CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 31-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-May-2011 |
31-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1565 |
1.1759 |
0.0194 |
1.7% |
1.1397 |
| High |
1.1755 |
1.1815 |
0.0060 |
0.5% |
1.1755 |
| Low |
1.1565 |
1.1710 |
0.0145 |
1.3% |
1.1253 |
| Close |
1.1730 |
1.1728 |
-0.0002 |
0.0% |
1.1730 |
| Range |
0.0190 |
0.0105 |
-0.0085 |
-44.7% |
0.0502 |
| ATR |
0.0115 |
0.0114 |
-0.0001 |
-0.6% |
0.0000 |
| Volume |
292 |
1,254 |
962 |
329.5% |
1,579 |
|
| Daily Pivots for day following 31-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2066 |
1.2002 |
1.1786 |
|
| R3 |
1.1961 |
1.1897 |
1.1757 |
|
| R2 |
1.1856 |
1.1856 |
1.1747 |
|
| R1 |
1.1792 |
1.1792 |
1.1738 |
1.1772 |
| PP |
1.1751 |
1.1751 |
1.1751 |
1.1741 |
| S1 |
1.1687 |
1.1687 |
1.1718 |
1.1667 |
| S2 |
1.1646 |
1.1646 |
1.1709 |
|
| S3 |
1.1541 |
1.1582 |
1.1699 |
|
| S4 |
1.1436 |
1.1477 |
1.1670 |
|
|
| 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 |
1.1815 |
1.1253 |
0.0562 |
4.8% |
0.0132 |
1.1% |
85% |
True |
False |
536 |
| 10 |
1.1815 |
1.1253 |
0.0562 |
4.8% |
0.0115 |
1.0% |
85% |
True |
False |
333 |
| 20 |
1.1815 |
1.1195 |
0.0620 |
5.3% |
0.0120 |
1.0% |
86% |
True |
False |
220 |
| 40 |
1.1815 |
1.0810 |
0.1005 |
8.6% |
0.0093 |
0.8% |
91% |
True |
False |
127 |
| 60 |
1.1815 |
1.0696 |
0.1119 |
9.5% |
0.0077 |
0.7% |
92% |
True |
False |
89 |
| 80 |
1.1815 |
1.0291 |
0.1524 |
13.0% |
0.0060 |
0.5% |
94% |
True |
False |
67 |
| 100 |
1.1815 |
1.0291 |
0.1524 |
13.0% |
0.0048 |
0.4% |
94% |
True |
False |
54 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2261 |
|
2.618 |
1.2090 |
|
1.618 |
1.1985 |
|
1.000 |
1.1920 |
|
0.618 |
1.1880 |
|
HIGH |
1.1815 |
|
0.618 |
1.1775 |
|
0.500 |
1.1763 |
|
0.382 |
1.1750 |
|
LOW |
1.1710 |
|
0.618 |
1.1645 |
|
1.000 |
1.1605 |
|
1.618 |
1.1540 |
|
2.618 |
1.1435 |
|
4.250 |
1.1264 |
|
|
| Fisher Pivots for day following 31-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1763 |
1.1699 |
| PP |
1.1751 |
1.1670 |
| S1 |
1.1740 |
1.1642 |
|