CME Canadian Dollar Future June 2011
| Trading Metrics calculated at close of trading on 15-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Mar-2011 |
15-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0253 |
1.0250 |
-0.0003 |
0.0% |
1.0261 |
| High |
1.0278 |
1.0251 |
-0.0027 |
-0.3% |
1.0321 |
| Low |
1.0221 |
1.0004 |
-0.0217 |
-2.1% |
1.0181 |
| Close |
1.0240 |
1.0163 |
-0.0077 |
-0.8% |
1.0261 |
| Range |
0.0057 |
0.0247 |
0.0190 |
333.3% |
0.0140 |
| ATR |
0.0067 |
0.0080 |
0.0013 |
19.3% |
0.0000 |
| Volume |
57,803 |
163,906 |
106,103 |
183.6% |
254,884 |
|
| Daily Pivots for day following 15-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0880 |
1.0769 |
1.0299 |
|
| R3 |
1.0633 |
1.0522 |
1.0231 |
|
| R2 |
1.0386 |
1.0386 |
1.0208 |
|
| R1 |
1.0275 |
1.0275 |
1.0186 |
1.0207 |
| PP |
1.0139 |
1.0139 |
1.0139 |
1.0106 |
| S1 |
1.0028 |
1.0028 |
1.0140 |
0.9960 |
| S2 |
0.9892 |
0.9892 |
1.0118 |
|
| S3 |
0.9645 |
0.9781 |
1.0095 |
|
| S4 |
0.9398 |
0.9534 |
1.0027 |
|
|
| Weekly Pivots for week ending 11-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0674 |
1.0608 |
1.0338 |
|
| R3 |
1.0534 |
1.0468 |
1.0300 |
|
| R2 |
1.0394 |
1.0394 |
1.0287 |
|
| R1 |
1.0328 |
1.0328 |
1.0274 |
1.0331 |
| PP |
1.0254 |
1.0254 |
1.0254 |
1.0256 |
| S1 |
1.0188 |
1.0188 |
1.0248 |
1.0191 |
| S2 |
1.0114 |
1.0114 |
1.0235 |
|
| S3 |
0.9974 |
1.0048 |
1.0223 |
|
| S4 |
0.9834 |
0.9908 |
1.0184 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0110 |
1.1% |
50% |
False |
True |
83,188 |
| 10 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0079 |
0.8% |
50% |
False |
True |
48,551 |
| 20 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0074 |
0.7% |
50% |
False |
True |
24,799 |
| 40 |
1.0321 |
0.9918 |
0.0403 |
4.0% |
0.0071 |
0.7% |
61% |
False |
False |
12,568 |
| 60 |
1.0321 |
0.9754 |
0.0567 |
5.6% |
0.0068 |
0.7% |
72% |
False |
False |
8,429 |
| 80 |
1.0321 |
0.9677 |
0.0644 |
6.3% |
0.0064 |
0.6% |
75% |
False |
False |
6,341 |
| 100 |
1.0321 |
0.9624 |
0.0697 |
6.9% |
0.0061 |
0.6% |
77% |
False |
False |
5,081 |
| 120 |
1.0321 |
0.9600 |
0.0721 |
7.1% |
0.0056 |
0.6% |
78% |
False |
False |
4,240 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1301 |
|
2.618 |
1.0898 |
|
1.618 |
1.0651 |
|
1.000 |
1.0498 |
|
0.618 |
1.0404 |
|
HIGH |
1.0251 |
|
0.618 |
1.0157 |
|
0.500 |
1.0128 |
|
0.382 |
1.0098 |
|
LOW |
1.0004 |
|
0.618 |
0.9851 |
|
1.000 |
0.9757 |
|
1.618 |
0.9604 |
|
2.618 |
0.9357 |
|
4.250 |
0.8954 |
|
|
| Fisher Pivots for day following 15-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0151 |
1.0157 |
| PP |
1.0139 |
1.0150 |
| S1 |
1.0128 |
1.0144 |
|