CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 03-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-May-2011 |
03-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1566 |
1.1564 |
-0.0002 |
0.0% |
1.1303 |
| High |
1.1597 |
1.1636 |
0.0039 |
0.3% |
1.1596 |
| Low |
1.1500 |
1.1530 |
0.0030 |
0.3% |
1.1273 |
| Close |
1.1573 |
1.1609 |
0.0036 |
0.3% |
1.1581 |
| Range |
0.0097 |
0.0106 |
0.0009 |
9.3% |
0.0323 |
| ATR |
0.0122 |
0.0121 |
-0.0001 |
-0.9% |
0.0000 |
| Volume |
43,875 |
33,199 |
-10,676 |
-24.3% |
192,471 |
|
| Daily Pivots for day following 03-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1910 |
1.1865 |
1.1667 |
|
| R3 |
1.1804 |
1.1759 |
1.1638 |
|
| R2 |
1.1698 |
1.1698 |
1.1628 |
|
| R1 |
1.1653 |
1.1653 |
1.1619 |
1.1676 |
| PP |
1.1592 |
1.1592 |
1.1592 |
1.1603 |
| S1 |
1.1547 |
1.1547 |
1.1599 |
1.1570 |
| S2 |
1.1486 |
1.1486 |
1.1590 |
|
| S3 |
1.1380 |
1.1441 |
1.1580 |
|
| S4 |
1.1274 |
1.1335 |
1.1551 |
|
|
| Weekly Pivots for week ending 29-Apr-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2452 |
1.2340 |
1.1759 |
|
| R3 |
1.2129 |
1.2017 |
1.1670 |
|
| R2 |
1.1806 |
1.1806 |
1.1640 |
|
| R1 |
1.1694 |
1.1694 |
1.1611 |
1.1750 |
| PP |
1.1483 |
1.1483 |
1.1483 |
1.1512 |
| S1 |
1.1371 |
1.1371 |
1.1551 |
1.1427 |
| S2 |
1.1160 |
1.1160 |
1.1522 |
|
| S3 |
1.0837 |
1.1048 |
1.1492 |
|
| S4 |
1.0514 |
1.0725 |
1.1403 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1636 |
1.1322 |
0.0314 |
2.7% |
0.0135 |
1.2% |
91% |
True |
False |
40,330 |
| 10 |
1.1636 |
1.1105 |
0.0531 |
4.6% |
0.0133 |
1.1% |
95% |
True |
False |
40,665 |
| 20 |
1.1636 |
1.0760 |
0.0876 |
7.5% |
0.0119 |
1.0% |
97% |
True |
False |
39,464 |
| 40 |
1.1636 |
1.0680 |
0.0956 |
8.2% |
0.0117 |
1.0% |
97% |
True |
False |
40,954 |
| 60 |
1.1636 |
1.0268 |
0.1368 |
11.8% |
0.0108 |
0.9% |
98% |
True |
False |
27,493 |
| 80 |
1.1636 |
1.0250 |
0.1386 |
11.9% |
0.0100 |
0.9% |
98% |
True |
False |
20,625 |
| 100 |
1.1636 |
1.0167 |
0.1469 |
12.7% |
0.0089 |
0.8% |
98% |
True |
False |
16,503 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2087 |
|
2.618 |
1.1914 |
|
1.618 |
1.1808 |
|
1.000 |
1.1742 |
|
0.618 |
1.1702 |
|
HIGH |
1.1636 |
|
0.618 |
1.1596 |
|
0.500 |
1.1583 |
|
0.382 |
1.1570 |
|
LOW |
1.1530 |
|
0.618 |
1.1464 |
|
1.000 |
1.1424 |
|
1.618 |
1.1358 |
|
2.618 |
1.1252 |
|
4.250 |
1.1080 |
|
|
| Fisher Pivots for day following 03-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1600 |
1.1584 |
| PP |
1.1592 |
1.1560 |
| S1 |
1.1583 |
1.1535 |
|