CME Swiss Franc Future September 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 |
1.1876 |
1.1989 |
0.0113 |
1.0% |
1.1759 |
| High |
1.2010 |
1.2014 |
0.0004 |
0.0% |
1.2010 |
| Low |
1.1851 |
1.1934 |
0.0083 |
0.7% |
1.1710 |
| Close |
1.1967 |
1.1960 |
-0.0007 |
-0.1% |
1.1967 |
| Range |
0.0159 |
0.0080 |
-0.0079 |
-49.7% |
0.0300 |
| ATR |
0.0121 |
0.0118 |
-0.0003 |
-2.4% |
0.0000 |
| Volume |
1,562 |
4,769 |
3,207 |
205.3% |
4,691 |
|
| Daily Pivots for day following 06-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2209 |
1.2165 |
1.2004 |
|
| R3 |
1.2129 |
1.2085 |
1.1982 |
|
| R2 |
1.2049 |
1.2049 |
1.1975 |
|
| R1 |
1.2005 |
1.2005 |
1.1967 |
1.1987 |
| PP |
1.1969 |
1.1969 |
1.1969 |
1.1961 |
| S1 |
1.1925 |
1.1925 |
1.1953 |
1.1907 |
| S2 |
1.1889 |
1.1889 |
1.1945 |
|
| S3 |
1.1809 |
1.1845 |
1.1938 |
|
| S4 |
1.1729 |
1.1765 |
1.1916 |
|
|
| Weekly Pivots for week ending 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2796 |
1.2681 |
1.2132 |
|
| R3 |
1.2496 |
1.2381 |
1.2050 |
|
| R2 |
1.2196 |
1.2196 |
1.2022 |
|
| R1 |
1.2081 |
1.2081 |
1.1995 |
1.2139 |
| PP |
1.1896 |
1.1896 |
1.1896 |
1.1924 |
| S1 |
1.1781 |
1.1781 |
1.1940 |
1.1839 |
| S2 |
1.1596 |
1.1596 |
1.1912 |
|
| S3 |
1.1296 |
1.1481 |
1.1885 |
|
| S4 |
1.0996 |
1.1181 |
1.1802 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2014 |
1.1710 |
0.0304 |
2.5% |
0.0126 |
1.1% |
82% |
True |
False |
1,892 |
| 10 |
1.2014 |
1.1253 |
0.0761 |
6.4% |
0.0129 |
1.1% |
93% |
True |
False |
1,103 |
| 20 |
1.2014 |
1.1195 |
0.0819 |
6.8% |
0.0119 |
1.0% |
93% |
True |
False |
607 |
| 40 |
1.2014 |
1.0950 |
0.1064 |
8.9% |
0.0102 |
0.9% |
95% |
True |
False |
330 |
| 60 |
1.2014 |
1.0725 |
0.1289 |
10.8% |
0.0086 |
0.7% |
96% |
True |
False |
226 |
| 80 |
1.2014 |
1.0291 |
0.1723 |
14.4% |
0.0066 |
0.6% |
97% |
True |
False |
170 |
| 100 |
1.2014 |
1.0291 |
0.1723 |
14.4% |
0.0053 |
0.4% |
97% |
True |
False |
136 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2354 |
|
2.618 |
1.2223 |
|
1.618 |
1.2143 |
|
1.000 |
1.2094 |
|
0.618 |
1.2063 |
|
HIGH |
1.2014 |
|
0.618 |
1.1983 |
|
0.500 |
1.1974 |
|
0.382 |
1.1965 |
|
LOW |
1.1934 |
|
0.618 |
1.1885 |
|
1.000 |
1.1854 |
|
1.618 |
1.1805 |
|
2.618 |
1.1725 |
|
4.250 |
1.1594 |
|
|
| Fisher Pivots for day following 06-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1974 |
1.1949 |
| PP |
1.1969 |
1.1938 |
| S1 |
1.1965 |
1.1927 |
|