CME Canadian Dollar Future September 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 |
1.0200 |
1.0187 |
-0.0013 |
-0.1% |
1.0229 |
| High |
1.0218 |
1.0222 |
0.0004 |
0.0% |
1.0236 |
| Low |
1.0160 |
1.0179 |
0.0019 |
0.2% |
1.0158 |
| Close |
1.0192 |
1.0210 |
0.0018 |
0.2% |
1.0210 |
| Range |
0.0058 |
0.0043 |
-0.0015 |
-25.9% |
0.0078 |
| ATR |
0.0085 |
0.0082 |
-0.0003 |
-3.5% |
0.0000 |
| Volume |
712 |
755 |
43 |
6.0% |
3,496 |
|
| Daily Pivots for day following 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0333 |
1.0314 |
1.0234 |
|
| R3 |
1.0290 |
1.0271 |
1.0222 |
|
| R2 |
1.0247 |
1.0247 |
1.0218 |
|
| R1 |
1.0228 |
1.0228 |
1.0214 |
1.0238 |
| PP |
1.0204 |
1.0204 |
1.0204 |
1.0208 |
| S1 |
1.0185 |
1.0185 |
1.0206 |
1.0195 |
| S2 |
1.0161 |
1.0161 |
1.0202 |
|
| S3 |
1.0118 |
1.0142 |
1.0198 |
|
| S4 |
1.0075 |
1.0099 |
1.0186 |
|
|
| Weekly Pivots for week ending 27-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0435 |
1.0401 |
1.0253 |
|
| R3 |
1.0357 |
1.0323 |
1.0231 |
|
| R2 |
1.0279 |
1.0279 |
1.0224 |
|
| R1 |
1.0245 |
1.0245 |
1.0217 |
1.0223 |
| PP |
1.0201 |
1.0201 |
1.0201 |
1.0191 |
| S1 |
1.0167 |
1.0167 |
1.0203 |
1.0145 |
| S2 |
1.0123 |
1.0123 |
1.0196 |
|
| S3 |
1.0045 |
1.0089 |
1.0189 |
|
| S4 |
0.9967 |
1.0011 |
1.0167 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0236 |
1.0158 |
0.0078 |
0.8% |
0.0057 |
0.6% |
67% |
False |
False |
699 |
| 10 |
1.0335 |
1.0158 |
0.0177 |
1.7% |
0.0070 |
0.7% |
29% |
False |
False |
592 |
| 20 |
1.0550 |
1.0158 |
0.0392 |
3.8% |
0.0090 |
0.9% |
13% |
False |
False |
527 |
| 40 |
1.0550 |
1.0158 |
0.0392 |
3.8% |
0.0081 |
0.8% |
13% |
False |
False |
350 |
| 60 |
1.0550 |
0.9985 |
0.0565 |
5.5% |
0.0076 |
0.7% |
40% |
False |
False |
276 |
| 80 |
1.0550 |
0.9981 |
0.0569 |
5.6% |
0.0064 |
0.6% |
40% |
False |
False |
217 |
| 100 |
1.0550 |
0.9908 |
0.0642 |
6.3% |
0.0054 |
0.5% |
47% |
False |
False |
178 |
| 120 |
1.0550 |
0.9740 |
0.0810 |
7.9% |
0.0049 |
0.5% |
58% |
False |
False |
155 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0405 |
|
2.618 |
1.0335 |
|
1.618 |
1.0292 |
|
1.000 |
1.0265 |
|
0.618 |
1.0249 |
|
HIGH |
1.0222 |
|
0.618 |
1.0206 |
|
0.500 |
1.0201 |
|
0.382 |
1.0195 |
|
LOW |
1.0179 |
|
0.618 |
1.0152 |
|
1.000 |
1.0136 |
|
1.618 |
1.0109 |
|
2.618 |
1.0066 |
|
4.250 |
0.9996 |
|
|
| Fisher Pivots for day following 27-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0207 |
1.0205 |
| PP |
1.0204 |
1.0200 |
| S1 |
1.0201 |
1.0196 |
|