CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 09-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Jun-2011 |
09-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1965 |
1.1971 |
0.0006 |
0.1% |
1.1759 |
| High |
1.1986 |
1.1975 |
-0.0011 |
-0.1% |
1.2010 |
| Low |
1.1939 |
1.1845 |
-0.0094 |
-0.8% |
1.1710 |
| Close |
1.1955 |
1.1881 |
-0.0074 |
-0.6% |
1.1967 |
| Range |
0.0047 |
0.0130 |
0.0083 |
176.6% |
0.0300 |
| ATR |
0.0111 |
0.0112 |
0.0001 |
1.2% |
0.0000 |
| Volume |
25,640 |
36,142 |
10,502 |
41.0% |
4,691 |
|
| Daily Pivots for day following 09-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2290 |
1.2216 |
1.1953 |
|
| R3 |
1.2160 |
1.2086 |
1.1917 |
|
| R2 |
1.2030 |
1.2030 |
1.1905 |
|
| R1 |
1.1956 |
1.1956 |
1.1893 |
1.1928 |
| PP |
1.1900 |
1.1900 |
1.1900 |
1.1887 |
| S1 |
1.1826 |
1.1826 |
1.1869 |
1.1798 |
| S2 |
1.1770 |
1.1770 |
1.1857 |
|
| S3 |
1.1640 |
1.1696 |
1.1845 |
|
| S4 |
1.1510 |
1.1566 |
1.1810 |
|
|
| 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 |
1.1845 |
0.0172 |
1.4% |
0.0102 |
0.9% |
21% |
False |
True |
16,151 |
| 10 |
1.2017 |
1.1468 |
0.0549 |
4.6% |
0.0119 |
1.0% |
75% |
False |
False |
8,466 |
| 20 |
1.2017 |
1.1195 |
0.0822 |
6.9% |
0.0117 |
1.0% |
83% |
False |
False |
4,313 |
| 40 |
1.2017 |
1.1122 |
0.0895 |
7.5% |
0.0105 |
0.9% |
85% |
False |
False |
2,190 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.9% |
0.0090 |
0.8% |
89% |
False |
False |
1,466 |
| 80 |
1.2017 |
1.0366 |
0.1651 |
13.9% |
0.0070 |
0.6% |
92% |
False |
False |
1,100 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.5% |
0.0056 |
0.5% |
92% |
False |
False |
880 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2528 |
|
2.618 |
1.2315 |
|
1.618 |
1.2185 |
|
1.000 |
1.2105 |
|
0.618 |
1.2055 |
|
HIGH |
1.1975 |
|
0.618 |
1.1925 |
|
0.500 |
1.1910 |
|
0.382 |
1.1895 |
|
LOW |
1.1845 |
|
0.618 |
1.1765 |
|
1.000 |
1.1715 |
|
1.618 |
1.1635 |
|
2.618 |
1.1505 |
|
4.250 |
1.1293 |
|
|
| Fisher Pivots for day following 09-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1910 |
1.1931 |
| PP |
1.1900 |
1.1914 |
| S1 |
1.1891 |
1.1898 |
|