CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 29-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Jun-2011 |
29-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1983 |
1.2026 |
0.0043 |
0.4% |
1.1786 |
| High |
1.2091 |
1.2059 |
-0.0032 |
-0.3% |
1.2052 |
| Low |
1.1963 |
1.1956 |
-0.0007 |
-0.1% |
1.1748 |
| Close |
1.2026 |
1.1988 |
-0.0038 |
-0.3% |
1.1946 |
| Range |
0.0128 |
0.0103 |
-0.0025 |
-19.5% |
0.0304 |
| ATR |
0.0117 |
0.0116 |
-0.0001 |
-0.9% |
0.0000 |
| Volume |
42,617 |
45,844 |
3,227 |
7.6% |
181,572 |
|
| Daily Pivots for day following 29-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2310 |
1.2252 |
1.2045 |
|
| R3 |
1.2207 |
1.2149 |
1.2016 |
|
| R2 |
1.2104 |
1.2104 |
1.2007 |
|
| R1 |
1.2046 |
1.2046 |
1.1997 |
1.2024 |
| PP |
1.2001 |
1.2001 |
1.2001 |
1.1990 |
| S1 |
1.1943 |
1.1943 |
1.1979 |
1.1921 |
| S2 |
1.1898 |
1.1898 |
1.1969 |
|
| S3 |
1.1795 |
1.1840 |
1.1960 |
|
| S4 |
1.1692 |
1.1737 |
1.1931 |
|
|
| Weekly Pivots for week ending 24-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2827 |
1.2691 |
1.2113 |
|
| R3 |
1.2523 |
1.2387 |
1.2030 |
|
| R2 |
1.2219 |
1.2219 |
1.2002 |
|
| R1 |
1.2083 |
1.2083 |
1.1974 |
1.2151 |
| PP |
1.1915 |
1.1915 |
1.1915 |
1.1950 |
| S1 |
1.1779 |
1.1779 |
1.1918 |
1.1847 |
| S2 |
1.1611 |
1.1611 |
1.1890 |
|
| S3 |
1.1307 |
1.1475 |
1.1862 |
|
| S4 |
1.1003 |
1.1171 |
1.1779 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2091 |
1.1855 |
0.0236 |
2.0% |
0.0114 |
0.9% |
56% |
False |
False |
40,663 |
| 10 |
1.2091 |
1.1705 |
0.0386 |
3.2% |
0.0114 |
0.9% |
73% |
False |
False |
39,349 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.3% |
0.0112 |
0.9% |
74% |
False |
False |
32,533 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.5% |
0.0119 |
1.0% |
89% |
False |
False |
16,396 |
| 60 |
1.2091 |
1.0810 |
0.1281 |
10.7% |
0.0103 |
0.9% |
92% |
False |
False |
10,943 |
| 80 |
1.2091 |
1.0696 |
0.1395 |
11.6% |
0.0089 |
0.7% |
93% |
False |
False |
8,211 |
| 100 |
1.2091 |
1.0291 |
0.1800 |
15.0% |
0.0072 |
0.6% |
94% |
False |
False |
6,569 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.0% |
0.0060 |
0.5% |
94% |
False |
False |
5,474 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2497 |
|
2.618 |
1.2329 |
|
1.618 |
1.2226 |
|
1.000 |
1.2162 |
|
0.618 |
1.2123 |
|
HIGH |
1.2059 |
|
0.618 |
1.2020 |
|
0.500 |
1.2008 |
|
0.382 |
1.1995 |
|
LOW |
1.1956 |
|
0.618 |
1.1892 |
|
1.000 |
1.1853 |
|
1.618 |
1.1789 |
|
2.618 |
1.1686 |
|
4.250 |
1.1518 |
|
|
| Fisher Pivots for day following 29-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.2008 |
1.2013 |
| PP |
1.2001 |
1.2004 |
| S1 |
1.1995 |
1.1996 |
|