CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 28-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jun-2011 |
28-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1990 |
1.1983 |
-0.0007 |
-0.1% |
1.1786 |
| High |
1.2029 |
1.2091 |
0.0062 |
0.5% |
1.2052 |
| Low |
1.1934 |
1.1963 |
0.0029 |
0.2% |
1.1748 |
| Close |
1.1963 |
1.2026 |
0.0063 |
0.5% |
1.1946 |
| Range |
0.0095 |
0.0128 |
0.0033 |
34.7% |
0.0304 |
| ATR |
0.0116 |
0.0117 |
0.0001 |
0.7% |
0.0000 |
| Volume |
36,757 |
42,617 |
5,860 |
15.9% |
181,572 |
|
| Daily Pivots for day following 28-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2411 |
1.2346 |
1.2096 |
|
| R3 |
1.2283 |
1.2218 |
1.2061 |
|
| R2 |
1.2155 |
1.2155 |
1.2049 |
|
| R1 |
1.2090 |
1.2090 |
1.2038 |
1.2123 |
| PP |
1.2027 |
1.2027 |
1.2027 |
1.2043 |
| S1 |
1.1962 |
1.1962 |
1.2014 |
1.1995 |
| S2 |
1.1899 |
1.1899 |
1.2003 |
|
| S3 |
1.1771 |
1.1834 |
1.1991 |
|
| S4 |
1.1643 |
1.1706 |
1.1956 |
|
|
| 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 |
1.2091 |
1.1855 |
0.0236 |
2.0% |
0.0119 |
1.0% |
72% |
True |
False |
39,314 |
| 10 |
1.2091 |
1.1701 |
0.0390 |
3.2% |
0.0119 |
1.0% |
83% |
True |
False |
40,188 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.2% |
0.0118 |
1.0% |
83% |
True |
False |
30,284 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.5% |
0.0119 |
1.0% |
93% |
True |
False |
15,252 |
| 60 |
1.2091 |
1.0810 |
0.1281 |
10.7% |
0.0101 |
0.8% |
95% |
True |
False |
10,179 |
| 80 |
1.2091 |
1.0696 |
0.1395 |
11.6% |
0.0087 |
0.7% |
95% |
True |
False |
7,638 |
| 100 |
1.2091 |
1.0291 |
0.1800 |
15.0% |
0.0071 |
0.6% |
96% |
True |
False |
6,110 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.0% |
0.0059 |
0.5% |
96% |
True |
False |
5,092 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2635 |
|
2.618 |
1.2426 |
|
1.618 |
1.2298 |
|
1.000 |
1.2219 |
|
0.618 |
1.2170 |
|
HIGH |
1.2091 |
|
0.618 |
1.2042 |
|
0.500 |
1.2027 |
|
0.382 |
1.2012 |
|
LOW |
1.1963 |
|
0.618 |
1.1884 |
|
1.000 |
1.1835 |
|
1.618 |
1.1756 |
|
2.618 |
1.1628 |
|
4.250 |
1.1419 |
|
|
| Fisher Pivots for day following 28-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2027 |
1.2019 |
| PP |
1.2027 |
1.2012 |
| S1 |
1.2026 |
1.2005 |
|