CME Canadian Dollar Future March 2011
| Trading Metrics calculated at close of trading on 03-Feb-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Feb-2011 |
03-Feb-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0084 |
1.0110 |
0.0026 |
0.3% |
1.0058 |
| High |
1.0134 |
1.0127 |
-0.0007 |
-0.1% |
1.0078 |
| Low |
1.0070 |
1.0070 |
0.0000 |
0.0% |
0.9973 |
| Close |
1.0110 |
1.0093 |
-0.0017 |
-0.2% |
0.9989 |
| Range |
0.0064 |
0.0057 |
-0.0007 |
-10.9% |
0.0105 |
| ATR |
0.0081 |
0.0079 |
-0.0002 |
-2.1% |
0.0000 |
| Volume |
66,095 |
63,339 |
-2,756 |
-4.2% |
344,297 |
|
| Daily Pivots for day following 03-Feb-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0268 |
1.0237 |
1.0124 |
|
| R3 |
1.0211 |
1.0180 |
1.0109 |
|
| R2 |
1.0154 |
1.0154 |
1.0103 |
|
| R1 |
1.0123 |
1.0123 |
1.0098 |
1.0110 |
| PP |
1.0097 |
1.0097 |
1.0097 |
1.0090 |
| S1 |
1.0066 |
1.0066 |
1.0088 |
1.0053 |
| S2 |
1.0040 |
1.0040 |
1.0083 |
|
| S3 |
0.9983 |
1.0009 |
1.0077 |
|
| S4 |
0.9926 |
0.9952 |
1.0062 |
|
|
| Weekly Pivots for week ending 28-Jan-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0328 |
1.0264 |
1.0047 |
|
| R3 |
1.0223 |
1.0159 |
1.0018 |
|
| R2 |
1.0118 |
1.0118 |
1.0008 |
|
| R1 |
1.0054 |
1.0054 |
0.9999 |
1.0034 |
| PP |
1.0013 |
1.0013 |
1.0013 |
1.0003 |
| S1 |
0.9949 |
0.9949 |
0.9979 |
0.9929 |
| S2 |
0.9908 |
0.9908 |
0.9970 |
|
| S3 |
0.9803 |
0.9844 |
0.9960 |
|
| S4 |
0.9698 |
0.9739 |
0.9931 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0134 |
0.9932 |
0.0202 |
2.0% |
0.0082 |
0.8% |
80% |
False |
False |
77,391 |
| 10 |
1.0134 |
0.9932 |
0.0202 |
2.0% |
0.0078 |
0.8% |
80% |
False |
False |
71,413 |
| 20 |
1.0153 |
0.9932 |
0.0221 |
2.2% |
0.0078 |
0.8% |
73% |
False |
False |
72,605 |
| 40 |
1.0153 |
0.9766 |
0.0387 |
3.8% |
0.0077 |
0.8% |
84% |
False |
False |
63,502 |
| 60 |
1.0153 |
0.9701 |
0.0452 |
4.5% |
0.0085 |
0.8% |
87% |
False |
False |
43,237 |
| 80 |
1.0153 |
0.9605 |
0.0548 |
5.4% |
0.0087 |
0.9% |
89% |
False |
False |
32,515 |
| 100 |
1.0153 |
0.9600 |
0.0553 |
5.5% |
0.0086 |
0.9% |
89% |
False |
False |
26,049 |
| 120 |
1.0153 |
0.9338 |
0.0815 |
8.1% |
0.0082 |
0.8% |
93% |
False |
False |
21,722 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0369 |
|
2.618 |
1.0276 |
|
1.618 |
1.0219 |
|
1.000 |
1.0184 |
|
0.618 |
1.0162 |
|
HIGH |
1.0127 |
|
0.618 |
1.0105 |
|
0.500 |
1.0099 |
|
0.382 |
1.0092 |
|
LOW |
1.0070 |
|
0.618 |
1.0035 |
|
1.000 |
1.0013 |
|
1.618 |
0.9978 |
|
2.618 |
0.9921 |
|
4.250 |
0.9828 |
|
|
| Fisher Pivots for day following 03-Feb-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0099 |
1.0082 |
| PP |
1.0097 |
1.0070 |
| S1 |
1.0095 |
1.0059 |
|