CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 23-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Jun-2011 |
23-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1903 |
1.1920 |
0.0017 |
0.1% |
1.1870 |
| High |
1.1997 |
1.1963 |
-0.0034 |
-0.3% |
1.1986 |
| Low |
1.1866 |
1.1855 |
-0.0011 |
-0.1% |
1.1701 |
| Close |
1.1926 |
1.1936 |
0.0010 |
0.1% |
1.1795 |
| Range |
0.0131 |
0.0108 |
-0.0023 |
-17.6% |
0.0285 |
| ATR |
0.0117 |
0.0117 |
-0.0001 |
-0.6% |
0.0000 |
| Volume |
39,095 |
46,992 |
7,897 |
20.2% |
221,271 |
|
| Daily Pivots for day following 23-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2242 |
1.2197 |
1.1995 |
|
| R3 |
1.2134 |
1.2089 |
1.1966 |
|
| R2 |
1.2026 |
1.2026 |
1.1956 |
|
| R1 |
1.1981 |
1.1981 |
1.1946 |
1.2004 |
| PP |
1.1918 |
1.1918 |
1.1918 |
1.1929 |
| S1 |
1.1873 |
1.1873 |
1.1926 |
1.1896 |
| S2 |
1.1810 |
1.1810 |
1.1916 |
|
| S3 |
1.1702 |
1.1765 |
1.1906 |
|
| S4 |
1.1594 |
1.1657 |
1.1877 |
|
|
| 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 |
1.1748 |
0.0249 |
2.1% |
0.0115 |
1.0% |
76% |
False |
False |
38,010 |
| 10 |
1.1997 |
1.1701 |
0.0296 |
2.5% |
0.0121 |
1.0% |
79% |
False |
False |
41,258 |
| 20 |
1.2017 |
1.1468 |
0.0549 |
4.6% |
0.0120 |
1.0% |
85% |
False |
False |
24,862 |
| 40 |
1.2017 |
1.1195 |
0.0822 |
6.9% |
0.0115 |
1.0% |
90% |
False |
False |
12,494 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.8% |
0.0100 |
0.8% |
94% |
False |
False |
8,339 |
| 80 |
1.2017 |
1.0696 |
0.1321 |
11.1% |
0.0083 |
0.7% |
94% |
False |
False |
6,257 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.5% |
0.0068 |
0.6% |
95% |
False |
False |
5,006 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2422 |
|
2.618 |
1.2246 |
|
1.618 |
1.2138 |
|
1.000 |
1.2071 |
|
0.618 |
1.2030 |
|
HIGH |
1.1963 |
|
0.618 |
1.1922 |
|
0.500 |
1.1909 |
|
0.382 |
1.1896 |
|
LOW |
1.1855 |
|
0.618 |
1.1788 |
|
1.000 |
1.1747 |
|
1.618 |
1.1680 |
|
2.618 |
1.1572 |
|
4.250 |
1.1396 |
|
|
| Fisher Pivots for day following 23-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1927 |
1.1928 |
| PP |
1.1918 |
1.1919 |
| S1 |
1.1909 |
1.1911 |
|