CME Swiss Franc Future September 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 |
1.1880 |
1.1876 |
-0.0004 |
0.0% |
1.1759 |
| High |
1.1908 |
1.2010 |
0.0102 |
0.9% |
1.2010 |
| Low |
1.1840 |
1.1851 |
0.0011 |
0.1% |
1.1710 |
| Close |
1.1881 |
1.1967 |
0.0086 |
0.7% |
1.1967 |
| Range |
0.0068 |
0.0159 |
0.0091 |
133.8% |
0.0300 |
| ATR |
0.0118 |
0.0121 |
0.0003 |
2.5% |
0.0000 |
| Volume |
994 |
1,562 |
568 |
57.1% |
4,691 |
|
| Daily Pivots for day following 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2420 |
1.2352 |
1.2054 |
|
| R3 |
1.2261 |
1.2193 |
1.2011 |
|
| R2 |
1.2102 |
1.2102 |
1.1996 |
|
| R1 |
1.2034 |
1.2034 |
1.1982 |
1.2068 |
| PP |
1.1943 |
1.1943 |
1.1943 |
1.1960 |
| S1 |
1.1875 |
1.1875 |
1.1952 |
1.1909 |
| S2 |
1.1784 |
1.1784 |
1.1938 |
|
| S3 |
1.1625 |
1.1716 |
1.1923 |
|
| S4 |
1.1466 |
1.1557 |
1.1880 |
|
|
| Weekly Pivots for week ending 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2796 |
1.2681 |
1.2132 |
|
| R3 |
1.2496 |
1.2381 |
1.2050 |
|
| R2 |
1.2196 |
1.2196 |
1.2022 |
|
| R1 |
1.2081 |
1.2081 |
1.1995 |
1.2139 |
| PP |
1.1896 |
1.1896 |
1.1896 |
1.1924 |
| S1 |
1.1781 |
1.1781 |
1.1940 |
1.1839 |
| S2 |
1.1596 |
1.1596 |
1.1912 |
|
| S3 |
1.1296 |
1.1481 |
1.1885 |
|
| S4 |
1.0996 |
1.1181 |
1.1802 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2010 |
1.1565 |
0.0445 |
3.7% |
0.0148 |
1.2% |
90% |
True |
False |
996 |
| 10 |
1.2010 |
1.1253 |
0.0757 |
6.3% |
0.0130 |
1.1% |
94% |
True |
False |
642 |
| 20 |
1.2010 |
1.1195 |
0.0815 |
6.8% |
0.0122 |
1.0% |
95% |
True |
False |
377 |
| 40 |
1.2010 |
1.0910 |
0.1100 |
9.2% |
0.0101 |
0.8% |
96% |
True |
False |
211 |
| 60 |
1.2010 |
1.0725 |
0.1285 |
10.7% |
0.0084 |
0.7% |
97% |
True |
False |
146 |
| 80 |
1.2010 |
1.0291 |
0.1719 |
14.4% |
0.0065 |
0.5% |
97% |
True |
False |
110 |
| 100 |
1.2010 |
1.0291 |
0.1719 |
14.4% |
0.0052 |
0.4% |
97% |
True |
False |
88 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2686 |
|
2.618 |
1.2426 |
|
1.618 |
1.2267 |
|
1.000 |
1.2169 |
|
0.618 |
1.2108 |
|
HIGH |
1.2010 |
|
0.618 |
1.1949 |
|
0.500 |
1.1931 |
|
0.382 |
1.1912 |
|
LOW |
1.1851 |
|
0.618 |
1.1753 |
|
1.000 |
1.1692 |
|
1.618 |
1.1594 |
|
2.618 |
1.1435 |
|
4.250 |
1.1175 |
|
|
| Fisher Pivots for day following 03-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1955 |
1.1933 |
| PP |
1.1943 |
1.1898 |
| S1 |
1.1931 |
1.1864 |
|