CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 31-May-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-May-2011 |
31-May-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0187 |
1.0202 |
0.0015 |
0.1% |
1.0229 |
| High |
1.0222 |
1.0330 |
0.0108 |
1.1% |
1.0236 |
| Low |
1.0179 |
1.0190 |
0.0011 |
0.1% |
1.0158 |
| Close |
1.0210 |
1.0293 |
0.0083 |
0.8% |
1.0210 |
| Range |
0.0043 |
0.0140 |
0.0097 |
225.6% |
0.0078 |
| ATR |
0.0082 |
0.0086 |
0.0004 |
5.0% |
0.0000 |
| Volume |
755 |
2,966 |
2,211 |
292.8% |
3,496 |
|
| Daily Pivots for day following 31-May-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0691 |
1.0632 |
1.0370 |
|
| R3 |
1.0551 |
1.0492 |
1.0332 |
|
| R2 |
1.0411 |
1.0411 |
1.0319 |
|
| R1 |
1.0352 |
1.0352 |
1.0306 |
1.0382 |
| PP |
1.0271 |
1.0271 |
1.0271 |
1.0286 |
| S1 |
1.0212 |
1.0212 |
1.0280 |
1.0242 |
| S2 |
1.0131 |
1.0131 |
1.0267 |
|
| S3 |
0.9991 |
1.0072 |
1.0255 |
|
| S4 |
0.9851 |
0.9932 |
1.0216 |
|
|
| 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 |
1.0330 |
1.0158 |
0.0172 |
1.7% |
0.0071 |
0.7% |
78% |
True |
False |
1,151 |
| 10 |
1.0335 |
1.0158 |
0.0177 |
1.7% |
0.0075 |
0.7% |
76% |
False |
False |
830 |
| 20 |
1.0531 |
1.0158 |
0.0373 |
3.6% |
0.0093 |
0.9% |
36% |
False |
False |
665 |
| 40 |
1.0550 |
1.0158 |
0.0392 |
3.8% |
0.0083 |
0.8% |
34% |
False |
False |
423 |
| 60 |
1.0550 |
0.9985 |
0.0565 |
5.5% |
0.0078 |
0.8% |
55% |
False |
False |
325 |
| 80 |
1.0550 |
0.9981 |
0.0569 |
5.5% |
0.0066 |
0.6% |
55% |
False |
False |
253 |
| 100 |
1.0550 |
0.9908 |
0.0642 |
6.2% |
0.0055 |
0.5% |
60% |
False |
False |
207 |
| 120 |
1.0550 |
0.9740 |
0.0810 |
7.9% |
0.0049 |
0.5% |
68% |
False |
False |
179 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0925 |
|
2.618 |
1.0697 |
|
1.618 |
1.0557 |
|
1.000 |
1.0470 |
|
0.618 |
1.0417 |
|
HIGH |
1.0330 |
|
0.618 |
1.0277 |
|
0.500 |
1.0260 |
|
0.382 |
1.0243 |
|
LOW |
1.0190 |
|
0.618 |
1.0103 |
|
1.000 |
1.0050 |
|
1.618 |
0.9963 |
|
2.618 |
0.9823 |
|
4.250 |
0.9595 |
|
|
| Fisher Pivots for day following 31-May-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0282 |
1.0277 |
| PP |
1.0271 |
1.0261 |
| S1 |
1.0260 |
1.0245 |
|