CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 06-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jun-2011 |
06-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1872 |
1.1978 |
0.0106 |
0.9% |
1.1749 |
| High |
1.2005 |
1.2008 |
0.0003 |
0.0% |
1.2005 |
| Low |
1.1840 |
1.1924 |
0.0084 |
0.7% |
1.1702 |
| Close |
1.1958 |
1.1952 |
-0.0006 |
-0.1% |
1.1958 |
| Range |
0.0165 |
0.0084 |
-0.0081 |
-49.1% |
0.0303 |
| ATR |
0.0139 |
0.0135 |
-0.0004 |
-2.8% |
0.0000 |
| Volume |
50,036 |
28,499 |
-21,537 |
-43.0% |
193,078 |
|
| Daily Pivots for day following 06-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2213 |
1.2167 |
1.1998 |
|
| R3 |
1.2129 |
1.2083 |
1.1975 |
|
| R2 |
1.2045 |
1.2045 |
1.1967 |
|
| R1 |
1.1999 |
1.1999 |
1.1960 |
1.1980 |
| PP |
1.1961 |
1.1961 |
1.1961 |
1.1952 |
| S1 |
1.1915 |
1.1915 |
1.1944 |
1.1896 |
| S2 |
1.1877 |
1.1877 |
1.1937 |
|
| S3 |
1.1793 |
1.1831 |
1.1929 |
|
| S4 |
1.1709 |
1.1747 |
1.1906 |
|
|
| Weekly Pivots for week ending 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2797 |
1.2681 |
1.2125 |
|
| R3 |
1.2494 |
1.2378 |
1.2041 |
|
| R2 |
1.2191 |
1.2191 |
1.2014 |
|
| R1 |
1.2075 |
1.2075 |
1.1986 |
1.2133 |
| PP |
1.1888 |
1.1888 |
1.1888 |
1.1918 |
| S1 |
1.1772 |
1.1772 |
1.1930 |
1.1830 |
| S2 |
1.1585 |
1.1585 |
1.1902 |
|
| S3 |
1.1282 |
1.1469 |
1.1875 |
|
| S4 |
1.0979 |
1.1166 |
1.1791 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2008 |
1.1702 |
0.0306 |
2.6% |
0.0134 |
1.1% |
82% |
True |
False |
44,315 |
| 10 |
1.2008 |
1.1240 |
0.0768 |
6.4% |
0.0139 |
1.2% |
93% |
True |
False |
43,290 |
| 20 |
1.2008 |
1.1177 |
0.0831 |
7.0% |
0.0136 |
1.1% |
93% |
True |
False |
42,415 |
| 40 |
1.2008 |
1.0912 |
0.1096 |
9.2% |
0.0132 |
1.1% |
95% |
True |
False |
41,517 |
| 60 |
1.2008 |
1.0691 |
0.1317 |
11.0% |
0.0127 |
1.1% |
96% |
True |
False |
42,926 |
| 80 |
1.2008 |
1.0268 |
0.1740 |
14.6% |
0.0119 |
1.0% |
97% |
True |
False |
32,970 |
| 100 |
1.2008 |
1.0267 |
0.1741 |
14.6% |
0.0110 |
0.9% |
97% |
True |
False |
26,380 |
| 120 |
1.2008 |
1.0250 |
0.1758 |
14.7% |
0.0101 |
0.8% |
97% |
True |
False |
21,987 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2365 |
|
2.618 |
1.2228 |
|
1.618 |
1.2144 |
|
1.000 |
1.2092 |
|
0.618 |
1.2060 |
|
HIGH |
1.2008 |
|
0.618 |
1.1976 |
|
0.500 |
1.1966 |
|
0.382 |
1.1956 |
|
LOW |
1.1924 |
|
0.618 |
1.1872 |
|
1.000 |
1.1840 |
|
1.618 |
1.1788 |
|
2.618 |
1.1704 |
|
4.250 |
1.1567 |
|
|
| Fisher Pivots for day following 06-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1966 |
1.1939 |
| PP |
1.1961 |
1.1925 |
| S1 |
1.1957 |
1.1912 |
|