CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 16-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Jun-2011 |
16-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1837 |
1.1727 |
-0.0110 |
-0.9% |
1.1989 |
| High |
1.1851 |
1.1807 |
-0.0044 |
-0.4% |
1.2017 |
| Low |
1.1701 |
1.1705 |
0.0004 |
0.0% |
1.1845 |
| Close |
1.1728 |
1.1771 |
0.0043 |
0.4% |
1.1883 |
| Range |
0.0150 |
0.0102 |
-0.0048 |
-32.0% |
0.0172 |
| ATR |
0.0118 |
0.0117 |
-0.0001 |
-1.0% |
0.0000 |
| Volume |
54,236 |
47,116 |
-7,120 |
-13.1% |
120,045 |
|
| Daily Pivots for day following 16-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2067 |
1.2021 |
1.1827 |
|
| R3 |
1.1965 |
1.1919 |
1.1799 |
|
| R2 |
1.1863 |
1.1863 |
1.1790 |
|
| R1 |
1.1817 |
1.1817 |
1.1780 |
1.1840 |
| PP |
1.1761 |
1.1761 |
1.1761 |
1.1773 |
| S1 |
1.1715 |
1.1715 |
1.1762 |
1.1738 |
| S2 |
1.1659 |
1.1659 |
1.1752 |
|
| S3 |
1.1557 |
1.1613 |
1.1743 |
|
| S4 |
1.1455 |
1.1511 |
1.1715 |
|
|
| 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 |
1.1701 |
0.0285 |
2.4% |
0.0126 |
1.1% |
25% |
False |
False |
44,505 |
| 10 |
1.2017 |
1.1701 |
0.0316 |
2.7% |
0.0114 |
1.0% |
22% |
False |
False |
30,328 |
| 20 |
1.2017 |
1.1253 |
0.0764 |
6.5% |
0.0121 |
1.0% |
68% |
False |
False |
15,415 |
| 40 |
1.2017 |
1.1145 |
0.0872 |
7.4% |
0.0115 |
1.0% |
72% |
False |
False |
7,746 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
11.0% |
0.0097 |
0.8% |
81% |
False |
False |
5,173 |
| 80 |
1.2017 |
1.0696 |
0.1321 |
11.2% |
0.0076 |
0.6% |
81% |
False |
False |
3,881 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.7% |
0.0062 |
0.5% |
86% |
False |
False |
3,105 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2241 |
|
2.618 |
1.2074 |
|
1.618 |
1.1972 |
|
1.000 |
1.1909 |
|
0.618 |
1.1870 |
|
HIGH |
1.1807 |
|
0.618 |
1.1768 |
|
0.500 |
1.1756 |
|
0.382 |
1.1744 |
|
LOW |
1.1705 |
|
0.618 |
1.1642 |
|
1.000 |
1.1603 |
|
1.618 |
1.1540 |
|
2.618 |
1.1438 |
|
4.250 |
1.1272 |
|
|
| Fisher Pivots for day following 16-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1766 |
1.1844 |
| PP |
1.1761 |
1.1819 |
| S1 |
1.1756 |
1.1795 |
|