CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 14-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Jun-2011 |
14-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1870 |
1.1950 |
0.0080 |
0.7% |
1.1989 |
| High |
1.1978 |
1.1986 |
0.0008 |
0.1% |
1.2017 |
| Low |
1.1815 |
1.1830 |
0.0015 |
0.1% |
1.1845 |
| Close |
1.1941 |
1.1849 |
-0.0092 |
-0.8% |
1.1883 |
| Range |
0.0163 |
0.0156 |
-0.0007 |
-4.3% |
0.0172 |
| ATR |
0.0113 |
0.0116 |
0.0003 |
2.8% |
0.0000 |
| Volume |
33,146 |
47,183 |
14,037 |
42.3% |
120,045 |
|
| Daily Pivots for day following 14-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2356 |
1.2259 |
1.1935 |
|
| R3 |
1.2200 |
1.2103 |
1.1892 |
|
| R2 |
1.2044 |
1.2044 |
1.1878 |
|
| R1 |
1.1947 |
1.1947 |
1.1863 |
1.1918 |
| PP |
1.1888 |
1.1888 |
1.1888 |
1.1874 |
| S1 |
1.1791 |
1.1791 |
1.1835 |
1.1762 |
| S2 |
1.1732 |
1.1732 |
1.1820 |
|
| S3 |
1.1576 |
1.1635 |
1.1806 |
|
| S4 |
1.1420 |
1.1479 |
1.1763 |
|
|
| Weekly Pivots for week ending 10-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2431 |
1.2329 |
1.1978 |
|
| R3 |
1.2259 |
1.2157 |
1.1930 |
|
| R2 |
1.2087 |
1.2087 |
1.1915 |
|
| R1 |
1.1985 |
1.1985 |
1.1899 |
1.1950 |
| PP |
1.1915 |
1.1915 |
1.1915 |
1.1898 |
| S1 |
1.1813 |
1.1813 |
1.1867 |
1.1778 |
| S2 |
1.1743 |
1.1743 |
1.1851 |
|
| S3 |
1.1571 |
1.1641 |
1.1836 |
|
| S4 |
1.1399 |
1.1469 |
1.1788 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1986 |
1.1815 |
0.0171 |
1.4% |
0.0111 |
0.9% |
20% |
True |
False |
36,591 |
| 10 |
1.2017 |
1.1717 |
0.0300 |
2.5% |
0.0117 |
1.0% |
44% |
False |
False |
20,381 |
| 20 |
1.2017 |
1.1253 |
0.0764 |
6.4% |
0.0116 |
1.0% |
78% |
False |
False |
10,357 |
| 40 |
1.2017 |
1.1122 |
0.0895 |
7.6% |
0.0111 |
0.9% |
81% |
False |
False |
5,217 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.9% |
0.0094 |
0.8% |
87% |
False |
False |
3,484 |
| 80 |
1.2017 |
1.0560 |
0.1457 |
12.3% |
0.0074 |
0.6% |
88% |
False |
False |
2,615 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.6% |
0.0059 |
0.5% |
90% |
False |
False |
2,092 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2649 |
|
2.618 |
1.2394 |
|
1.618 |
1.2238 |
|
1.000 |
1.2142 |
|
0.618 |
1.2082 |
|
HIGH |
1.1986 |
|
0.618 |
1.1926 |
|
0.500 |
1.1908 |
|
0.382 |
1.1890 |
|
LOW |
1.1830 |
|
0.618 |
1.1734 |
|
1.000 |
1.1674 |
|
1.618 |
1.1578 |
|
2.618 |
1.1422 |
|
4.250 |
1.1167 |
|
|
| Fisher Pivots for day following 14-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1908 |
1.1901 |
| PP |
1.1888 |
1.1883 |
| S1 |
1.1869 |
1.1866 |
|