CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 02-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Jun-2011 |
02-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1715 |
1.1876 |
0.0161 |
1.4% |
1.1384 |
| High |
1.1929 |
1.1903 |
-0.0026 |
-0.2% |
1.1749 |
| Low |
1.1706 |
1.1815 |
0.0109 |
0.9% |
1.1240 |
| Close |
1.1872 |
1.1873 |
0.0001 |
0.0% |
1.1721 |
| Range |
0.0223 |
0.0088 |
-0.0135 |
-60.5% |
0.0509 |
| ATR |
0.0141 |
0.0137 |
-0.0004 |
-2.7% |
0.0000 |
| Volume |
59,421 |
36,480 |
-22,941 |
-38.6% |
211,323 |
|
| Daily Pivots for day following 02-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2128 |
1.2088 |
1.1921 |
|
| R3 |
1.2040 |
1.2000 |
1.1897 |
|
| R2 |
1.1952 |
1.1952 |
1.1889 |
|
| R1 |
1.1912 |
1.1912 |
1.1881 |
1.1888 |
| PP |
1.1864 |
1.1864 |
1.1864 |
1.1852 |
| S1 |
1.1824 |
1.1824 |
1.1865 |
1.1800 |
| S2 |
1.1776 |
1.1776 |
1.1857 |
|
| S3 |
1.1688 |
1.1736 |
1.1849 |
|
| S4 |
1.1600 |
1.1648 |
1.1825 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3097 |
1.2918 |
1.2001 |
|
| R3 |
1.2588 |
1.2409 |
1.1861 |
|
| R2 |
1.2079 |
1.2079 |
1.1814 |
|
| R1 |
1.1900 |
1.1900 |
1.1768 |
1.1990 |
| PP |
1.1570 |
1.1570 |
1.1570 |
1.1615 |
| S1 |
1.1391 |
1.1391 |
1.1674 |
1.1481 |
| S2 |
1.1061 |
1.1061 |
1.1628 |
|
| S3 |
1.0552 |
1.0882 |
1.1581 |
|
| S4 |
1.0043 |
1.0373 |
1.1441 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1929 |
1.1452 |
0.0477 |
4.0% |
0.0147 |
1.2% |
88% |
False |
False |
46,802 |
| 10 |
1.1929 |
1.1240 |
0.0689 |
5.8% |
0.0143 |
1.2% |
92% |
False |
False |
45,402 |
| 20 |
1.1929 |
1.1177 |
0.0752 |
6.3% |
0.0143 |
1.2% |
93% |
False |
False |
43,551 |
| 40 |
1.1929 |
1.0760 |
0.1169 |
9.8% |
0.0132 |
1.1% |
95% |
False |
False |
41,688 |
| 60 |
1.1929 |
1.0680 |
0.1249 |
10.5% |
0.0126 |
1.1% |
96% |
False |
False |
42,329 |
| 80 |
1.1929 |
1.0268 |
0.1661 |
14.0% |
0.0118 |
1.0% |
97% |
False |
False |
31,989 |
| 100 |
1.1929 |
1.0250 |
0.1679 |
14.1% |
0.0109 |
0.9% |
97% |
False |
False |
25,595 |
| 120 |
1.1929 |
1.0230 |
0.1699 |
14.3% |
0.0099 |
0.8% |
97% |
False |
False |
21,332 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2277 |
|
2.618 |
1.2133 |
|
1.618 |
1.2045 |
|
1.000 |
1.1991 |
|
0.618 |
1.1957 |
|
HIGH |
1.1903 |
|
0.618 |
1.1869 |
|
0.500 |
1.1859 |
|
0.382 |
1.1849 |
|
LOW |
1.1815 |
|
0.618 |
1.1761 |
|
1.000 |
1.1727 |
|
1.618 |
1.1673 |
|
2.618 |
1.1585 |
|
4.250 |
1.1441 |
|
|
| Fisher Pivots for day following 02-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1868 |
1.1854 |
| PP |
1.1864 |
1.1835 |
| S1 |
1.1859 |
1.1816 |
|