CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 27-Jun-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jun-2012 |
27-Jun-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0434 |
1.0427 |
-0.0007 |
-0.1% |
1.0638 |
| High |
1.0456 |
1.0437 |
-0.0019 |
-0.2% |
1.0638 |
| Low |
1.0383 |
1.0384 |
0.0001 |
0.0% |
1.0447 |
| Close |
1.0428 |
1.0394 |
-0.0034 |
-0.3% |
1.0483 |
| Range |
0.0073 |
0.0053 |
-0.0020 |
-27.4% |
0.0191 |
| ATR |
0.0102 |
0.0099 |
-0.0004 |
-3.4% |
0.0000 |
| Volume |
33,678 |
30,681 |
-2,997 |
-8.9% |
236,438 |
|
| Daily Pivots for day following 27-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0564 |
1.0532 |
1.0423 |
|
| R3 |
1.0511 |
1.0479 |
1.0409 |
|
| R2 |
1.0458 |
1.0458 |
1.0404 |
|
| R1 |
1.0426 |
1.0426 |
1.0399 |
1.0416 |
| PP |
1.0405 |
1.0405 |
1.0405 |
1.0400 |
| S1 |
1.0373 |
1.0373 |
1.0389 |
1.0363 |
| S2 |
1.0352 |
1.0352 |
1.0384 |
|
| S3 |
1.0299 |
1.0320 |
1.0379 |
|
| S4 |
1.0246 |
1.0267 |
1.0365 |
|
|
| Weekly Pivots for week ending 22-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1096 |
1.0980 |
1.0588 |
|
| R3 |
1.0905 |
1.0789 |
1.0536 |
|
| R2 |
1.0714 |
1.0714 |
1.0518 |
|
| R1 |
1.0598 |
1.0598 |
1.0501 |
1.0561 |
| PP |
1.0523 |
1.0523 |
1.0523 |
1.0504 |
| S1 |
1.0407 |
1.0407 |
1.0465 |
1.0370 |
| S2 |
1.0332 |
1.0332 |
1.0448 |
|
| S3 |
1.0141 |
1.0216 |
1.0430 |
|
| S4 |
0.9950 |
1.0025 |
1.0378 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0596 |
1.0383 |
0.0213 |
2.0% |
0.0079 |
0.8% |
5% |
False |
False |
38,034 |
| 10 |
1.0902 |
1.0383 |
0.0519 |
5.0% |
0.0124 |
1.2% |
2% |
False |
False |
39,588 |
| 20 |
1.0902 |
1.0280 |
0.0622 |
6.0% |
0.0113 |
1.1% |
18% |
False |
False |
23,264 |
| 40 |
1.0972 |
1.0280 |
0.0692 |
6.7% |
0.0077 |
0.7% |
16% |
False |
False |
11,650 |
| 60 |
1.1061 |
1.0280 |
0.0781 |
7.5% |
0.0059 |
0.6% |
15% |
False |
False |
7,771 |
| 80 |
1.1108 |
1.0280 |
0.0828 |
8.0% |
0.0047 |
0.5% |
14% |
False |
False |
5,835 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0662 |
|
2.618 |
1.0576 |
|
1.618 |
1.0523 |
|
1.000 |
1.0490 |
|
0.618 |
1.0470 |
|
HIGH |
1.0437 |
|
0.618 |
1.0417 |
|
0.500 |
1.0411 |
|
0.382 |
1.0404 |
|
LOW |
1.0384 |
|
0.618 |
1.0351 |
|
1.000 |
1.0331 |
|
1.618 |
1.0298 |
|
2.618 |
1.0245 |
|
4.250 |
1.0159 |
|
|
| Fisher Pivots for day following 27-Jun-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0411 |
1.0433 |
| PP |
1.0405 |
1.0420 |
| S1 |
1.0400 |
1.0407 |
|