CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 27-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jun-2011 |
27-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1936 |
1.1990 |
0.0054 |
0.5% |
1.1786 |
| High |
1.2052 |
1.2029 |
-0.0023 |
-0.2% |
1.2052 |
| Low |
1.1918 |
1.1934 |
0.0016 |
0.1% |
1.1748 |
| Close |
1.1946 |
1.1963 |
0.0017 |
0.1% |
1.1946 |
| Range |
0.0134 |
0.0095 |
-0.0039 |
-29.1% |
0.0304 |
| ATR |
0.0118 |
0.0116 |
-0.0002 |
-1.4% |
0.0000 |
| Volume |
31,109 |
36,757 |
5,648 |
18.2% |
181,572 |
|
| Daily Pivots for day following 27-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2260 |
1.2207 |
1.2015 |
|
| R3 |
1.2165 |
1.2112 |
1.1989 |
|
| R2 |
1.2070 |
1.2070 |
1.1980 |
|
| R1 |
1.2017 |
1.2017 |
1.1972 |
1.1996 |
| PP |
1.1975 |
1.1975 |
1.1975 |
1.1965 |
| S1 |
1.1922 |
1.1922 |
1.1954 |
1.1901 |
| S2 |
1.1880 |
1.1880 |
1.1946 |
|
| S3 |
1.1785 |
1.1827 |
1.1937 |
|
| S4 |
1.1690 |
1.1732 |
1.1911 |
|
|
| 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 |
1.1825 |
0.0227 |
1.9% |
0.0111 |
0.9% |
61% |
False |
False |
36,521 |
| 10 |
1.2052 |
1.1701 |
0.0351 |
2.9% |
0.0121 |
1.0% |
75% |
False |
False |
40,645 |
| 20 |
1.2052 |
1.1701 |
0.0351 |
2.9% |
0.0117 |
1.0% |
75% |
False |
False |
28,216 |
| 40 |
1.2052 |
1.1195 |
0.0857 |
7.2% |
0.0117 |
1.0% |
90% |
False |
False |
14,189 |
| 60 |
1.2052 |
1.0725 |
0.1327 |
11.1% |
0.0102 |
0.9% |
93% |
False |
False |
9,469 |
| 80 |
1.2052 |
1.0696 |
0.1356 |
11.3% |
0.0086 |
0.7% |
93% |
False |
False |
7,105 |
| 100 |
1.2052 |
1.0291 |
0.1761 |
14.7% |
0.0070 |
0.6% |
95% |
False |
False |
5,684 |
| 120 |
1.2052 |
1.0291 |
0.1761 |
14.7% |
0.0058 |
0.5% |
95% |
False |
False |
4,737 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2433 |
|
2.618 |
1.2278 |
|
1.618 |
1.2183 |
|
1.000 |
1.2124 |
|
0.618 |
1.2088 |
|
HIGH |
1.2029 |
|
0.618 |
1.1993 |
|
0.500 |
1.1982 |
|
0.382 |
1.1970 |
|
LOW |
1.1934 |
|
0.618 |
1.1875 |
|
1.000 |
1.1839 |
|
1.618 |
1.1780 |
|
2.618 |
1.1685 |
|
4.250 |
1.1530 |
|
|
| Fisher Pivots for day following 27-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1982 |
1.1960 |
| PP |
1.1975 |
1.1957 |
| S1 |
1.1969 |
1.1954 |
|