CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 27-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-May-2011 |
27-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1468 |
1.1565 |
0.0097 |
0.8% |
1.1397 |
| High |
1.1564 |
1.1755 |
0.0191 |
1.7% |
1.1755 |
| Low |
1.1468 |
1.1565 |
0.0097 |
0.8% |
1.1253 |
| Close |
1.1554 |
1.1730 |
0.0176 |
1.5% |
1.1730 |
| Range |
0.0096 |
0.0190 |
0.0094 |
97.9% |
0.0502 |
| ATR |
0.0108 |
0.0115 |
0.0007 |
6.1% |
0.0000 |
| Volume |
485 |
292 |
-193 |
-39.8% |
1,579 |
|
| Daily Pivots for day following 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2253 |
1.2182 |
1.1835 |
|
| R3 |
1.2063 |
1.1992 |
1.1782 |
|
| R2 |
1.1873 |
1.1873 |
1.1765 |
|
| R1 |
1.1802 |
1.1802 |
1.1747 |
1.1838 |
| PP |
1.1683 |
1.1683 |
1.1683 |
1.1701 |
| S1 |
1.1612 |
1.1612 |
1.1713 |
1.1648 |
| S2 |
1.1493 |
1.1493 |
1.1695 |
|
| S3 |
1.1303 |
1.1422 |
1.1678 |
|
| S4 |
1.1113 |
1.1232 |
1.1626 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3085 |
1.2910 |
1.2006 |
|
| R3 |
1.2583 |
1.2408 |
1.1868 |
|
| R2 |
1.2081 |
1.2081 |
1.1822 |
|
| R1 |
1.1906 |
1.1906 |
1.1776 |
1.1994 |
| PP |
1.1579 |
1.1579 |
1.1579 |
1.1623 |
| S1 |
1.1404 |
1.1404 |
1.1684 |
1.1492 |
| S2 |
1.1077 |
1.1077 |
1.1638 |
|
| S3 |
1.0575 |
1.0902 |
1.1592 |
|
| S4 |
1.0073 |
1.0400 |
1.1454 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1755 |
1.1253 |
0.0502 |
4.3% |
0.0133 |
1.1% |
95% |
True |
False |
315 |
| 10 |
1.1755 |
1.1205 |
0.0550 |
4.7% |
0.0120 |
1.0% |
95% |
True |
False |
215 |
| 20 |
1.1755 |
1.1195 |
0.0560 |
4.8% |
0.0118 |
1.0% |
96% |
True |
False |
161 |
| 40 |
1.1755 |
1.0725 |
0.1030 |
8.8% |
0.0094 |
0.8% |
98% |
True |
False |
96 |
| 60 |
1.1755 |
1.0696 |
0.1059 |
9.0% |
0.0075 |
0.6% |
98% |
True |
False |
68 |
| 80 |
1.1755 |
1.0291 |
0.1464 |
12.5% |
0.0058 |
0.5% |
98% |
True |
False |
51 |
| 100 |
1.1755 |
1.0291 |
0.1464 |
12.5% |
0.0047 |
0.4% |
98% |
True |
False |
41 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2563 |
|
2.618 |
1.2252 |
|
1.618 |
1.2062 |
|
1.000 |
1.1945 |
|
0.618 |
1.1872 |
|
HIGH |
1.1755 |
|
0.618 |
1.1682 |
|
0.500 |
1.1660 |
|
0.382 |
1.1638 |
|
LOW |
1.1565 |
|
0.618 |
1.1448 |
|
1.000 |
1.1375 |
|
1.618 |
1.1258 |
|
2.618 |
1.1068 |
|
4.250 |
1.0758 |
|
|
| Fisher Pivots for day following 27-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1707 |
1.1673 |
| PP |
1.1683 |
1.1615 |
| S1 |
1.1660 |
1.1558 |
|