CME Canadian Dollar Future June 2011
| Trading Metrics calculated at close of trading on 21-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Mar-2011 |
21-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0130 |
1.0130 |
0.0000 |
0.0% |
1.0253 |
| High |
1.0181 |
1.0237 |
0.0056 |
0.6% |
1.0278 |
| Low |
1.0111 |
1.0128 |
0.0017 |
0.2% |
1.0004 |
| Close |
1.0123 |
1.0202 |
0.0079 |
0.8% |
1.0123 |
| Range |
0.0070 |
0.0109 |
0.0039 |
55.7% |
0.0274 |
| ATR |
0.0086 |
0.0088 |
0.0002 |
2.3% |
0.0000 |
| Volume |
70,890 |
63,862 |
-7,028 |
-9.9% |
499,615 |
|
| Daily Pivots for day following 21-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0516 |
1.0468 |
1.0262 |
|
| R3 |
1.0407 |
1.0359 |
1.0232 |
|
| R2 |
1.0298 |
1.0298 |
1.0222 |
|
| R1 |
1.0250 |
1.0250 |
1.0212 |
1.0274 |
| PP |
1.0189 |
1.0189 |
1.0189 |
1.0201 |
| S1 |
1.0141 |
1.0141 |
1.0192 |
1.0165 |
| S2 |
1.0080 |
1.0080 |
1.0182 |
|
| S3 |
0.9971 |
1.0032 |
1.0172 |
|
| S4 |
0.9862 |
0.9923 |
1.0142 |
|
|
| Weekly Pivots for week ending 18-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0957 |
1.0814 |
1.0274 |
|
| R3 |
1.0683 |
1.0540 |
1.0198 |
|
| R2 |
1.0409 |
1.0409 |
1.0173 |
|
| R1 |
1.0266 |
1.0266 |
1.0148 |
1.0201 |
| PP |
1.0135 |
1.0135 |
1.0135 |
1.0102 |
| S1 |
0.9992 |
0.9992 |
1.0098 |
0.9927 |
| S2 |
0.9861 |
0.9861 |
1.0073 |
|
| S3 |
0.9587 |
0.9718 |
1.0048 |
|
| S4 |
0.9313 |
0.9444 |
0.9972 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0251 |
1.0004 |
0.0247 |
2.4% |
0.0139 |
1.4% |
80% |
False |
False |
101,134 |
| 10 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0104 |
1.0% |
62% |
False |
False |
79,509 |
| 20 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0087 |
0.8% |
62% |
False |
False |
41,821 |
| 40 |
1.0321 |
0.9918 |
0.0403 |
4.0% |
0.0075 |
0.7% |
70% |
False |
False |
21,066 |
| 60 |
1.0321 |
0.9800 |
0.0521 |
5.1% |
0.0072 |
0.7% |
77% |
False |
False |
14,112 |
| 80 |
1.0321 |
0.9677 |
0.0644 |
6.3% |
0.0068 |
0.7% |
82% |
False |
False |
10,610 |
| 100 |
1.0321 |
0.9624 |
0.0697 |
6.8% |
0.0064 |
0.6% |
83% |
False |
False |
8,498 |
| 120 |
1.0321 |
0.9600 |
0.0721 |
7.1% |
0.0059 |
0.6% |
83% |
False |
False |
7,087 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0700 |
|
2.618 |
1.0522 |
|
1.618 |
1.0413 |
|
1.000 |
1.0346 |
|
0.618 |
1.0304 |
|
HIGH |
1.0237 |
|
0.618 |
1.0195 |
|
0.500 |
1.0183 |
|
0.382 |
1.0170 |
|
LOW |
1.0128 |
|
0.618 |
1.0061 |
|
1.000 |
1.0019 |
|
1.618 |
0.9952 |
|
2.618 |
0.9843 |
|
4.250 |
0.9665 |
|
|
| Fisher Pivots for day following 21-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0196 |
1.0181 |
| PP |
1.0189 |
1.0160 |
| S1 |
1.0183 |
1.0140 |
|