CME Canadian Dollar Future June 2011
| Trading Metrics calculated at close of trading on 27-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-May-2011 |
27-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0222 |
1.0218 |
-0.0004 |
0.0% |
1.0260 |
| High |
1.0245 |
1.0249 |
0.0004 |
0.0% |
1.0282 |
| Low |
1.0182 |
1.0202 |
0.0020 |
0.2% |
1.0182 |
| Close |
1.0216 |
1.0235 |
0.0019 |
0.2% |
1.0235 |
| Range |
0.0063 |
0.0047 |
-0.0016 |
-25.4% |
0.0100 |
| ATR |
0.0091 |
0.0088 |
-0.0003 |
-3.5% |
0.0000 |
| Volume |
85,099 |
58,324 |
-26,775 |
-31.5% |
347,307 |
|
| Daily Pivots for day following 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0370 |
1.0349 |
1.0261 |
|
| R3 |
1.0323 |
1.0302 |
1.0248 |
|
| R2 |
1.0276 |
1.0276 |
1.0244 |
|
| R1 |
1.0255 |
1.0255 |
1.0239 |
1.0266 |
| PP |
1.0229 |
1.0229 |
1.0229 |
1.0234 |
| S1 |
1.0208 |
1.0208 |
1.0231 |
1.0219 |
| S2 |
1.0182 |
1.0182 |
1.0226 |
|
| S3 |
1.0135 |
1.0161 |
1.0222 |
|
| S4 |
1.0088 |
1.0114 |
1.0209 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0533 |
1.0484 |
1.0290 |
|
| R3 |
1.0433 |
1.0384 |
1.0263 |
|
| R2 |
1.0333 |
1.0333 |
1.0253 |
|
| R1 |
1.0284 |
1.0284 |
1.0244 |
1.0259 |
| PP |
1.0233 |
1.0233 |
1.0233 |
1.0220 |
| S1 |
1.0184 |
1.0184 |
1.0226 |
1.0159 |
| S2 |
1.0133 |
1.0133 |
1.0217 |
|
| S3 |
1.0033 |
1.0084 |
1.0208 |
|
| S4 |
0.9933 |
0.9984 |
1.0180 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0282 |
1.0182 |
0.0100 |
1.0% |
0.0064 |
0.6% |
53% |
False |
False |
69,461 |
| 10 |
1.0366 |
1.0182 |
0.0184 |
1.8% |
0.0078 |
0.8% |
29% |
False |
False |
76,953 |
| 20 |
1.0576 |
1.0182 |
0.0394 |
3.8% |
0.0097 |
0.9% |
13% |
False |
False |
87,864 |
| 40 |
1.0578 |
1.0182 |
0.0396 |
3.9% |
0.0090 |
0.9% |
13% |
False |
False |
78,801 |
| 60 |
1.0578 |
1.0004 |
0.0574 |
5.6% |
0.0089 |
0.9% |
40% |
False |
False |
74,746 |
| 80 |
1.0578 |
0.9987 |
0.0591 |
5.8% |
0.0083 |
0.8% |
42% |
False |
False |
56,292 |
| 100 |
1.0578 |
0.9918 |
0.0660 |
6.4% |
0.0080 |
0.8% |
48% |
False |
False |
45,082 |
| 120 |
1.0578 |
0.9754 |
0.0824 |
8.1% |
0.0077 |
0.7% |
58% |
False |
False |
37,591 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0449 |
|
2.618 |
1.0372 |
|
1.618 |
1.0325 |
|
1.000 |
1.0296 |
|
0.618 |
1.0278 |
|
HIGH |
1.0249 |
|
0.618 |
1.0231 |
|
0.500 |
1.0226 |
|
0.382 |
1.0220 |
|
LOW |
1.0202 |
|
0.618 |
1.0173 |
|
1.000 |
1.0155 |
|
1.618 |
1.0126 |
|
2.618 |
1.0079 |
|
4.250 |
1.0002 |
|
|
| Fisher Pivots for day following 27-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0232 |
1.0230 |
| PP |
1.0229 |
1.0225 |
| S1 |
1.0226 |
1.0220 |
|