CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 03-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Jun-2011 |
03-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1876 |
1.1872 |
-0.0004 |
0.0% |
1.1749 |
| High |
1.1903 |
1.2005 |
0.0102 |
0.9% |
1.2005 |
| Low |
1.1815 |
1.1840 |
0.0025 |
0.2% |
1.1702 |
| Close |
1.1873 |
1.1958 |
0.0085 |
0.7% |
1.1958 |
| Range |
0.0088 |
0.0165 |
0.0077 |
87.5% |
0.0303 |
| ATR |
0.0137 |
0.0139 |
0.0002 |
1.5% |
0.0000 |
| Volume |
36,480 |
50,036 |
13,556 |
37.2% |
193,078 |
|
| Daily Pivots for day following 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2429 |
1.2359 |
1.2049 |
|
| R3 |
1.2264 |
1.2194 |
1.2003 |
|
| R2 |
1.2099 |
1.2099 |
1.1988 |
|
| R1 |
1.2029 |
1.2029 |
1.1973 |
1.2064 |
| PP |
1.1934 |
1.1934 |
1.1934 |
1.1952 |
| S1 |
1.1864 |
1.1864 |
1.1943 |
1.1899 |
| S2 |
1.1769 |
1.1769 |
1.1928 |
|
| S3 |
1.1604 |
1.1699 |
1.1913 |
|
| S4 |
1.1439 |
1.1534 |
1.1867 |
|
|
| Weekly Pivots for week ending 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2797 |
1.2681 |
1.2125 |
|
| R3 |
1.2494 |
1.2378 |
1.2041 |
|
| R2 |
1.2191 |
1.2191 |
1.2014 |
|
| R1 |
1.2075 |
1.2075 |
1.1986 |
1.2133 |
| PP |
1.1888 |
1.1888 |
1.1888 |
1.1918 |
| S1 |
1.1772 |
1.1772 |
1.1930 |
1.1830 |
| S2 |
1.1585 |
1.1585 |
1.1902 |
|
| S3 |
1.1282 |
1.1469 |
1.1875 |
|
| S4 |
1.0979 |
1.1166 |
1.1791 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2005 |
1.1545 |
0.0460 |
3.8% |
0.0158 |
1.3% |
90% |
True |
False |
47,984 |
| 10 |
1.2005 |
1.1240 |
0.0765 |
6.4% |
0.0145 |
1.2% |
94% |
True |
False |
45,912 |
| 20 |
1.2005 |
1.1177 |
0.0828 |
6.9% |
0.0140 |
1.2% |
94% |
True |
False |
43,907 |
| 40 |
1.2005 |
1.0872 |
0.1133 |
9.5% |
0.0131 |
1.1% |
96% |
True |
False |
42,029 |
| 60 |
1.2005 |
1.0687 |
0.1318 |
11.0% |
0.0127 |
1.1% |
96% |
True |
False |
42,933 |
| 80 |
1.2005 |
1.0268 |
0.1737 |
14.5% |
0.0119 |
1.0% |
97% |
True |
False |
32,614 |
| 100 |
1.2005 |
1.0250 |
0.1755 |
14.7% |
0.0110 |
0.9% |
97% |
True |
False |
26,095 |
| 120 |
1.2005 |
1.0250 |
0.1755 |
14.7% |
0.0101 |
0.8% |
97% |
True |
False |
21,749 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2706 |
|
2.618 |
1.2437 |
|
1.618 |
1.2272 |
|
1.000 |
1.2170 |
|
0.618 |
1.2107 |
|
HIGH |
1.2005 |
|
0.618 |
1.1942 |
|
0.500 |
1.1923 |
|
0.382 |
1.1903 |
|
LOW |
1.1840 |
|
0.618 |
1.1738 |
|
1.000 |
1.1675 |
|
1.618 |
1.1573 |
|
2.618 |
1.1408 |
|
4.250 |
1.1139 |
|
|
| Fisher Pivots for day following 03-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1946 |
1.1924 |
| PP |
1.1934 |
1.1890 |
| S1 |
1.1923 |
1.1856 |
|