CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 17-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
16-Jun-2011 |
17-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1727 |
1.1805 |
0.0078 |
0.7% |
1.1870 |
| High |
1.1807 |
1.1853 |
0.0046 |
0.4% |
1.1986 |
| Low |
1.1705 |
1.1759 |
0.0054 |
0.5% |
1.1701 |
| Close |
1.1771 |
1.1795 |
0.0024 |
0.2% |
1.1795 |
| Range |
0.0102 |
0.0094 |
-0.0008 |
-7.8% |
0.0285 |
| ATR |
0.0117 |
0.0115 |
-0.0002 |
-1.4% |
0.0000 |
| Volume |
47,116 |
39,590 |
-7,526 |
-16.0% |
221,271 |
|
| Daily Pivots for day following 17-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2084 |
1.2034 |
1.1847 |
|
| R3 |
1.1990 |
1.1940 |
1.1821 |
|
| R2 |
1.1896 |
1.1896 |
1.1812 |
|
| R1 |
1.1846 |
1.1846 |
1.1804 |
1.1824 |
| PP |
1.1802 |
1.1802 |
1.1802 |
1.1792 |
| S1 |
1.1752 |
1.1752 |
1.1786 |
1.1730 |
| S2 |
1.1708 |
1.1708 |
1.1778 |
|
| S3 |
1.1614 |
1.1658 |
1.1769 |
|
| S4 |
1.1520 |
1.1564 |
1.1743 |
|
|
| Weekly Pivots for week ending 17-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2682 |
1.2524 |
1.1952 |
|
| R3 |
1.2397 |
1.2239 |
1.1873 |
|
| R2 |
1.2112 |
1.2112 |
1.1847 |
|
| R1 |
1.1954 |
1.1954 |
1.1821 |
1.1891 |
| PP |
1.1827 |
1.1827 |
1.1827 |
1.1796 |
| S1 |
1.1669 |
1.1669 |
1.1769 |
1.1606 |
| S2 |
1.1542 |
1.1542 |
1.1743 |
|
| S3 |
1.1257 |
1.1384 |
1.1717 |
|
| S4 |
1.0972 |
1.1099 |
1.1638 |
|
|
| 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% |
0.0133 |
1.1% |
33% |
False |
False |
44,254 |
| 10 |
1.2017 |
1.1701 |
0.0316 |
2.7% |
0.0108 |
0.9% |
30% |
False |
False |
34,131 |
| 20 |
1.2017 |
1.1253 |
0.0764 |
6.5% |
0.0119 |
1.0% |
71% |
False |
False |
17,386 |
| 40 |
1.2017 |
1.1195 |
0.0822 |
7.0% |
0.0115 |
1.0% |
73% |
False |
False |
8,736 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
11.0% |
0.0097 |
0.8% |
83% |
False |
False |
5,832 |
| 80 |
1.2017 |
1.0696 |
0.1321 |
11.2% |
0.0077 |
0.7% |
83% |
False |
False |
4,376 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.6% |
0.0063 |
0.5% |
87% |
False |
False |
3,501 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2253 |
|
2.618 |
1.2099 |
|
1.618 |
1.2005 |
|
1.000 |
1.1947 |
|
0.618 |
1.1911 |
|
HIGH |
1.1853 |
|
0.618 |
1.1817 |
|
0.500 |
1.1806 |
|
0.382 |
1.1795 |
|
LOW |
1.1759 |
|
0.618 |
1.1701 |
|
1.000 |
1.1665 |
|
1.618 |
1.1607 |
|
2.618 |
1.1513 |
|
4.250 |
1.1360 |
|
|
| Fisher Pivots for day following 17-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1806 |
1.1789 |
| PP |
1.1802 |
1.1783 |
| S1 |
1.1799 |
1.1777 |
|