0760 |
0.0937 |
8.1% |
0.0122 |
1.0% |
93% |
True |
False |
39,825 |
| 40 |
1.1697 |
1.0680 |
0.1017 |
8.7% |
0.0118 |
1.0% |
94% |
True |
False |
41,718 |
| 60 |
1.1697 |
1.0268 |
0.1429 |
12.3% |
0.0110 |
0.9% |
96% |
True |
False |
28,134 |
| 80 |
1.1697 |
1.0250 |
0.1447 |
12.4% |
0.0101 |
0.9% |
96% |
True |
False |
21,107 |
| 100 |
1.1697 |
1.0230 |
0.1467 |
12.6% |
0.0091 |
0.8% |
96% |
True |
False |
16,888 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2271 |
|
2.618 |
1.2050 |
|
1.618 |
1.1915 |
|
1.000 |
1.1832 |
|
0.618 |
1.1780 |
|
HIGH |
1.1697 |
|
0.618 |
1.1645 |
|
0.500 |
1.1630 |
|
0.382 |
1.1614 |
|
LOW |
1.1562 |
|
0.618 |
1.1479 |
|
1.000 |
1.1427 |
|
1.618 |
1.1344 |
|
2.618 |
1.1209 |
|
4.250 |
1.0988 |
|
|
| Fisher Pivots for day following 04-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1632 |
1.1622 |
| PP |
1.1631 |
1.1610 |
| S1 |
1.1630 |
1.1599 |
|