CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 21-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jun-2011 |
21-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1786 |
1.1825 |
0.0039 |
0.3% |
1.1870 |
| High |
1.1904 |
1.1912 |
0.0008 |
0.1% |
1.1986 |
| Low |
1.1748 |
1.1825 |
0.0077 |
0.7% |
1.1701 |
| Close |
1.1822 |
1.1905 |
0.0083 |
0.7% |
1.1795 |
| Range |
0.0156 |
0.0087 |
-0.0069 |
-44.2% |
0.0285 |
| ATR |
0.0118 |
0.0116 |
-0.0002 |
-1.7% |
0.0000 |
| Volume |
35,723 |
28,653 |
-7,070 |
-19.8% |
221,271 |
|
| Daily Pivots for day following 21-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2142 |
1.2110 |
1.1953 |
|
| R3 |
1.2055 |
1.2023 |
1.1929 |
|
| R2 |
1.1968 |
1.1968 |
1.1921 |
|
| R1 |
1.1936 |
1.1936 |
1.1913 |
1.1952 |
| PP |
1.1881 |
1.1881 |
1.1881 |
1.1889 |
| S1 |
1.1849 |
1.1849 |
1.1897 |
1.1865 |
| S2 |
1.1794 |
1.1794 |
1.1889 |
|
| S3 |
1.1707 |
1.1762 |
1.1881 |
|
| S4 |
1.1620 |
1.1675 |
1.1857 |
|
|
| Weekly Pivots for week ending 17-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2682 |
1.2524 |
1.1952 |
|
| R3 |
1.2397 |
1.2239 |
1.1873 |
|
| R2 |
1.2112 |
1.2112 |
1.1847 |
|
| R1 |
1.1954 |
1.1954 |
1.1821 |
1.1891 |
| PP |
1.1827 |
1.1827 |
1.1827 |
1.1796 |
| S1 |
1.1669 |
1.1669 |
1.1769 |
1.1606 |
| S2 |
1.1542 |
1.1542 |
1.1743 |
|
| S3 |
1.1257 |
1.1384 |
1.1717 |
|
| S4 |
1.0972 |
1.1099 |
1.1638 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1912 |
1.1701 |
0.0211 |
1.8% |
0.0118 |
1.0% |
97% |
True |
False |
41,063 |
| 10 |
1.1986 |
1.1701 |
0.0285 |
2.4% |
0.0115 |
1.0% |
72% |
False |
False |
38,827 |
| 20 |
1.2017 |
1.1253 |
0.0764 |
6.4% |
0.0121 |
1.0% |
85% |
False |
False |
20,590 |
| 40 |
1.2017 |
1.1195 |
0.0822 |
6.9% |
0.0116 |
1.0% |
86% |
False |
False |
10,344 |
| 60 |
1.2017 |
1.0725 |
0.1292 |
10.9% |
0.0098 |
0.8% |
91% |
False |
False |
6,905 |
| 80 |
1.2017 |
1.0696 |
0.1321 |
11.1% |
0.0080 |
0.7% |
92% |
False |
False |
5,181 |
| 100 |
1.2017 |
1.0291 |
0.1726 |
14.5% |
0.0065 |
0.5% |
94% |
False |
False |
4,145 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2282 |
|
2.618 |
1.2140 |
|
1.618 |
1.2053 |
|
1.000 |
1.1999 |
|
0.618 |
1.1966 |
|
HIGH |
1.1912 |
|
0.618 |
1.1879 |
|
0.500 |
1.1869 |
|
0.382 |
1.1858 |
|
LOW |
1.1825 |
|
0.618 |
1.1771 |
|
1.000 |
1.1738 |
|
1.618 |
1.1684 |
|
2.618 |
1.1597 |
|
4.250 |
1.1455 |
|
|
| Fisher Pivots for day following 21-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1893 |
1.1880 |
| PP |
1.1881 |
1.1855 |
| S1 |
1.1869 |
1.1830 |
|