CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 20-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-May-2011 |
20-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1346 |
1.1348 |
0.0002 |
0.0% |
1.1191 |
| High |
1.1409 |
1.1434 |
0.0025 |
0.2% |
1.1434 |
| Low |
1.1262 |
1.1292 |
0.0030 |
0.3% |
1.1189 |
| Close |
1.1345 |
1.1405 |
0.0060 |
0.5% |
1.1405 |
| Range |
0.0147 |
0.0142 |
-0.0005 |
-3.4% |
0.0245 |
| ATR |
0.0132 |
0.0132 |
0.0001 |
0.6% |
0.0000 |
| Volume |
44,935 |
54,726 |
9,791 |
21.8% |
210,470 |
|
| Daily Pivots for day following 20-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1803 |
1.1746 |
1.1483 |
|
| R3 |
1.1661 |
1.1604 |
1.1444 |
|
| R2 |
1.1519 |
1.1519 |
1.1431 |
|
| R1 |
1.1462 |
1.1462 |
1.1418 |
1.1491 |
| PP |
1.1377 |
1.1377 |
1.1377 |
1.1391 |
| S1 |
1.1320 |
1.1320 |
1.1392 |
1.1349 |
| S2 |
1.1235 |
1.1235 |
1.1379 |
|
| S3 |
1.1093 |
1.1178 |
1.1366 |
|
| S4 |
1.0951 |
1.1036 |
1.1327 |
|
|
| Weekly Pivots for week ending 20-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2078 |
1.1986 |
1.1540 |
|
| R3 |
1.1833 |
1.1741 |
1.1472 |
|
| R2 |
1.1588 |
1.1588 |
1.1450 |
|
| R1 |
1.1496 |
1.1496 |
1.1427 |
1.1542 |
| PP |
1.1343 |
1.1343 |
1.1343 |
1.1366 |
| S1 |
1.1251 |
1.1251 |
1.1383 |
1.1297 |
| S2 |
1.1098 |
1.1098 |
1.1360 |
|
| S3 |
1.0853 |
1.1006 |
1.1338 |
|
| S4 |
1.0608 |
1.0761 |
1.1270 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1434 |
1.1189 |
0.0245 |
2.1% |
0.0131 |
1.1% |
88% |
True |
False |
42,094 |
| 10 |
1.1488 |
1.1177 |
0.0311 |
2.7% |
0.0133 |
1.2% |
73% |
False |
False |
41,541 |
| 20 |
1.1697 |
1.1177 |
0.0520 |
4.6% |
0.0140 |
1.2% |
44% |
False |
False |
41,237 |
| 40 |
1.1697 |
1.0710 |
0.0987 |
8.7% |
0.0127 |
1.1% |
70% |
False |
False |
41,110 |
| 60 |
1.1697 |
1.0680 |
0.1017 |
8.9% |
0.0118 |
1.0% |
71% |
False |
False |
36,727 |
| 80 |
1.1697 |
1.0268 |
0.1429 |
12.5% |
0.0112 |
1.0% |
80% |
False |
False |
27,562 |
| 100 |
1.1697 |
1.0250 |
0.1447 |
12.7% |
0.0104 |
0.9% |
80% |
False |
False |
22,053 |
| 120 |
1.1697 |
0.9990 |
0.1707 |
15.0% |
0.0090 |
0.8% |
83% |
False |
False |
18,379 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2038 |
|
2.618 |
1.1806 |
|
1.618 |
1.1664 |
|
1.000 |
1.1576 |
|
0.618 |
1.1522 |
|
HIGH |
1.1434 |
|
0.618 |
1.1380 |
|
0.500 |
1.1363 |
|
0.382 |
1.1346 |
|
LOW |
1.1292 |
|
0.618 |
1.1204 |
|
1.000 |
1.1150 |
|
1.618 |
1.1062 |
|
2.618 |
1.0920 |
|
4.250 |
1.0689 |
|
|
| Fisher Pivots for day following 20-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1391 |
1.1386 |
| PP |
1.1377 |
1.1367 |
| S1 |
1.1363 |
1.1348 |
|