CME Canadian Dollar Future March 2011
| Trading Metrics calculated at close of trading on 06-Jan-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
05-Jan-2011 |
06-Jan-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0001 |
1.0021 |
0.0020 |
0.2% |
0.9900 |
| High |
1.0053 |
1.0061 |
0.0008 |
0.1% |
1.0061 |
| Low |
0.9962 |
0.9991 |
0.0029 |
0.3% |
0.9875 |
| Close |
1.0024 |
1.0024 |
0.0000 |
0.0% |
1.0044 |
| Range |
0.0091 |
0.0070 |
-0.0021 |
-23.1% |
0.0186 |
| ATR |
0.0083 |
0.0082 |
-0.0001 |
-1.1% |
0.0000 |
| Volume |
72,487 |
68,172 |
-4,315 |
-6.0% |
200,773 |
|
| Daily Pivots for day following 06-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0235 |
1.0200 |
1.0063 |
|
| R3 |
1.0165 |
1.0130 |
1.0043 |
|
| R2 |
1.0095 |
1.0095 |
1.0037 |
|
| R1 |
1.0060 |
1.0060 |
1.0030 |
1.0078 |
| PP |
1.0025 |
1.0025 |
1.0025 |
1.0034 |
| S1 |
0.9990 |
0.9990 |
1.0018 |
1.0008 |
| S2 |
0.9955 |
0.9955 |
1.0011 |
|
| S3 |
0.9885 |
0.9920 |
1.0005 |
|
| S4 |
0.9815 |
0.9850 |
0.9986 |
|
|
| Weekly Pivots for week ending 31-Dec-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0551 |
1.0484 |
1.0146 |
|
| R3 |
1.0365 |
1.0298 |
1.0095 |
|
| R2 |
1.0179 |
1.0179 |
1.0078 |
|
| R1 |
1.0112 |
1.0112 |
1.0061 |
1.0146 |
| PP |
0.9993 |
0.9993 |
0.9993 |
1.0010 |
| S1 |
0.9926 |
0.9926 |
1.0027 |
0.9960 |
| S2 |
0.9807 |
0.9807 |
1.0010 |
|
| S3 |
0.9621 |
0.9740 |
0.9993 |
|
| S4 |
0.9435 |
0.9554 |
0.9942 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0097 |
0.9950 |
0.0147 |
1.5% |
0.0085 |
0.8% |
50% |
False |
False |
58,918 |
| 10 |
1.0097 |
0.9821 |
0.0276 |
2.8% |
0.0078 |
0.8% |
74% |
False |
False |
51,210 |
| 20 |
1.0097 |
0.9766 |
0.0331 |
3.3% |
0.0076 |
0.8% |
78% |
False |
False |
56,404 |
| 40 |
1.0097 |
0.9701 |
0.0396 |
4.0% |
0.0087 |
0.9% |
82% |
False |
False |
30,253 |
| 60 |
1.0097 |
0.9605 |
0.0492 |
4.9% |
0.0089 |
0.9% |
85% |
False |
False |
20,286 |
| 80 |
1.0097 |
0.9600 |
0.0497 |
5.0% |
0.0088 |
0.9% |
85% |
False |
False |
15,258 |
| 100 |
1.0097 |
0.9338 |
0.0759 |
7.6% |
0.0084 |
0.8% |
90% |
False |
False |
12,227 |
| 120 |
1.0097 |
0.9338 |
0.0759 |
7.6% |
0.0077 |
0.8% |
90% |
False |
False |
10,195 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0359 |
|
2.618 |
1.0244 |
|
1.618 |
1.0174 |
|
1.000 |
1.0131 |
|
0.618 |
1.0104 |
|
HIGH |
1.0061 |
|
0.618 |
1.0034 |
|
0.500 |
1.0026 |
|
0.382 |
1.0018 |
|
LOW |
0.9991 |
|
0.618 |
0.9948 |
|
1.000 |
0.9921 |
|
1.618 |
0.9878 |
|
2.618 |
0.9808 |
|
4.250 |
0.9694 |
|
|
| Fisher Pivots for day following 06-Jan-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0026 |
1.0019 |
| PP |
1.0025 |
1.0014 |
| S1 |
1.0025 |
1.0009 |
|