CME Swiss Franc Future June 2011
| Trading Metrics calculated at close of trading on 31-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-May-2011 |
31-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.1557 |
1.1749 |
0.0192 |
1.7% |
1.1384 |
| High |
1.1749 |
1.1811 |
0.0062 |
0.5% |
1.1749 |
| Low |
1.1545 |
1.1702 |
0.0157 |
1.4% |
1.1240 |
| Close |
1.1721 |
1.1720 |
-0.0001 |
0.0% |
1.1721 |
| Range |
0.0204 |
0.0109 |
-0.0095 |
-46.6% |
0.0509 |
| ATR |
0.0137 |
0.0135 |
-0.0002 |
-1.4% |
0.0000 |
| Volume |
46,842 |
47,141 |
299 |
0.6% |
211,323 |
|
| Daily Pivots for day following 31-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.2071 |
1.2005 |
1.1780 |
|
| R3 |
1.1962 |
1.1896 |
1.1750 |
|
| R2 |
1.1853 |
1.1853 |
1.1740 |
|
| R1 |
1.1787 |
1.1787 |
1.1730 |
1.1766 |
| PP |
1.1744 |
1.1744 |
1.1744 |
1.1734 |
| S1 |
1.1678 |
1.1678 |
1.1710 |
1.1657 |
| S2 |
1.1635 |
1.1635 |
1.1700 |
|
| S3 |
1.1526 |
1.1569 |
1.1690 |
|
| S4 |
1.1417 |
1.1460 |
1.1660 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.3097 |
1.2918 |
1.2001 |
|
| R3 |
1.2588 |
1.2409 |
1.1861 |
|
| R2 |
1.2079 |
1.2079 |
1.1814 |
|
| R1 |
1.1900 |
1.1900 |
1.1768 |
1.1990 |
| PP |
1.1570 |
1.1570 |
1.1570 |
1.1615 |
| S1 |
1.1391 |
1.1391 |
1.1674 |
1.1481 |
| S2 |
1.1061 |
1.1061 |
1.1628 |
|
| S3 |
1.0552 |
1.0882 |
1.1581 |
|
| S4 |
1.0043 |
1.0373 |
1.1441 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.1811 |
1.1240 |
0.0571 |
4.9% |
0.0142 |
1.2% |
84% |
True |
False |
44,921 |
| 10 |
1.1811 |
1.1240 |
0.0571 |
4.9% |
0.0131 |
1.1% |
84% |
True |
False |
43,184 |
| 20 |
1.1811 |
1.1177 |
0.0634 |
5.4% |
0.0139 |
1.2% |
86% |
True |
False |
42,342 |
| 40 |
1.1811 |
1.0760 |
0.1051 |
9.0% |
0.0128 |
1.1% |
91% |
True |
False |
41,828 |
| 60 |
1.1811 |
1.0680 |
0.1131 |
9.7% |
0.0124 |
1.1% |
92% |
True |
False |
40,962 |
| 80 |
1.1811 |
1.0268 |
0.1543 |
13.2% |
0.0116 |
1.0% |
94% |
True |
False |
30,790 |
| 100 |
1.1811 |
1.0250 |
0.1561 |
13.3% |
0.0107 |
0.9% |
94% |
True |
False |
24,637 |
| 120 |
1.1811 |
1.0167 |
0.1644 |
14.0% |
0.0097 |
0.8% |
94% |
True |
False |
20,533 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2274 |
|
2.618 |
1.2096 |
|
1.618 |
1.1987 |
|
1.000 |
1.1920 |
|
0.618 |
1.1878 |
|
HIGH |
1.1811 |
|
0.618 |
1.1769 |
|
0.500 |
1.1757 |
|
0.382 |
1.1744 |
|
LOW |
1.1702 |
|
0.618 |
1.1635 |
|
1.000 |
1.1593 |
|
1.618 |
1.1526 |
|
2.618 |
1.1417 |
|
4.250 |
1.1239 |
|
|
| Fisher Pivots for day following 31-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.1757 |
1.1691 |
| PP |
1.1744 |
1.1661 |
| S1 |
1.1732 |
1.1632 |
|