CME Swiss Franc Future September 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 |
1.1984 |
1.1965 |
-0.0019 |
-0.2% |
1.1759 |
| High |
1.2017 |
1.1986 |
-0.0031 |
-0.3% |
1.2010 |
| Low |
1.1925 |
1.1939 |
0.0014 |
0.1% |
1.1710 |
| Close |
1.1948 |
1.1955 |
0.0007 |
0.1% |
1.1967 |
| Range |
0.0092 |
0.0047 |
-0.0045 |
-48.9% |
0.0300 |
| ATR |
0.0116 |
0.0111 |
-0.0005 |
-4.2% |
0.0000 |
| Volume |
12,646 |
25,640 |
12,994 |
102.8% |
4,691 |
|
| Daily Pivots for day following 08-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2101 |
1.2075 |
1.1981 |
|
| R3 |
1.2054 |
1.2028 |
1.1968 |
|
| R2 |
1.2007 |
1.2007 |
1.1964 |
|
| R1 |
1.1981 |
1.1981 |
1.1959 |
1.1971 |
| PP |
1.1960 |
1.1960 |
1.1960 |
1.1955 |
| S1 |
1.1934 |
1.1934 |
1.1951 |
1.1924 |
| S2 |
1.1913 |
1.1913 |
1.1946 |
|
| S3 |
1.1866 |
1.1887 |
1.1942 |
|
| S4 |
1.1819 |
1.1840 |
1.1929 |
|
|
| 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 |
1.1840 |
0.0177 |
1.5% |
0.0089 |
0.7% |
65% |
False |
False |
9,122 |
| 10 |
1.2017 |
1.1360 |
0.0657 |
5.5% |
0.0119 |
1.0% |
91% |
False |
False |
4,896 |
| 20 |
1.2017 |
1.1195 |
0.0822 |
6.9% |
0.0116 |
1.0% |
92% |
False |
False |
2,511 |
| 40 |
1.2017 |
1.1055 |
0.0962 |
8.0% |
0.0104 |
0.9% |
94% |
False |
False |
1,287 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.8% |
0.0088 |
0.7% |
95% |
False |
False |
864 |
| 80 |
1.2017 |
1.0328 |
0.1689 |
14.1% |
0.0068 |
0.6% |
96% |
False |
False |
648 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.4% |
0.0054 |
0.5% |
96% |
False |
False |
519 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2186 |
|
2.618 |
1.2109 |
|
1.618 |
1.2062 |
|
1.000 |
1.2033 |
|
0.618 |
1.2015 |
|
HIGH |
1.1986 |
|
0.618 |
1.1968 |
|
0.500 |
1.1963 |
|
0.382 |
1.1957 |
|
LOW |
1.1939 |
|
0.618 |
1.1910 |
|
1.000 |
1.1892 |
|
1.618 |
1.1863 |
|
2.618 |
1.1816 |
|
4.250 |
1.1739 |
|
|
| Fisher Pivots for day following 08-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1963 |
1.1971 |
| PP |
1.1960 |
1.1966 |
| S1 |
1.1958 |
1.1960 |
|