CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 24-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Jun-2011 |
24-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1920 |
1.1936 |
0.0016 |
0.1% |
1.1786 |
| High |
1.1963 |
1.2052 |
0.0089 |
0.7% |
1.2052 |
| Low |
1.1855 |
1.1918 |
0.0063 |
0.5% |
1.1748 |
| Close |
1.1936 |
1.1946 |
0.0010 |
0.1% |
1.1946 |
| Range |
0.0108 |
0.0134 |
0.0026 |
24.1% |
0.0304 |
| ATR |
0.0117 |
0.0118 |
0.0001 |
1.1% |
0.0000 |
| Volume |
46,992 |
31,109 |
-15,883 |
-33.8% |
181,572 |
|
| Daily Pivots for day following 24-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2374 |
1.2294 |
1.2020 |
|
| R3 |
1.2240 |
1.2160 |
1.1983 |
|
| R2 |
1.2106 |
1.2106 |
1.1971 |
|
| R1 |
1.2026 |
1.2026 |
1.1958 |
1.2066 |
| PP |
1.1972 |
1.1972 |
1.1972 |
1.1992 |
| S1 |
1.1892 |
1.1892 |
1.1934 |
1.1932 |
| S2 |
1.1838 |
1.1838 |
1.1921 |
|
| S3 |
1.1704 |
1.1758 |
1.1909 |
|
| S4 |
1.1570 |
1.1624 |
1.1872 |
|
|
| Weekly Pivots for week ending 24-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2827 |
1.2691 |
1.2113 |
|
| R3 |
1.2523 |
1.2387 |
1.2030 |
|
| R2 |
1.2219 |
1.2219 |
1.2002 |
|
| R1 |
1.2083 |
1.2083 |
1.1974 |
1.2151 |
| PP |
1.1915 |
1.1915 |
1.1915 |
1.1950 |
| S1 |
1.1779 |
1.1779 |
1.1918 |
1.1847 |
| S2 |
1.1611 |
1.1611 |
1.1890 |
|
| S3 |
1.1307 |
1.1475 |
1.1862 |
|
| S4 |
1.1003 |
1.1171 |
1.1779 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2052 |
1.1748 |
0.0304 |
2.5% |
0.0123 |
1.0% |
65% |
True |
False |
36,314 |
| 10 |
1.2052 |
1.1701 |
0.0351 |
2.9% |
0.0128 |
1.1% |
70% |
True |
False |
40,284 |
| 20 |
1.2052 |
1.1565 |
0.0487 |
4.1% |
0.0122 |
1.0% |
78% |
True |
False |
26,393 |
| 40 |
1.2052 |
1.1195 |
0.0857 |
7.2% |
0.0117 |
1.0% |
88% |
True |
False |
13,271 |
| 60 |
1.2052 |
1.0725 |
0.1327 |
11.1% |
0.0101 |
0.8% |
92% |
True |
False |
8,857 |
| 80 |
1.2052 |
1.0696 |
0.1356 |
11.4% |
0.0085 |
0.7% |
92% |
True |
False |
6,646 |
| 100 |
1.2052 |
1.0291 |
0.1761 |
14.7% |
0.0069 |
0.6% |
94% |
True |
False |
5,317 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2622 |
|
2.618 |
1.2403 |
|
1.618 |
1.2269 |
|
1.000 |
1.2186 |
|
0.618 |
1.2135 |
|
HIGH |
1.2052 |
|
0.618 |
1.2001 |
|
0.500 |
1.1985 |
|
0.382 |
1.1969 |
|
LOW |
1.1918 |
|
0.618 |
1.1835 |
|
1.000 |
1.1784 |
|
1.618 |
1.1701 |
|
2.618 |
1.1567 |
|
4.250 |
1.1349 |
|
|
| Fisher Pivots for day following 24-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1985 |
1.1954 |
| PP |
1.1972 |
1.1951 |
| S1 |
1.1959 |
1.1949 |
|