CME Swiss Franc Future June 2012
| Trading Metrics calculated at close of trading on 11-Jun-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Jun-2012 |
11-Jun-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0464 |
1.0543 |
0.0079 |
0.8% |
1.0348 |
| High |
1.0494 |
1.0573 |
0.0079 |
0.8% |
1.0512 |
| Low |
1.0355 |
1.0393 |
0.0038 |
0.4% |
1.0315 |
| Close |
1.0415 |
1.0409 |
-0.0006 |
-0.1% |
1.0415 |
| Range |
0.0139 |
0.0180 |
0.0041 |
29.5% |
0.0197 |
| ATR |
0.0098 |
0.0104 |
0.0006 |
6.0% |
0.0000 |
| Volume |
54,264 |
54,147 |
-117 |
-0.2% |
234,400 |
|
| Daily Pivots for day following 11-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0998 |
1.0884 |
1.0508 |
|
| R3 |
1.0818 |
1.0704 |
1.0459 |
|
| R2 |
1.0638 |
1.0638 |
1.0442 |
|
| R1 |
1.0524 |
1.0524 |
1.0426 |
1.0491 |
| PP |
1.0458 |
1.0458 |
1.0458 |
1.0442 |
| S1 |
1.0344 |
1.0344 |
1.0393 |
1.0311 |
| S2 |
1.0278 |
1.0278 |
1.0376 |
|
| S3 |
1.0098 |
1.0164 |
1.0360 |
|
| S4 |
0.9918 |
0.9984 |
1.0310 |
|
|
| Weekly Pivots for week ending 08-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1005 |
1.0907 |
1.0523 |
|
| R3 |
1.0808 |
1.0710 |
1.0469 |
|
| R2 |
1.0611 |
1.0611 |
1.0451 |
|
| R1 |
1.0513 |
1.0513 |
1.0433 |
1.0562 |
| PP |
1.0414 |
1.0414 |
1.0414 |
1.0439 |
| S1 |
1.0316 |
1.0316 |
1.0397 |
1.0365 |
| S2 |
1.0217 |
1.0217 |
1.0379 |
|
| S3 |
1.0020 |
1.0119 |
1.0361 |
|
| S4 |
0.9823 |
0.9922 |
1.0307 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0573 |
1.0336 |
0.0237 |
2.3% |
0.0124 |
1.2% |
31% |
True |
False |
50,152 |
| 10 |
1.0573 |
1.0235 |
0.0338 |
3.2% |
0.0116 |
1.1% |
51% |
True |
False |
53,598 |
| 20 |
1.0761 |
1.0235 |
0.0526 |
5.1% |
0.0104 |
1.0% |
33% |
False |
False |
53,980 |
| 40 |
1.1065 |
1.0235 |
0.0830 |
8.0% |
0.0091 |
0.9% |
21% |
False |
False |
48,263 |
| 60 |
1.1119 |
1.0235 |
0.0884 |
8.5% |
0.0092 |
0.9% |
20% |
False |
False |
45,165 |
| 80 |
1.1213 |
1.0235 |
0.0978 |
9.4% |
0.0092 |
0.9% |
18% |
False |
False |
34,919 |
| 100 |
1.1213 |
1.0235 |
0.0978 |
9.4% |
0.0083 |
0.8% |
18% |
False |
False |
27,937 |
| 120 |
1.1213 |
1.0235 |
0.0978 |
9.4% |
0.0074 |
0.7% |
18% |
False |
False |
23,282 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1338 |
|
2.618 |
1.1044 |
|
1.618 |
1.0864 |
|
1.000 |
1.0753 |
|
0.618 |
1.0684 |
|
HIGH |
1.0573 |
|
0.618 |
1.0504 |
|
0.500 |
1.0483 |
|
0.382 |
1.0462 |
|
LOW |
1.0393 |
|
0.618 |
1.0282 |
|
1.000 |
1.0213 |
|
1.618 |
1.0102 |
|
2.618 |
0.9922 |
|
4.250 |
0.9628 |
|
|
| Fisher Pivots for day following 11-Jun-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0483 |
1.0464 |
| PP |
1.0458 |
1.0446 |
| S1 |
1.0434 |
1.0427 |
|