CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 15-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jun-2011 |
15-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1950 |
1.1837 |
-0.0113 |
-0.9% |
1.1989 |
| High |
1.1986 |
1.1851 |
-0.0135 |
-1.1% |
1.2017 |
| Low |
1.1830 |
1.1701 |
-0.0129 |
-1.1% |
1.1845 |
| Close |
1.1849 |
1.1728 |
-0.0121 |
-1.0% |
1.1883 |
| Range |
0.0156 |
0.0150 |
-0.0006 |
-3.8% |
0.0172 |
| ATR |
0.0116 |
0.0118 |
0.0002 |
2.1% |
0.0000 |
| Volume |
47,183 |
54,236 |
7,053 |
14.9% |
120,045 |
|
| Daily Pivots for day following 15-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2210 |
1.2119 |
1.1811 |
|
| R3 |
1.2060 |
1.1969 |
1.1769 |
|
| R2 |
1.1910 |
1.1910 |
1.1756 |
|
| R1 |
1.1819 |
1.1819 |
1.1742 |
1.1790 |
| PP |
1.1760 |
1.1760 |
1.1760 |
1.1745 |
| S1 |
1.1669 |
1.1669 |
1.1714 |
1.1640 |
| S2 |
1.1610 |
1.1610 |
1.1701 |
|
| S3 |
1.1460 |
1.1519 |
1.1687 |
|
| S4 |
1.1310 |
1.1369 |
1.1646 |
|
|
| Weekly Pivots for week ending 10-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2431 |
1.2329 |
1.1978 |
|
| R3 |
1.2259 |
1.2157 |
1.1930 |
|
| R2 |
1.2087 |
1.2087 |
1.1915 |
|
| R1 |
1.1985 |
1.1985 |
1.1899 |
1.1950 |
| PP |
1.1915 |
1.1915 |
1.1915 |
1.1898 |
| S1 |
1.1813 |
1.1813 |
1.1867 |
1.1778 |
| S2 |
1.1743 |
1.1743 |
1.1851 |
|
| S3 |
1.1571 |
1.1641 |
1.1836 |
|
| S4 |
1.1399 |
1.1469 |
1.1788 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1986 |
1.1701 |
0.0285 |
2.4% |
0.0132 |
1.1% |
9% |
False |
True |
42,311 |
| 10 |
1.2017 |
1.1701 |
0.0316 |
2.7% |
0.0111 |
0.9% |
9% |
False |
True |
25,716 |
| 20 |
1.2017 |
1.1253 |
0.0764 |
6.5% |
0.0119 |
1.0% |
62% |
False |
False |
13,066 |
| 40 |
1.2017 |
1.1122 |
0.0895 |
7.6% |
0.0113 |
1.0% |
68% |
False |
False |
6,572 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
11.0% |
0.0096 |
0.8% |
78% |
False |
False |
4,387 |
| 80 |
1.2017 |
1.0560 |
0.1457 |
12.4% |
0.0076 |
0.6% |
80% |
False |
False |
3,292 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.7% |
0.0061 |
0.5% |
83% |
False |
False |
2,634 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2489 |
|
2.618 |
1.2244 |
|
1.618 |
1.2094 |
|
1.000 |
1.2001 |
|
0.618 |
1.1944 |
|
HIGH |
1.1851 |
|
0.618 |
1.1794 |
|
0.500 |
1.1776 |
|
0.382 |
1.1758 |
|
LOW |
1.1701 |
|
0.618 |
1.1608 |
|
1.000 |
1.1551 |
|
1.618 |
1.1458 |
|
2.618 |
1.1308 |
|
4.250 |
1.1064 |
|
|
| Fisher Pivots for day following 15-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1776 |
1.1844 |
| PP |
1.1760 |
1.1805 |
| S1 |
1.1744 |
1.1767 |
|