CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 08-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
07-Jun-2011 |
08-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1976 |
1.1953 |
-0.0023 |
-0.2% |
1.1749 |
| High |
1.2010 |
1.1980 |
-0.0030 |
-0.2% |
1.2005 |
| Low |
1.1917 |
1.1933 |
0.0016 |
0.1% |
1.1702 |
| Close |
1.1941 |
1.1949 |
0.0008 |
0.1% |
1.1958 |
| Range |
0.0093 |
0.0047 |
-0.0046 |
-49.5% |
0.0303 |
| ATR |
0.0132 |
0.0126 |
-0.0006 |
-4.6% |
0.0000 |
| Volume |
43,244 |
46,493 |
3,249 |
7.5% |
193,078 |
|
| Daily Pivots for day following 08-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2095 |
1.2069 |
1.1975 |
|
| R3 |
1.2048 |
1.2022 |
1.1962 |
|
| R2 |
1.2001 |
1.2001 |
1.1958 |
|
| R1 |
1.1975 |
1.1975 |
1.1953 |
1.1965 |
| PP |
1.1954 |
1.1954 |
1.1954 |
1.1949 |
| S1 |
1.1928 |
1.1928 |
1.1945 |
1.1918 |
| S2 |
1.1907 |
1.1907 |
1.1940 |
|
| S3 |
1.1860 |
1.1881 |
1.1936 |
|
| S4 |
1.1813 |
1.1834 |
1.1923 |
|
|
| 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 |
1.2010 |
1.1815 |
0.0195 |
1.6% |
0.0095 |
0.8% |
69% |
False |
False |
40,950 |
| 10 |
1.2010 |
1.1346 |
0.0664 |
5.6% |
0.0126 |
1.1% |
91% |
False |
False |
45,056 |
| 20 |
1.2010 |
1.1177 |
0.0833 |
7.0% |
0.0130 |
1.1% |
93% |
False |
False |
42,680 |
| 40 |
1.2010 |
1.1021 |
0.0989 |
8.3% |
0.0130 |
1.1% |
94% |
False |
False |
41,859 |
| 60 |
1.2010 |
1.0710 |
0.1300 |
10.9% |
0.0125 |
1.0% |
95% |
False |
False |
42,645 |
| 80 |
1.2010 |
1.0275 |
0.1735 |
14.5% |
0.0118 |
1.0% |
96% |
False |
False |
34,090 |
| 100 |
1.2010 |
1.0268 |
0.1742 |
14.6% |
0.0109 |
0.9% |
96% |
False |
False |
27,277 |
| 120 |
1.2010 |
1.0250 |
0.1760 |
14.7% |
0.0102 |
0.9% |
97% |
False |
False |
22,734 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2180 |
|
2.618 |
1.2103 |
|
1.618 |
1.2056 |
|
1.000 |
1.2027 |
|
0.618 |
1.2009 |
|
HIGH |
1.1980 |
|
0.618 |
1.1962 |
|
0.500 |
1.1957 |
|
0.382 |
1.1951 |
|
LOW |
1.1933 |
|
0.618 |
1.1904 |
|
1.000 |
1.1886 |
|
1.618 |
1.1857 |
|
2.618 |
1.1810 |
|
4.250 |
1.1733 |
|
|
| Fisher Pivots for day following 08-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1957 |
1.1964 |
| PP |
1.1954 |
1.1959 |
| S1 |
1.1952 |
1.1954 |
|