CME Swiss Franc Future September 2011


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Trading Metrics calculated at close of trading on 21-Jun-2011
Day Change Summary
Previous Current
20-Jun-2011 21-Jun-2011 Change Change % Previous Week
Open 1.1786 1.1825 0.0039 0.3% 1.1870
High 1.1904 1.1912 0.0008 0.1% 1.1986
Low 1.1748 1.1825 0.0077 0.7% 1.1701
Close 1.1822 1.1905 0.0083 0.7% 1.1795
Range 0.0156 0.0087 -0.0069 -44.2% 0.0285
ATR 0.0118 0.0116 -0.0002 -1.7% 0.0000
Volume 35,723 28,653 -7,070 -19.8% 221,271
Daily Pivots for day following 21-Jun-2011
Classic Woodie Camarilla DeMark
R4 1.2142 1.2110 1.1953
R3 1.2055 1.2023 1.1929
R2 1.1968 1.1968 1.1921
R1 1.1936 1.1936 1.1913 1.1952
PP 1.1881 1.1881 1.1881 1.1889
S1 1.1849 1.1849 1.1897 1.1865
S2 1.1794 1.1794 1.1889
S3 1.1707 1.1762 1.1881
S4 1.1620 1.1675 1.1857
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 1.1912 1.1701 0.0211 1.8% 0.0118 1.0% 97% True False 41,063
10 1.1986 1.1701 0.0285 2.4% 0.0115 1.0% 72% False False 38,827
20 1.2017 1.1253 0.0764 6.4% 0.0121 1.0% 85% False False 20,590
40 1.2017 1.1195 0.0822 6.9% 0.0116 1.0% 86% False False 10,344
60 1.2017 1.0725 0.1292 10.9% 0.0098 0.8% 91% False False 6,905
80 1.2017 1.0696 0.1321 11.1% 0.0080 0.7% 92% False False 5,181
100 1.2017 1.0291 0.1726 14.5% 0.0065 0.5% 94% False False 4,145
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0026
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1.2282
2.618 1.2140
1.618 1.2053
1.000 1.1999
0.618 1.1966
HIGH 1.1912
0.618 1.1879
0.500 1.1869
0.382 1.1858
LOW 1.1825
0.618 1.1771
1.000 1.1738
1.618 1.1684
2.618 1.1597
4.250 1.1455
Fisher Pivots for day following 21-Jun-2011
Pivot 1 day 3 day
R1 1.1893 1.1880
PP 1.1881 1.1855
S1 1.1869 1.1830

These figures are updated between 7pm and 10pm EST after a trading day.

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