CME Swiss Franc Future September 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 |
1.1748 |
1.1880 |
0.0132 |
1.1% |
1.1397 |
| High |
1.1935 |
1.1908 |
-0.0027 |
-0.2% |
1.1755 |
| Low |
1.1717 |
1.1840 |
0.0123 |
1.0% |
1.1253 |
| Close |
1.1880 |
1.1881 |
0.0001 |
0.0% |
1.1730 |
| Range |
0.0218 |
0.0068 |
-0.0150 |
-68.8% |
0.0502 |
| ATR |
0.0122 |
0.0118 |
-0.0004 |
-3.1% |
0.0000 |
| Volume |
881 |
994 |
113 |
12.8% |
1,579 |
|
| Daily Pivots for day following 02-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2080 |
1.2049 |
1.1918 |
|
| R3 |
1.2012 |
1.1981 |
1.1900 |
|
| R2 |
1.1944 |
1.1944 |
1.1893 |
|
| R1 |
1.1913 |
1.1913 |
1.1887 |
1.1929 |
| PP |
1.1876 |
1.1876 |
1.1876 |
1.1884 |
| S1 |
1.1845 |
1.1845 |
1.1875 |
1.1861 |
| S2 |
1.1808 |
1.1808 |
1.1869 |
|
| S3 |
1.1740 |
1.1777 |
1.1862 |
|
| S4 |
1.1672 |
1.1709 |
1.1844 |
|
|
| 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 |
1.1468 |
0.0467 |
3.9% |
0.0135 |
1.1% |
88% |
False |
False |
781 |
| 10 |
1.1935 |
1.1253 |
0.0682 |
5.7% |
0.0128 |
1.1% |
92% |
False |
False |
502 |
| 20 |
1.1935 |
1.1195 |
0.0740 |
6.2% |
0.0123 |
1.0% |
93% |
False |
False |
307 |
| 40 |
1.1935 |
1.0810 |
0.1125 |
9.5% |
0.0100 |
0.8% |
95% |
False |
False |
173 |
| 60 |
1.1935 |
1.0725 |
0.1210 |
10.2% |
0.0082 |
0.7% |
96% |
False |
False |
120 |
| 80 |
1.1935 |
1.0291 |
0.1644 |
13.8% |
0.0063 |
0.5% |
97% |
False |
False |
90 |
| 100 |
1.1935 |
1.0291 |
0.1644 |
13.8% |
0.0051 |
0.4% |
97% |
False |
False |
72 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2197 |
|
2.618 |
1.2086 |
|
1.618 |
1.2018 |
|
1.000 |
1.1976 |
|
0.618 |
1.1950 |
|
HIGH |
1.1908 |
|
0.618 |
1.1882 |
|
0.500 |
1.1874 |
|
0.382 |
1.1866 |
|
LOW |
1.1840 |
|
0.618 |
1.1798 |
|
1.000 |
1.1772 |
|
1.618 |
1.1730 |
|
2.618 |
1.1662 |
|
4.250 |
1.1551 |
|
|
| Fisher Pivots for day following 02-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1879 |
1.1862 |
| PP |
1.1876 |
1.1842 |
| S1 |
1.1874 |
1.1823 |
|