CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 26-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-May-2011 |
26-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1366 |
1.1460 |
0.0094 |
0.8% |
1.1191 |
| High |
1.1484 |
1.1562 |
0.0078 |
0.7% |
1.1434 |
| Low |
1.1346 |
1.1452 |
0.0106 |
0.9% |
1.1189 |
| Close |
1.1460 |
1.1546 |
0.0086 |
0.8% |
1.1405 |
| Range |
0.0138 |
0.0110 |
-0.0028 |
-20.3% |
0.0245 |
| ATR |
0.0133 |
0.0131 |
-0.0002 |
-1.2% |
0.0000 |
| Volume |
48,281 |
44,130 |
-4,151 |
-8.6% |
210,470 |
|
| Daily Pivots for day following 26-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1850 |
1.1808 |
1.1607 |
|
| R3 |
1.1740 |
1.1698 |
1.1576 |
|
| R2 |
1.1630 |
1.1630 |
1.1566 |
|
| R1 |
1.1588 |
1.1588 |
1.1556 |
1.1609 |
| PP |
1.1520 |
1.1520 |
1.1520 |
1.1531 |
| S1 |
1.1478 |
1.1478 |
1.1536 |
1.1499 |
| S2 |
1.1410 |
1.1410 |
1.1526 |
|
| S3 |
1.1300 |
1.1368 |
1.1516 |
|
| S4 |
1.1190 |
1.1258 |
1.1486 |
|
|
| Weekly Pivots for week ending 20-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2078 |
1.1986 |
1.1540 |
|
| R3 |
1.1833 |
1.1741 |
1.1472 |
|
| R2 |
1.1588 |
1.1588 |
1.1450 |
|
| R1 |
1.1496 |
1.1496 |
1.1427 |
1.1542 |
| PP |
1.1343 |
1.1343 |
1.1343 |
1.1366 |
| S1 |
1.1251 |
1.1251 |
1.1383 |
1.1297 |
| S2 |
1.1098 |
1.1098 |
1.1360 |
|
| S3 |
1.0853 |
1.1006 |
1.1338 |
|
| S4 |
1.0608 |
1.0761 |
1.1270 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1562 |
1.1240 |
0.0322 |
2.8% |
0.0132 |
1.1% |
95% |
True |
False |
43,841 |
| 10 |
1.1562 |
1.1177 |
0.0385 |
3.3% |
0.0136 |
1.2% |
96% |
True |
False |
41,640 |
| 20 |
1.1697 |
1.1177 |
0.0520 |
4.5% |
0.0136 |
1.2% |
71% |
False |
False |
41,568 |
| 40 |
1.1697 |
1.0710 |
0.0987 |
8.5% |
0.0127 |
1.1% |
85% |
False |
False |
41,395 |
| 60 |
1.1697 |
1.0680 |
0.1017 |
8.8% |
0.0122 |
1.1% |
85% |
False |
False |
39,442 |
| 80 |
1.1697 |
1.0268 |
0.1429 |
12.4% |
0.0115 |
1.0% |
89% |
False |
False |
29,617 |
| 100 |
1.1697 |
1.0250 |
0.1447 |
12.5% |
0.0107 |
0.9% |
90% |
False |
False |
23,697 |
| 120 |
1.1697 |
1.0153 |
0.1544 |
13.4% |
0.0094 |
0.8% |
90% |
False |
False |
19,750 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2030 |
|
2.618 |
1.1850 |
|
1.618 |
1.1740 |
|
1.000 |
1.1672 |
|
0.618 |
1.1630 |
|
HIGH |
1.1562 |
|
0.618 |
1.1520 |
|
0.500 |
1.1507 |
|
0.382 |
1.1494 |
|
LOW |
1.1452 |
|
0.618 |
1.1384 |
|
1.000 |
1.1342 |
|
1.618 |
1.1274 |
|
2.618 |
1.1164 |
|
4.250 |
1.0985 |
|
|
| Fisher Pivots for day following 26-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1533 |
1.1498 |
| PP |
1.1520 |
1.1449 |
| S1 |
1.1507 |
1.1401 |
|