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
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
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 0.0031
Widest range in 4 trading days
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

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

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