CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 01-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-May-2011 |
01-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1749 |
1.1715 |
-0.0034 |
-0.3% |
1.1384 |
| High |
1.1811 |
1.1929 |
0.0118 |
1.0% |
1.1749 |
| Low |
1.1702 |
1.1706 |
0.0004 |
0.0% |
1.1240 |
| Close |
1.1720 |
1.1872 |
0.0152 |
1.3% |
1.1721 |
| Range |
0.0109 |
0.0223 |
0.0114 |
104.6% |
0.0509 |
| ATR |
0.0135 |
0.0141 |
0.0006 |
4.7% |
0.0000 |
| Volume |
47,141 |
59,421 |
12,280 |
26.0% |
211,323 |
|
| Daily Pivots for day following 01-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2505 |
1.2411 |
1.1995 |
|
| R3 |
1.2282 |
1.2188 |
1.1933 |
|
| R2 |
1.2059 |
1.2059 |
1.1913 |
|
| R1 |
1.1965 |
1.1965 |
1.1892 |
1.2012 |
| PP |
1.1836 |
1.1836 |
1.1836 |
1.1859 |
| S1 |
1.1742 |
1.1742 |
1.1852 |
1.1789 |
| S2 |
1.1613 |
1.1613 |
1.1831 |
|
| S3 |
1.1390 |
1.1519 |
1.1811 |
|
| S4 |
1.1167 |
1.1296 |
1.1749 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3097 |
1.2918 |
1.2001 |
|
| R3 |
1.2588 |
1.2409 |
1.1861 |
|
| R2 |
1.2079 |
1.2079 |
1.1814 |
|
| R1 |
1.1900 |
1.1900 |
1.1768 |
1.1990 |
| PP |
1.1570 |
1.1570 |
1.1570 |
1.1615 |
| S1 |
1.1391 |
1.1391 |
1.1674 |
1.1481 |
| S2 |
1.1061 |
1.1061 |
1.1628 |
|
| S3 |
1.0552 |
1.0882 |
1.1581 |
|
| S4 |
1.0043 |
1.0373 |
1.1441 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1929 |
1.1346 |
0.0583 |
4.9% |
0.0157 |
1.3% |
90% |
True |
False |
49,163 |
| 10 |
1.1929 |
1.1240 |
0.0689 |
5.8% |
0.0142 |
1.2% |
92% |
True |
False |
45,818 |
| 20 |
1.1929 |
1.1177 |
0.0752 |
6.3% |
0.0145 |
1.2% |
92% |
True |
False |
43,654 |
| 40 |
1.1929 |
1.0760 |
0.1169 |
9.8% |
0.0132 |
1.1% |
95% |
True |
False |
41,559 |
| 60 |
1.1929 |
1.0680 |
0.1249 |
10.5% |
0.0126 |
1.1% |
95% |
True |
False |
41,854 |
| 80 |
1.1929 |
1.0268 |
0.1661 |
14.0% |
0.0117 |
1.0% |
97% |
True |
False |
31,533 |
| 100 |
1.1929 |
1.0250 |
0.1679 |
14.1% |
0.0109 |
0.9% |
97% |
True |
False |
25,231 |
| 120 |
1.1929 |
1.0167 |
0.1762 |
14.8% |
0.0099 |
0.8% |
97% |
True |
False |
21,028 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2877 |
|
2.618 |
1.2513 |
|
1.618 |
1.2290 |
|
1.000 |
1.2152 |
|
0.618 |
1.2067 |
|
HIGH |
1.1929 |
|
0.618 |
1.1844 |
|
0.500 |
1.1818 |
|
0.382 |
1.1791 |
|
LOW |
1.1706 |
|
0.618 |
1.1568 |
|
1.000 |
1.1483 |
|
1.618 |
1.1345 |
|
2.618 |
1.1122 |
|
4.250 |
1.0758 |
|
|
| Fisher Pivots for day following 01-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1854 |
1.1827 |
| PP |
1.1836 |
1.1782 |
| S1 |
1.1818 |
1.1737 |
|