CME Swiss Franc Future September 2011
| Trading Metrics calculated at close of trading on 06-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Jul-2011 |
06-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1803 |
1.1899 |
0.0096 |
0.8% |
1.1990 |
| High |
1.1934 |
1.1962 |
0.0028 |
0.2% |
1.2091 |
| Low |
1.1761 |
1.1850 |
0.0089 |
0.8% |
1.1731 |
| Close |
1.1908 |
1.1907 |
-0.0001 |
0.0% |
1.1792 |
| Range |
0.0173 |
0.0112 |
-0.0061 |
-35.3% |
0.0360 |
| ATR |
0.0131 |
0.0130 |
-0.0001 |
-1.0% |
0.0000 |
| Volume |
53,422 |
44,841 |
-8,581 |
-16.1% |
233,297 |
|
| Daily Pivots for day following 06-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2242 |
1.2187 |
1.1969 |
|
| R3 |
1.2130 |
1.2075 |
1.1938 |
|
| R2 |
1.2018 |
1.2018 |
1.1928 |
|
| R1 |
1.1963 |
1.1963 |
1.1917 |
1.1991 |
| PP |
1.1906 |
1.1906 |
1.1906 |
1.1920 |
| S1 |
1.1851 |
1.1851 |
1.1897 |
1.1879 |
| S2 |
1.1794 |
1.1794 |
1.1886 |
|
| S3 |
1.1682 |
1.1739 |
1.1876 |
|
| S4 |
1.1570 |
1.1627 |
1.1845 |
|
|
| 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 |
1.2059 |
1.1731 |
0.0328 |
2.8% |
0.0159 |
1.3% |
54% |
False |
False |
50,437 |
| 10 |
1.2091 |
1.1731 |
0.0360 |
3.0% |
0.0139 |
1.2% |
49% |
False |
False |
44,875 |
| 20 |
1.2091 |
1.1701 |
0.0390 |
3.3% |
0.0127 |
1.1% |
53% |
False |
False |
41,851 |
| 40 |
1.2091 |
1.1195 |
0.0896 |
7.5% |
0.0124 |
1.0% |
79% |
False |
False |
21,541 |
| 60 |
1.2091 |
1.1005 |
0.1086 |
9.1% |
0.0111 |
0.9% |
83% |
False |
False |
14,381 |
| 80 |
1.2091 |
1.0725 |
0.1366 |
11.5% |
0.0097 |
0.8% |
87% |
False |
False |
10,790 |
| 100 |
1.2091 |
1.0291 |
0.1800 |
15.1% |
0.0079 |
0.7% |
90% |
False |
False |
8,632 |
| 120 |
1.2091 |
1.0291 |
0.1800 |
15.1% |
0.0066 |
0.6% |
90% |
False |
False |
7,194 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2438 |
|
2.618 |
1.2255 |
|
1.618 |
1.2143 |
|
1.000 |
1.2074 |
|
0.618 |
1.2031 |
|
HIGH |
1.1962 |
|
0.618 |
1.1919 |
|
0.500 |
1.1906 |
|
0.382 |
1.1893 |
|
LOW |
1.1850 |
|
0.618 |
1.1781 |
|
1.000 |
1.1738 |
|
1.618 |
1.1669 |
|
2.618 |
1.1557 |
|
4.250 |
1.1374 |
|
|
| Fisher Pivots for day following 06-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1907 |
1.1887 |
| PP |
1.1906 |
1.1867 |
| S1 |
1.1906 |
1.1847 |
|