CME Swiss Franc Future June 2012
| Trading Metrics calculated at close of trading on 21-May-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-May-2012 |
21-May-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0561 |
1.0641 |
0.0080 |
0.8% |
1.0745 |
| High |
1.0656 |
1.0678 |
0.0022 |
0.2% |
1.0761 |
| Low |
1.0530 |
1.0598 |
0.0068 |
0.6% |
1.0530 |
| Close |
1.0609 |
1.0650 |
0.0041 |
0.4% |
1.0609 |
| Range |
0.0126 |
0.0080 |
-0.0046 |
-36.5% |
0.0231 |
| ATR |
0.0083 |
0.0083 |
0.0000 |
-0.3% |
0.0000 |
| Volume |
50,088 |
50,531 |
443 |
0.9% |
249,777 |
|
| Daily Pivots for day following 21-May-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0882 |
1.0846 |
1.0694 |
|
| R3 |
1.0802 |
1.0766 |
1.0672 |
|
| R2 |
1.0722 |
1.0722 |
1.0665 |
|
| R1 |
1.0686 |
1.0686 |
1.0657 |
1.0704 |
| PP |
1.0642 |
1.0642 |
1.0642 |
1.0651 |
| S1 |
1.0606 |
1.0606 |
1.0643 |
1.0624 |
| S2 |
1.0562 |
1.0562 |
1.0635 |
|
| S3 |
1.0482 |
1.0526 |
1.0628 |
|
| S4 |
1.0402 |
1.0446 |
1.0606 |
|
|
| Weekly Pivots for week ending 18-May-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1326 |
1.1199 |
1.0736 |
|
| R3 |
1.1095 |
1.0968 |
1.0673 |
|
| R2 |
1.0864 |
1.0864 |
1.0651 |
|
| R1 |
1.0737 |
1.0737 |
1.0630 |
1.0685 |
| PP |
1.0633 |
1.0633 |
1.0633 |
1.0608 |
| S1 |
1.0506 |
1.0506 |
1.0588 |
1.0454 |
| S2 |
1.0402 |
1.0402 |
1.0567 |
|
| S3 |
1.0171 |
1.0275 |
1.0545 |
|
| S4 |
0.9940 |
1.0044 |
1.0482 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0717 |
1.0530 |
0.0187 |
1.8% |
0.0092 |
0.9% |
64% |
False |
False |
51,184 |
| 10 |
1.0878 |
1.0530 |
0.0348 |
3.3% |
0.0079 |
0.7% |
34% |
False |
False |
48,898 |
| 20 |
1.1065 |
1.0530 |
0.0535 |
5.0% |
0.0077 |
0.7% |
22% |
False |
False |
44,359 |
| 40 |
1.1119 |
1.0530 |
0.0589 |
5.5% |
0.0084 |
0.8% |
20% |
False |
False |
42,858 |
| 60 |
1.1205 |
1.0530 |
0.0675 |
6.3% |
0.0088 |
0.8% |
18% |
False |
False |
33,561 |
| 80 |
1.1213 |
1.0530 |
0.0683 |
6.4% |
0.0081 |
0.8% |
18% |
False |
False |
25,179 |
| 100 |
1.1213 |
1.0489 |
0.0724 |
6.8% |
0.0071 |
0.7% |
22% |
False |
False |
20,145 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1018 |
|
2.618 |
1.0887 |
|
1.618 |
1.0807 |
|
1.000 |
1.0758 |
|
0.618 |
1.0727 |
|
HIGH |
1.0678 |
|
0.618 |
1.0647 |
|
0.500 |
1.0638 |
|
0.382 |
1.0629 |
|
LOW |
1.0598 |
|
0.618 |
1.0549 |
|
1.000 |
1.0518 |
|
1.618 |
1.0469 |
|
2.618 |
1.0389 |
|
4.250 |
1.0258 |
|
|
| Fisher Pivots for day following 21-May-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0646 |
1.0635 |
| PP |
1.0642 |
1.0619 |
| S1 |
1.0638 |
1.0604 |
|