CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 07-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Jul-2011 |
07-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1899 |
1.1919 |
0.0020 |
0.2% |
1.1990 |
| High |
1.1962 |
1.1940 |
-0.0022 |
-0.2% |
1.2091 |
| Low |
1.1850 |
1.1775 |
-0.0075 |
-0.6% |
1.1731 |
| Close |
1.1907 |
1.1842 |
-0.0065 |
-0.5% |
1.1792 |
| Range |
0.0112 |
0.0165 |
0.0053 |
47.3% |
0.0360 |
| ATR |
0.0130 |
0.0132 |
0.0003 |
1.9% |
0.0000 |
| Volume |
44,841 |
47,353 |
2,512 |
5.6% |
233,297 |
|
| Daily Pivots for day following 07-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2347 |
1.2260 |
1.1933 |
|
| R3 |
1.2182 |
1.2095 |
1.1887 |
|
| R2 |
1.2017 |
1.2017 |
1.1872 |
|
| R1 |
1.1930 |
1.1930 |
1.1857 |
1.1891 |
| PP |
1.1852 |
1.1852 |
1.1852 |
1.1833 |
| S1 |
1.1765 |
1.1765 |
1.1827 |
1.1726 |
| S2 |
1.1687 |
1.1687 |
1.1812 |
|
| S3 |
1.1522 |
1.1600 |
1.1797 |
|
| S4 |
1.1357 |
1.1435 |
1.1751 |
|
|
| Weekly Pivots for week ending 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2951 |
1.2732 |
1.1990 |
|
| R3 |
1.2591 |
1.2372 |
1.1891 |
|
| R2 |
1.2231 |
1.2231 |
1.1858 |
|
| R1 |
1.2012 |
1.2012 |
1.1825 |
1.1942 |
| PP |
1.1871 |
1.1871 |
1.1871 |
1.1836 |
| S1 |
1.1652 |
1.1652 |
1.1759 |
1.1582 |
| S2 |
1.1511 |
1.1511 |
1.1726 |
|
| S3 |
1.1151 |
1.1292 |
1.1693 |
|
| S4 |
1.0791 |
1.0932 |
1.1594 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2047 |
1.1731 |
0.0316 |
2.7% |
0.0171 |
1.4% |
35% |
False |
False |
50,739 |
| 10 |
1.2091 |
1.1731 |
0.0360 |
3.0% |
0.0142 |
1.2% |
31% |
False |
False |
45,701 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.3% |
0.0133 |
1.1% |
36% |
False |
False |
42,937 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.6% |
0.0124 |
1.1% |
72% |
False |
False |
22,724 |
| 60 |
1.2091 |
1.1055 |
0.1036 |
8.7% |
0.0113 |
1.0% |
76% |
False |
False |
15,170 |
| 80 |
1.2091 |
1.0725 |
0.1366 |
11.5% |
0.0099 |
0.8% |
82% |
False |
False |
11,382 |
| 100 |
1.2091 |
1.0328 |
0.1763 |
14.9% |
0.0081 |
0.7% |
86% |
False |
False |
9,106 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.2% |
0.0067 |
0.6% |
86% |
False |
False |
7,588 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2641 |
|
2.618 |
1.2372 |
|
1.618 |
1.2207 |
|
1.000 |
1.2105 |
|
0.618 |
1.2042 |
|
HIGH |
1.1940 |
|
0.618 |
1.1877 |
|
0.500 |
1.1858 |
|
0.382 |
1.1838 |
|
LOW |
1.1775 |
|
0.618 |
1.1673 |
|
1.000 |
1.1610 |
|
1.618 |
1.1508 |
|
2.618 |
1.1343 |
|
4.250 |
1.1074 |
|
|
| Fisher Pivots for day following 07-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1858 |
1.1862 |
| PP |
1.1852 |
1.1855 |
| S1 |
1.1847 |
1.1849 |
|