CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 05-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Jul-2011 |
05-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1892 |
1.1803 |
-0.0089 |
-0.7% |
1.1990 |
| High |
1.1908 |
1.1934 |
0.0026 |
0.2% |
1.2091 |
| Low |
1.1731 |
1.1761 |
0.0030 |
0.3% |
1.1731 |
| Close |
1.1792 |
1.1908 |
0.0116 |
1.0% |
1.1792 |
| Range |
0.0177 |
0.0173 |
-0.0004 |
-2.3% |
0.0360 |
| ATR |
0.0128 |
0.0131 |
0.0003 |
2.5% |
0.0000 |
| Volume |
50,949 |
53,422 |
2,473 |
4.9% |
233,297 |
|
| Daily Pivots for day following 05-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2387 |
1.2320 |
1.2003 |
|
| R3 |
1.2214 |
1.2147 |
1.1956 |
|
| R2 |
1.2041 |
1.2041 |
1.1940 |
|
| R1 |
1.1974 |
1.1974 |
1.1924 |
1.2008 |
| PP |
1.1868 |
1.1868 |
1.1868 |
1.1884 |
| S1 |
1.1801 |
1.1801 |
1.1892 |
1.1835 |
| S2 |
1.1695 |
1.1695 |
1.1876 |
|
| S3 |
1.1522 |
1.1628 |
1.1860 |
|
| S4 |
1.1349 |
1.1455 |
1.1813 |
|
|
| Weekly Pivots for week ending 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2951 |
1.2732 |
1.1990 |
|
| R3 |
1.2591 |
1.2372 |
1.1891 |
|
| R2 |
1.2231 |
1.2231 |
1.1858 |
|
| R1 |
1.2012 |
1.2012 |
1.1825 |
1.1942 |
| PP |
1.1871 |
1.1871 |
1.1871 |
1.1836 |
| S1 |
1.1652 |
1.1652 |
1.1759 |
1.1582 |
| S2 |
1.1511 |
1.1511 |
1.1726 |
|
| S3 |
1.1151 |
1.1292 |
1.1693 |
|
| S4 |
1.0791 |
1.0932 |
1.1594 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.2091 |
1.1731 |
0.0360 |
3.0% |
0.0162 |
1.4% |
49% |
False |
False |
49,992 |
| 10 |
1.2091 |
1.1731 |
0.0360 |
3.0% |
0.0136 |
1.1% |
49% |
False |
False |
43,256 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.3% |
0.0126 |
1.1% |
53% |
False |
False |
40,241 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.5% |
0.0122 |
1.0% |
80% |
False |
False |
20,424 |
| 60 |
1.2091 |
1.0950 |
0.1141 |
9.6% |
0.0110 |
0.9% |
84% |
False |
False |
13,634 |
| 80 |
1.2091 |
1.0725 |
0.1366 |
11.5% |
0.0096 |
0.8% |
87% |
False |
False |
10,229 |
| 100 |
1.2091 |
1.0291 |
0.1800 |
15.1% |
0.0078 |
0.7% |
90% |
False |
False |
8,184 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.1% |
0.0065 |
0.5% |
90% |
False |
False |
6,820 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2669 |
|
2.618 |
1.2387 |
|
1.618 |
1.2214 |
|
1.000 |
1.2107 |
|
0.618 |
1.2041 |
|
HIGH |
1.1934 |
|
0.618 |
1.1868 |
|
0.500 |
1.1848 |
|
0.382 |
1.1827 |
|
LOW |
1.1761 |
|
0.618 |
1.1654 |
|
1.000 |
1.1588 |
|
1.618 |
1.1481 |
|
2.618 |
1.1308 |
|
4.250 |
1.1026 |
|
|
| Fisher Pivots for day following 05-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1888 |
1.1902 |
| PP |
1.1868 |
1.1895 |
| S1 |
1.1848 |
1.1889 |
|