CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 07-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Jun-2011 |
07-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1978 |
1.1976 |
-0.0002 |
0.0% |
1.1749 |
| High |
1.2008 |
1.2010 |
0.0002 |
0.0% |
1.2005 |
| Low |
1.1924 |
1.1917 |
-0.0007 |
-0.1% |
1.1702 |
| Close |
1.1952 |
1.1941 |
-0.0011 |
-0.1% |
1.1958 |
| Range |
0.0084 |
0.0093 |
0.0009 |
10.7% |
0.0303 |
| ATR |
0.0135 |
0.0132 |
-0.0003 |
-2.2% |
0.0000 |
| Volume |
28,499 |
43,244 |
14,745 |
51.7% |
193,078 |
|
| Daily Pivots for day following 07-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2235 |
1.2181 |
1.1992 |
|
| R3 |
1.2142 |
1.2088 |
1.1967 |
|
| R2 |
1.2049 |
1.2049 |
1.1958 |
|
| R1 |
1.1995 |
1.1995 |
1.1950 |
1.1976 |
| PP |
1.1956 |
1.1956 |
1.1956 |
1.1946 |
| S1 |
1.1902 |
1.1902 |
1.1932 |
1.1883 |
| S2 |
1.1863 |
1.1863 |
1.1924 |
|
| S3 |
1.1770 |
1.1809 |
1.1915 |
|
| S4 |
1.1677 |
1.1716 |
1.1890 |
|
|
| 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 |
1.2010 |
1.1706 |
0.0304 |
2.5% |
0.0131 |
1.1% |
77% |
True |
False |
43,536 |
| 10 |
1.2010 |
1.1240 |
0.0770 |
6.4% |
0.0136 |
1.1% |
91% |
True |
False |
44,228 |
| 20 |
1.2010 |
1.1177 |
0.0833 |
7.0% |
0.0136 |
1.1% |
92% |
True |
False |
42,689 |
| 40 |
1.2010 |
1.0985 |
0.1025 |
8.6% |
0.0131 |
1.1% |
93% |
True |
False |
41,663 |
| 60 |
1.2010 |
1.0710 |
0.1300 |
10.9% |
0.0126 |
1.1% |
95% |
True |
False |
42,764 |
| 80 |
1.2010 |
1.0268 |
0.1742 |
14.6% |
0.0118 |
1.0% |
96% |
True |
False |
33,509 |
| 100 |
1.2010 |
1.0267 |
0.1743 |
14.6% |
0.0110 |
0.9% |
96% |
True |
False |
26,813 |
| 120 |
1.2010 |
1.0250 |
0.1760 |
14.7% |
0.0102 |
0.9% |
96% |
True |
False |
22,347 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2405 |
|
2.618 |
1.2253 |
|
1.618 |
1.2160 |
|
1.000 |
1.2103 |
|
0.618 |
1.2067 |
|
HIGH |
1.2010 |
|
0.618 |
1.1974 |
|
0.500 |
1.1964 |
|
0.382 |
1.1953 |
|
LOW |
1.1917 |
|
0.618 |
1.1860 |
|
1.000 |
1.1824 |
|
1.618 |
1.1767 |
|
2.618 |
1.1674 |
|
4.250 |
1.1522 |
|
|
| Fisher Pivots for day following 07-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1964 |
1.1936 |
| PP |
1.1956 |
1.1930 |
| S1 |
1.1949 |
1.1925 |
|