CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 15-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Jul-2011 |
15-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0425 |
1.0400 |
-0.0025 |
-0.2% |
1.0382 |
| High |
1.0456 |
1.0489 |
0.0033 |
0.3% |
1.0489 |
| Low |
1.0381 |
1.0374 |
-0.0007 |
-0.1% |
1.0208 |
| Close |
1.0399 |
1.0445 |
0.0046 |
0.4% |
1.0445 |
| Range |
0.0075 |
0.0115 |
0.0040 |
53.3% |
0.0281 |
| ATR |
0.0096 |
0.0097 |
0.0001 |
1.4% |
0.0000 |
| Volume |
78,682 |
70,688 |
-7,994 |
-10.2% |
411,732 |
|
| Daily Pivots for day following 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0781 |
1.0728 |
1.0508 |
|
| R3 |
1.0666 |
1.0613 |
1.0477 |
|
| R2 |
1.0551 |
1.0551 |
1.0466 |
|
| R1 |
1.0498 |
1.0498 |
1.0456 |
1.0525 |
| PP |
1.0436 |
1.0436 |
1.0436 |
1.0449 |
| S1 |
1.0383 |
1.0383 |
1.0434 |
1.0410 |
| S2 |
1.0321 |
1.0321 |
1.0424 |
|
| S3 |
1.0206 |
1.0268 |
1.0413 |
|
| S4 |
1.0091 |
1.0153 |
1.0382 |
|
|
| Weekly Pivots for week ending 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1224 |
1.1115 |
1.0600 |
|
| R3 |
1.0943 |
1.0834 |
1.0522 |
|
| R2 |
1.0662 |
1.0662 |
1.0497 |
|
| R1 |
1.0553 |
1.0553 |
1.0471 |
1.0608 |
| PP |
1.0381 |
1.0381 |
1.0381 |
1.0408 |
| S1 |
1.0272 |
1.0272 |
1.0419 |
1.0327 |
| S2 |
1.0100 |
1.0100 |
1.0393 |
|
| S3 |
0.9819 |
0.9991 |
1.0368 |
|
| S4 |
0.9538 |
0.9710 |
1.0290 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0489 |
1.0208 |
0.0281 |
2.7% |
0.0108 |
1.0% |
84% |
True |
False |
82,346 |
| 10 |
1.0489 |
1.0208 |
0.0281 |
2.7% |
0.0099 |
0.9% |
84% |
True |
False |
75,375 |
| 20 |
1.0489 |
1.0067 |
0.0422 |
4.0% |
0.0096 |
0.9% |
90% |
True |
False |
78,982 |
| 40 |
1.0489 |
1.0067 |
0.0422 |
4.0% |
0.0092 |
0.9% |
90% |
True |
False |
55,331 |
| 60 |
1.0550 |
1.0067 |
0.0483 |
4.6% |
0.0091 |
0.9% |
78% |
False |
False |
37,013 |
| 80 |
1.0550 |
1.0067 |
0.0483 |
4.6% |
0.0084 |
0.8% |
78% |
False |
False |
27,793 |
| 100 |
1.0550 |
0.9985 |
0.0565 |
5.4% |
0.0079 |
0.8% |
81% |
False |
False |
22,257 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.1% |
0.0070 |
0.7% |
84% |
False |
False |
18,552 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0978 |
|
2.618 |
1.0790 |
|
1.618 |
1.0675 |
|
1.000 |
1.0604 |
|
0.618 |
1.0560 |
|
HIGH |
1.0489 |
|
0.618 |
1.0445 |
|
0.500 |
1.0432 |
|
0.382 |
1.0418 |
|
LOW |
1.0374 |
|
0.618 |
1.0303 |
|
1.000 |
1.0259 |
|
1.618 |
1.0188 |
|
2.618 |
1.0073 |
|
4.250 |
0.9885 |
|
|
| Fisher Pivots for day following 15-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0441 |
1.0433 |
| PP |
1.0436 |
1.0420 |
| S1 |
1.0432 |
1.0408 |
|