CME Canadian Dollar Future June 2011
| Trading Metrics calculated at close of trading on 16-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Mar-2011 |
16-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0250 |
1.0128 |
-0.0122 |
-1.2% |
1.0261 |
| High |
1.0251 |
1.0177 |
-0.0074 |
-0.7% |
1.0321 |
| Low |
1.0004 |
1.0013 |
0.0009 |
0.1% |
1.0181 |
| Close |
1.0163 |
1.0062 |
-0.0101 |
-1.0% |
1.0261 |
| Range |
0.0247 |
0.0164 |
-0.0083 |
-33.6% |
0.0140 |
| ATR |
0.0080 |
0.0086 |
0.0006 |
7.6% |
0.0000 |
| Volume |
163,906 |
122,541 |
-41,365 |
-25.2% |
254,884 |
|
| Daily Pivots for day following 16-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0576 |
1.0483 |
1.0152 |
|
| R3 |
1.0412 |
1.0319 |
1.0107 |
|
| R2 |
1.0248 |
1.0248 |
1.0092 |
|
| R1 |
1.0155 |
1.0155 |
1.0077 |
1.0120 |
| PP |
1.0084 |
1.0084 |
1.0084 |
1.0066 |
| S1 |
0.9991 |
0.9991 |
1.0047 |
0.9956 |
| S2 |
0.9920 |
0.9920 |
1.0032 |
|
| S3 |
0.9756 |
0.9827 |
1.0017 |
|
| S4 |
0.9592 |
0.9663 |
0.9972 |
|
|
| 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 |
1.0305 |
1.0004 |
0.0301 |
3.0% |
0.0132 |
1.3% |
19% |
False |
False |
99,378 |
| 10 |
1.0321 |
1.0004 |
0.0317 |
3.2% |
0.0088 |
0.9% |
18% |
False |
False |
60,484 |
| 20 |
1.0321 |
1.0004 |
0.0317 |
3.2% |
0.0079 |
0.8% |
18% |
False |
False |
30,914 |
| 40 |
1.0321 |
0.9918 |
0.0403 |
4.0% |
0.0072 |
0.7% |
36% |
False |
False |
15,628 |
| 60 |
1.0321 |
0.9754 |
0.0567 |
5.6% |
0.0070 |
0.7% |
54% |
False |
False |
10,470 |
| 80 |
1.0321 |
0.9677 |
0.0644 |
6.4% |
0.0066 |
0.7% |
60% |
False |
False |
7,872 |
| 100 |
1.0321 |
0.9624 |
0.0697 |
6.9% |
0.0062 |
0.6% |
63% |
False |
False |
6,306 |
| 120 |
1.0321 |
0.9600 |
0.0721 |
7.2% |
0.0057 |
0.6% |
64% |
False |
False |
5,261 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0874 |
|
2.618 |
1.0606 |
|
1.618 |
1.0442 |
|
1.000 |
1.0341 |
|
0.618 |
1.0278 |
|
HIGH |
1.0177 |
|
0.618 |
1.0114 |
|
0.500 |
1.0095 |
|
0.382 |
1.0076 |
|
LOW |
1.0013 |
|
0.618 |
0.9912 |
|
1.000 |
0.9849 |
|
1.618 |
0.9748 |
|
2.618 |
0.9584 |
|
4.250 |
0.9316 |
|
|
| Fisher Pivots for day following 16-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0095 |
1.0141 |
| PP |
1.0084 |
1.0115 |
| S1 |
1.0073 |
1.0088 |
|