CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 24-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-May-2011 |
24-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1397 |
1.1305 |
-0.0092 |
-0.8% |
1.1206 |
| High |
1.1420 |
1.1392 |
-0.0028 |
-0.2% |
1.1418 |
| Low |
1.1312 |
1.1253 |
-0.0059 |
-0.5% |
1.1205 |
| Close |
1.1337 |
1.1381 |
0.0044 |
0.4% |
1.1410 |
| Range |
0.0108 |
0.0139 |
0.0031 |
28.7% |
0.0213 |
| ATR |
0.0105 |
0.0108 |
0.0002 |
2.3% |
0.0000 |
| Volume |
152 |
208 |
56 |
36.8% |
573 |
|
| Daily Pivots for day following 24-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1759 |
1.1709 |
1.1457 |
|
| R3 |
1.1620 |
1.1570 |
1.1419 |
|
| R2 |
1.1481 |
1.1481 |
1.1406 |
|
| R1 |
1.1431 |
1.1431 |
1.1394 |
1.1456 |
| PP |
1.1342 |
1.1342 |
1.1342 |
1.1355 |
| S1 |
1.1292 |
1.1292 |
1.1368 |
1.1317 |
| S2 |
1.1203 |
1.1203 |
1.1356 |
|
| S3 |
1.1064 |
1.1153 |
1.1343 |
|
| S4 |
1.0925 |
1.1014 |
1.1305 |
|
|
| Weekly Pivots for week ending 20-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1983 |
1.1910 |
1.1527 |
|
| R3 |
1.1770 |
1.1697 |
1.1469 |
|
| R2 |
1.1557 |
1.1557 |
1.1449 |
|
| R1 |
1.1484 |
1.1484 |
1.1430 |
1.1521 |
| PP |
1.1344 |
1.1344 |
1.1344 |
1.1363 |
| S1 |
1.1271 |
1.1271 |
1.1390 |
1.1308 |
| S2 |
1.1131 |
1.1131 |
1.1371 |
|
| S3 |
1.0918 |
1.1058 |
1.1351 |
|
| S4 |
1.0705 |
1.0845 |
1.1293 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1420 |
1.1253 |
0.0167 |
1.5% |
0.0108 |
0.9% |
77% |
False |
True |
160 |
| 10 |
1.1420 |
1.1195 |
0.0225 |
2.0% |
0.0114 |
1.0% |
83% |
False |
False |
125 |
| 20 |
1.1700 |
1.1195 |
0.0505 |
4.4% |
0.0113 |
1.0% |
37% |
False |
False |
107 |
| 40 |
1.1700 |
1.0725 |
0.0975 |
8.6% |
0.0088 |
0.8% |
67% |
False |
False |
67 |
| 60 |
1.1700 |
1.0696 |
0.1004 |
8.8% |
0.0068 |
0.6% |
68% |
False |
False |
48 |
| 80 |
1.1700 |
1.0291 |
0.1409 |
12.4% |
0.0053 |
0.5% |
77% |
False |
False |
36 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1983 |
|
2.618 |
1.1756 |
|
1.618 |
1.1617 |
|
1.000 |
1.1531 |
|
0.618 |
1.1478 |
|
HIGH |
1.1392 |
|
0.618 |
1.1339 |
|
0.500 |
1.1323 |
|
0.382 |
1.1306 |
|
LOW |
1.1253 |
|
0.618 |
1.1167 |
|
1.000 |
1.1114 |
|
1.618 |
1.1028 |
|
2.618 |
1.0889 |
|
4.250 |
1.0662 |
|
|
| Fisher Pivots for day following 24-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1362 |
1.1366 |
| PP |
1.1342 |
1.1351 |
| S1 |
1.1323 |
1.1337 |
|