CME Swiss Franc Future September 2012
| Trading Metrics calculated at close of trading on 15-Jun-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jun-2012 |
15-Jun-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0490 |
1.0541 |
0.0051 |
0.5% |
1.0561 |
| High |
1.0547 |
1.0902 |
0.0355 |
3.4% |
1.0902 |
| Low |
1.0468 |
1.0509 |
0.0041 |
0.4% |
1.0390 |
| Close |
1.0515 |
1.0548 |
0.0033 |
0.3% |
1.0548 |
| Range |
0.0079 |
0.0393 |
0.0314 |
397.5% |
0.0512 |
| ATR |
0.0083 |
0.0105 |
0.0022 |
26.6% |
0.0000 |
| Volume |
21,274 |
44,295 |
23,021 |
108.2% |
117,767 |
|
| Daily Pivots for day following 15-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1832 |
1.1583 |
1.0764 |
|
| R3 |
1.1439 |
1.1190 |
1.0656 |
|
| R2 |
1.1046 |
1.1046 |
1.0620 |
|
| R1 |
1.0797 |
1.0797 |
1.0584 |
1.0922 |
| PP |
1.0653 |
1.0653 |
1.0653 |
1.0715 |
| S1 |
1.0404 |
1.0404 |
1.0512 |
1.0529 |
| S2 |
1.0260 |
1.0260 |
1.0476 |
|
| S3 |
0.9867 |
1.0011 |
1.0440 |
|
| S4 |
0.9474 |
0.9618 |
1.0332 |
|
|
| Weekly Pivots for week ending 15-Jun-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2149 |
1.1861 |
1.0830 |
|
| R3 |
1.1637 |
1.1349 |
1.0689 |
|
| R2 |
1.1125 |
1.1125 |
1.0642 |
|
| R1 |
1.0837 |
1.0837 |
1.0595 |
1.0725 |
| PP |
1.0613 |
1.0613 |
1.0613 |
1.0558 |
| S1 |
1.0325 |
1.0325 |
1.0501 |
1.0213 |
| S2 |
1.0101 |
1.0101 |
1.0454 |
|
| S3 |
0.9589 |
0.9813 |
1.0407 |
|
| S4 |
0.9077 |
0.9301 |
1.0266 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0902 |
1.0390 |
0.0512 |
4.9% |
0.0163 |
1.5% |
31% |
True |
False |
23,553 |
| 10 |
1.0902 |
1.0350 |
0.0552 |
5.2% |
0.0131 |
1.2% |
36% |
True |
False |
13,396 |
| 20 |
1.0902 |
1.0280 |
0.0622 |
5.9% |
0.0102 |
1.0% |
43% |
True |
False |
6,776 |
| 40 |
1.1061 |
1.0280 |
0.0781 |
7.4% |
0.0062 |
0.6% |
34% |
False |
False |
3,394 |
| 60 |
1.1108 |
1.0280 |
0.0828 |
7.8% |
0.0048 |
0.5% |
32% |
False |
False |
2,266 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2572 |
|
2.618 |
1.1931 |
|
1.618 |
1.1538 |
|
1.000 |
1.1295 |
|
0.618 |
1.1145 |
|
HIGH |
1.0902 |
|
0.618 |
1.0752 |
|
0.500 |
1.0706 |
|
0.382 |
1.0659 |
|
LOW |
1.0509 |
|
0.618 |
1.0266 |
|
1.000 |
1.0116 |
|
1.618 |
0.9873 |
|
2.618 |
0.9480 |
|
4.250 |
0.8839 |
|
|
| Fisher Pivots for day following 15-Jun-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0706 |
1.0658 |
| PP |
1.0653 |
1.0621 |
| S1 |
1.0601 |
1.0585 |
|