CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 22-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Jun-2011 |
22-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1825 |
1.1903 |
0.0078 |
0.7% |
1.1870 |
| High |
1.1912 |
1.1997 |
0.0085 |
0.7% |
1.1986 |
| Low |
1.1825 |
1.1866 |
0.0041 |
0.3% |
1.1701 |
| Close |
1.1905 |
1.1926 |
0.0021 |
0.2% |
1.1795 |
| Range |
0.0087 |
0.0131 |
0.0044 |
50.6% |
0.0285 |
| ATR |
0.0116 |
0.0117 |
0.0001 |
0.9% |
0.0000 |
| Volume |
28,653 |
39,095 |
10,442 |
36.4% |
221,271 |
|
| Daily Pivots for day following 22-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2323 |
1.2255 |
1.1998 |
|
| R3 |
1.2192 |
1.2124 |
1.1962 |
|
| R2 |
1.2061 |
1.2061 |
1.1950 |
|
| R1 |
1.1993 |
1.1993 |
1.1938 |
1.2027 |
| PP |
1.1930 |
1.1930 |
1.1930 |
1.1947 |
| S1 |
1.1862 |
1.1862 |
1.1914 |
1.1896 |
| S2 |
1.1799 |
1.1799 |
1.1902 |
|
| S3 |
1.1668 |
1.1731 |
1.1890 |
|
| S4 |
1.1537 |
1.1600 |
1.1854 |
|
|
| 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 |
1.1997 |
1.1705 |
0.0292 |
2.4% |
0.0114 |
1.0% |
76% |
True |
False |
38,035 |
| 10 |
1.1997 |
1.1701 |
0.0296 |
2.5% |
0.0123 |
1.0% |
76% |
True |
False |
40,173 |
| 20 |
1.2017 |
1.1360 |
0.0657 |
5.5% |
0.0121 |
1.0% |
86% |
False |
False |
22,534 |
| 40 |
1.2017 |
1.1195 |
0.0822 |
6.9% |
0.0117 |
1.0% |
89% |
False |
False |
11,320 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.8% |
0.0099 |
0.8% |
93% |
False |
False |
7,556 |
| 80 |
1.2017 |
1.0696 |
0.1321 |
11.1% |
0.0082 |
0.7% |
93% |
False |
False |
5,670 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.5% |
0.0067 |
0.6% |
95% |
False |
False |
4,536 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2554 |
|
2.618 |
1.2340 |
|
1.618 |
1.2209 |
|
1.000 |
1.2128 |
|
0.618 |
1.2078 |
|
HIGH |
1.1997 |
|
0.618 |
1.1947 |
|
0.500 |
1.1932 |
|
0.382 |
1.1916 |
|
LOW |
1.1866 |
|
0.618 |
1.1785 |
|
1.000 |
1.1735 |
|
1.618 |
1.1654 |
|
2.618 |
1.1523 |
|
4.250 |
1.1309 |
|
|
| Fisher Pivots for day following 22-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1932 |
1.1908 |
| PP |
1.1930 |
1.1890 |
| S1 |
1.1928 |
1.1873 |
|