CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 01-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-May-2011 |
01-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1759 |
1.1748 |
-0.0011 |
-0.1% |
1.1397 |
| High |
1.1815 |
1.1935 |
0.0120 |
1.0% |
1.1755 |
| Low |
1.1710 |
1.1717 |
0.0007 |
0.1% |
1.1253 |
| Close |
1.1728 |
1.1880 |
0.0152 |
1.3% |
1.1730 |
| Range |
0.0105 |
0.0218 |
0.0113 |
107.6% |
0.0502 |
| ATR |
0.0114 |
0.0122 |
0.0007 |
6.5% |
0.0000 |
| Volume |
1,254 |
881 |
-373 |
-29.7% |
1,579 |
|
| Daily Pivots for day following 01-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2498 |
1.2407 |
1.2000 |
|
| R3 |
1.2280 |
1.2189 |
1.1940 |
|
| R2 |
1.2062 |
1.2062 |
1.1920 |
|
| R1 |
1.1971 |
1.1971 |
1.1900 |
1.2017 |
| PP |
1.1844 |
1.1844 |
1.1844 |
1.1867 |
| S1 |
1.1753 |
1.1753 |
1.1860 |
1.1799 |
| S2 |
1.1626 |
1.1626 |
1.1840 |
|
| S3 |
1.1408 |
1.1535 |
1.1820 |
|
| S4 |
1.1190 |
1.1317 |
1.1760 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3085 |
1.2910 |
1.2006 |
|
| R3 |
1.2583 |
1.2408 |
1.1868 |
|
| R2 |
1.2081 |
1.2081 |
1.1822 |
|
| R1 |
1.1906 |
1.1906 |
1.1776 |
1.1994 |
| PP |
1.1579 |
1.1579 |
1.1579 |
1.1623 |
| S1 |
1.1404 |
1.1404 |
1.1684 |
1.1492 |
| S2 |
1.1077 |
1.1077 |
1.1638 |
|
| S3 |
1.0575 |
1.0902 |
1.1592 |
|
| S4 |
1.0073 |
1.0400 |
1.1454 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1935 |
1.1360 |
0.0575 |
4.8% |
0.0148 |
1.2% |
90% |
True |
False |
670 |
| 10 |
1.1935 |
1.1253 |
0.0682 |
5.7% |
0.0128 |
1.1% |
92% |
True |
False |
415 |
| 20 |
1.1935 |
1.1195 |
0.0740 |
6.2% |
0.0126 |
1.1% |
93% |
True |
False |
259 |
| 40 |
1.1935 |
1.0810 |
0.1125 |
9.5% |
0.0098 |
0.8% |
95% |
True |
False |
148 |
| 60 |
1.1935 |
1.0696 |
0.1239 |
10.4% |
0.0081 |
0.7% |
96% |
True |
False |
104 |
| 80 |
1.1935 |
1.0291 |
0.1644 |
13.8% |
0.0062 |
0.5% |
97% |
True |
False |
78 |
| 100 |
1.1935 |
1.0291 |
0.1644 |
13.8% |
0.0050 |
0.4% |
97% |
True |
False |
63 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2862 |
|
2.618 |
1.2506 |
|
1.618 |
1.2288 |
|
1.000 |
1.2153 |
|
0.618 |
1.2070 |
|
HIGH |
1.1935 |
|
0.618 |
1.1852 |
|
0.500 |
1.1826 |
|
0.382 |
1.1800 |
|
LOW |
1.1717 |
|
0.618 |
1.1582 |
|
1.000 |
1.1499 |
|
1.618 |
1.1364 |
|
2.618 |
1.1146 |
|
4.250 |
1.0791 |
|
|
| Fisher Pivots for day following 01-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1862 |
1.1837 |
| PP |
1.1844 |
1.1793 |
| S1 |
1.1826 |
1.1750 |
|