CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 05-Jun-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Jun-2012 |
05-Jun-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0360 |
1.0435 |
0.0075 |
0.7% |
1.0486 |
| High |
1.0437 |
1.0461 |
0.0024 |
0.2% |
1.0506 |
| Low |
1.0350 |
1.0367 |
0.0017 |
0.2% |
1.0280 |
| Close |
1.0428 |
1.0389 |
-0.0039 |
-0.4% |
1.0362 |
| Range |
0.0087 |
0.0094 |
0.0007 |
8.0% |
0.0226 |
| ATR |
0.0067 |
0.0069 |
0.0002 |
2.9% |
0.0000 |
| Volume |
625 |
237 |
-388 |
-62.1% |
1,168 |
|
| Daily Pivots for day following 05-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0688 |
1.0632 |
1.0441 |
|
| R3 |
1.0594 |
1.0538 |
1.0415 |
|
| R2 |
1.0500 |
1.0500 |
1.0406 |
|
| R1 |
1.0444 |
1.0444 |
1.0398 |
1.0425 |
| PP |
1.0406 |
1.0406 |
1.0406 |
1.0396 |
| S1 |
1.0350 |
1.0350 |
1.0380 |
1.0331 |
| S2 |
1.0312 |
1.0312 |
1.0372 |
|
| S3 |
1.0218 |
1.0256 |
1.0363 |
|
| S4 |
1.0124 |
1.0162 |
1.0337 |
|
|
| Weekly Pivots for week ending 01-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1061 |
1.0937 |
1.0486 |
|
| R3 |
1.0835 |
1.0711 |
1.0424 |
|
| R2 |
1.0609 |
1.0609 |
1.0403 |
|
| R1 |
1.0485 |
1.0485 |
1.0383 |
1.0434 |
| PP |
1.0383 |
1.0383 |
1.0383 |
1.0357 |
| S1 |
1.0259 |
1.0259 |
1.0341 |
1.0208 |
| S2 |
1.0157 |
1.0157 |
1.0321 |
|
| S3 |
0.9931 |
1.0033 |
1.0300 |
|
| S4 |
0.9705 |
0.9807 |
1.0238 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0461 |
1.0280 |
0.0181 |
1.7% |
0.0091 |
0.9% |
60% |
True |
False |
399 |
| 10 |
1.0675 |
1.0280 |
0.0395 |
3.8% |
0.0079 |
0.8% |
28% |
False |
False |
228 |
| 20 |
1.0866 |
1.0280 |
0.0586 |
5.6% |
0.0056 |
0.5% |
19% |
False |
False |
129 |
| 40 |
1.1061 |
1.0280 |
0.0781 |
7.5% |
0.0040 |
0.4% |
14% |
False |
False |
70 |
| 60 |
1.1108 |
1.0280 |
0.0828 |
8.0% |
0.0031 |
0.3% |
13% |
False |
False |
54 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0861 |
|
2.618 |
1.0707 |
|
1.618 |
1.0613 |
|
1.000 |
1.0555 |
|
0.618 |
1.0519 |
|
HIGH |
1.0461 |
|
0.618 |
1.0425 |
|
0.500 |
1.0414 |
|
0.382 |
1.0403 |
|
LOW |
1.0367 |
|
0.618 |
1.0309 |
|
1.000 |
1.0273 |
|
1.618 |
1.0215 |
|
2.618 |
1.0121 |
|
4.250 |
0.9968 |
|
|
| Fisher Pivots for day following 05-Jun-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0414 |
1.0383 |
| PP |
1.0406 |
1.0377 |
| S1 |
1.0397 |
1.0371 |
|