CME Canadian Dollar Future March 2011
| Trading Metrics calculated at close of trading on 27-Jan-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jan-2011 |
27-Jan-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0025 |
1.0041 |
0.0016 |
0.2% |
1.0109 |
| High |
1.0054 |
1.0065 |
0.0011 |
0.1% |
1.0153 |
| Low |
0.9994 |
1.0003 |
0.0009 |
0.1% |
0.9957 |
| Close |
1.0037 |
1.0051 |
0.0014 |
0.1% |
1.0042 |
| Range |
0.0060 |
0.0062 |
0.0002 |
3.3% |
0.0196 |
| ATR |
0.0080 |
0.0078 |
-0.0001 |
-1.6% |
0.0000 |
| Volume |
62,061 |
76,891 |
14,830 |
23.9% |
314,454 |
|
| Daily Pivots for day following 27-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0226 |
1.0200 |
1.0085 |
|
| R3 |
1.0164 |
1.0138 |
1.0068 |
|
| R2 |
1.0102 |
1.0102 |
1.0062 |
|
| R1 |
1.0076 |
1.0076 |
1.0057 |
1.0089 |
| PP |
1.0040 |
1.0040 |
1.0040 |
1.0046 |
| S1 |
1.0014 |
1.0014 |
1.0045 |
1.0027 |
| S2 |
0.9978 |
0.9978 |
1.0040 |
|
| S3 |
0.9916 |
0.9952 |
1.0034 |
|
| S4 |
0.9854 |
0.9890 |
1.0017 |
|
|
| Weekly Pivots for week ending 21-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0639 |
1.0536 |
1.0150 |
|
| R3 |
1.0443 |
1.0340 |
1.0096 |
|
| R2 |
1.0247 |
1.0247 |
1.0078 |
|
| R1 |
1.0144 |
1.0144 |
1.0060 |
1.0098 |
| PP |
1.0051 |
1.0051 |
1.0051 |
1.0027 |
| S1 |
0.9948 |
0.9948 |
1.0024 |
0.9902 |
| S2 |
0.9855 |
0.9855 |
1.0006 |
|
| S3 |
0.9659 |
0.9752 |
0.9988 |
|
| S4 |
0.9463 |
0.9556 |
0.9934 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0082 |
0.9975 |
0.0107 |
1.1% |
0.0074 |
0.7% |
71% |
False |
False |
65,434 |
| 10 |
1.0153 |
0.9957 |
0.0196 |
2.0% |
0.0078 |
0.8% |
48% |
False |
False |
71,916 |
| 20 |
1.0153 |
0.9950 |
0.0203 |
2.0% |
0.0076 |
0.8% |
50% |
False |
False |
66,239 |
| 40 |
1.0153 |
0.9716 |
0.0437 |
4.3% |
0.0080 |
0.8% |
77% |
False |
False |
54,933 |
| 60 |
1.0153 |
0.9701 |
0.0452 |
4.5% |
0.0084 |
0.8% |
77% |
False |
False |
36,820 |
| 80 |
1.0153 |
0.9605 |
0.0548 |
5.5% |
0.0087 |
0.9% |
81% |
False |
False |
27,694 |
| 100 |
1.0153 |
0.9500 |
0.0653 |
6.5% |
0.0086 |
0.9% |
84% |
False |
False |
22,185 |
| 120 |
1.0153 |
0.9338 |
0.0815 |
8.1% |
0.0082 |
0.8% |
87% |
False |
False |
18,501 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0329 |
|
2.618 |
1.0227 |
|
1.618 |
1.0165 |
|
1.000 |
1.0127 |
|
0.618 |
1.0103 |
|
HIGH |
1.0065 |
|
0.618 |
1.0041 |
|
0.500 |
1.0034 |
|
0.382 |
1.0027 |
|
LOW |
1.0003 |
|
0.618 |
0.9965 |
|
1.000 |
0.9941 |
|
1.618 |
0.9903 |
|
2.618 |
0.9841 |
|
4.250 |
0.9740 |
|
|
| Fisher Pivots for day following 27-Jan-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0045 |
1.0043 |
| PP |
1.0040 |
1.0035 |
| S1 |
1.0034 |
1.0027 |
|