CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 07-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Jun-2011 |
07-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1989 |
1.1984 |
-0.0005 |
0.0% |
1.1759 |
| High |
1.2014 |
1.2017 |
0.0003 |
0.0% |
1.2010 |
| Low |
1.1934 |
1.1925 |
-0.0009 |
-0.1% |
1.1710 |
| Close |
1.1960 |
1.1948 |
-0.0012 |
-0.1% |
1.1967 |
| Range |
0.0080 |
0.0092 |
0.0012 |
15.0% |
0.0300 |
| ATR |
0.0118 |
0.0116 |
-0.0002 |
-1.6% |
0.0000 |
| Volume |
4,769 |
12,646 |
7,877 |
165.2% |
4,691 |
|
| Daily Pivots for day following 07-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2239 |
1.2186 |
1.1999 |
|
| R3 |
1.2147 |
1.2094 |
1.1973 |
|
| R2 |
1.2055 |
1.2055 |
1.1965 |
|
| R1 |
1.2002 |
1.2002 |
1.1956 |
1.1983 |
| PP |
1.1963 |
1.1963 |
1.1963 |
1.1954 |
| S1 |
1.1910 |
1.1910 |
1.1940 |
1.1891 |
| S2 |
1.1871 |
1.1871 |
1.1931 |
|
| S3 |
1.1779 |
1.1818 |
1.1923 |
|
| S4 |
1.1687 |
1.1726 |
1.1897 |
|
|
| 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 |
1.2017 |
1.1717 |
0.0300 |
2.5% |
0.0123 |
1.0% |
77% |
True |
False |
4,170 |
| 10 |
1.2017 |
1.1253 |
0.0764 |
6.4% |
0.0128 |
1.1% |
91% |
True |
False |
2,353 |
| 20 |
1.2017 |
1.1195 |
0.0822 |
6.9% |
0.0121 |
1.0% |
92% |
True |
False |
1,231 |
| 40 |
1.2017 |
1.1005 |
0.1012 |
8.5% |
0.0104 |
0.9% |
93% |
True |
False |
646 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.8% |
0.0087 |
0.7% |
95% |
True |
False |
436 |
| 80 |
1.2017 |
1.0291 |
0.1726 |
14.4% |
0.0067 |
0.6% |
96% |
True |
False |
328 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.4% |
0.0054 |
0.5% |
96% |
True |
False |
262 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2408 |
|
2.618 |
1.2258 |
|
1.618 |
1.2166 |
|
1.000 |
1.2109 |
|
0.618 |
1.2074 |
|
HIGH |
1.2017 |
|
0.618 |
1.1982 |
|
0.500 |
1.1971 |
|
0.382 |
1.1960 |
|
LOW |
1.1925 |
|
0.618 |
1.1868 |
|
1.000 |
1.1833 |
|
1.618 |
1.1776 |
|
2.618 |
1.1684 |
|
4.250 |
1.1534 |
|
|
| Fisher Pivots for day following 07-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1971 |
1.1943 |
| PP |
1.1963 |
1.1939 |
| S1 |
1.1956 |
1.1934 |
|