CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 20-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jun-2011 |
20-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1805 |
1.1786 |
-0.0019 |
-0.2% |
1.1870 |
| High |
1.1853 |
1.1904 |
0.0051 |
0.4% |
1.1986 |
| Low |
1.1759 |
1.1748 |
-0.0011 |
-0.1% |
1.1701 |
| Close |
1.1795 |
1.1822 |
0.0027 |
0.2% |
1.1795 |
| Range |
0.0094 |
0.0156 |
0.0062 |
66.0% |
0.0285 |
| ATR |
0.0115 |
0.0118 |
0.0003 |
2.5% |
0.0000 |
| Volume |
39,590 |
35,723 |
-3,867 |
-9.8% |
221,271 |
|
| Daily Pivots for day following 20-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2293 |
1.2213 |
1.1908 |
|
| R3 |
1.2137 |
1.2057 |
1.1865 |
|
| R2 |
1.1981 |
1.1981 |
1.1851 |
|
| R1 |
1.1901 |
1.1901 |
1.1836 |
1.1941 |
| PP |
1.1825 |
1.1825 |
1.1825 |
1.1845 |
| S1 |
1.1745 |
1.1745 |
1.1808 |
1.1785 |
| S2 |
1.1669 |
1.1669 |
1.1793 |
|
| S3 |
1.1513 |
1.1589 |
1.1779 |
|
| S4 |
1.1357 |
1.1433 |
1.1736 |
|
|
| 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% |
0.0132 |
1.1% |
42% |
False |
False |
44,769 |
| 10 |
1.2017 |
1.1701 |
0.0316 |
2.7% |
0.0115 |
1.0% |
38% |
False |
False |
37,227 |
| 20 |
1.2017 |
1.1253 |
0.0764 |
6.5% |
0.0122 |
1.0% |
74% |
False |
False |
19,165 |
| 40 |
1.2017 |
1.1195 |
0.0822 |
7.0% |
0.0116 |
1.0% |
76% |
False |
False |
9,629 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.9% |
0.0098 |
0.8% |
85% |
False |
False |
6,428 |
| 80 |
1.2017 |
1.0696 |
0.1321 |
11.2% |
0.0079 |
0.7% |
85% |
False |
False |
4,823 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.6% |
0.0064 |
0.5% |
89% |
False |
False |
3,858 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2567 |
|
2.618 |
1.2312 |
|
1.618 |
1.2156 |
|
1.000 |
1.2060 |
|
0.618 |
1.2000 |
|
HIGH |
1.1904 |
|
0.618 |
1.1844 |
|
0.500 |
1.1826 |
|
0.382 |
1.1808 |
|
LOW |
1.1748 |
|
0.618 |
1.1652 |
|
1.000 |
1.1592 |
|
1.618 |
1.1496 |
|
2.618 |
1.1340 |
|
4.250 |
1.1085 |
|
|
| Fisher Pivots for day following 20-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1826 |
1.1816 |
| PP |
1.1825 |
1.1810 |
| S1 |
1.1823 |
1.1805 |
|