CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 18-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Jul-2011 |
18-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0400 |
1.0464 |
0.0064 |
0.6% |
1.0382 |
| High |
1.0489 |
1.0470 |
-0.0019 |
-0.2% |
1.0489 |
| Low |
1.0374 |
1.0361 |
-0.0013 |
-0.1% |
1.0208 |
| Close |
1.0445 |
1.0405 |
-0.0040 |
-0.4% |
1.0445 |
| Range |
0.0115 |
0.0109 |
-0.0006 |
-5.2% |
0.0281 |
| ATR |
0.0097 |
0.0098 |
0.0001 |
0.9% |
0.0000 |
| Volume |
70,688 |
59,586 |
-11,102 |
-15.7% |
411,732 |
|
| Daily Pivots for day following 18-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0739 |
1.0681 |
1.0465 |
|
| R3 |
1.0630 |
1.0572 |
1.0435 |
|
| R2 |
1.0521 |
1.0521 |
1.0425 |
|
| R1 |
1.0463 |
1.0463 |
1.0415 |
1.0438 |
| PP |
1.0412 |
1.0412 |
1.0412 |
1.0399 |
| S1 |
1.0354 |
1.0354 |
1.0395 |
1.0329 |
| S2 |
1.0303 |
1.0303 |
1.0385 |
|
| S3 |
1.0194 |
1.0245 |
1.0375 |
|
| S4 |
1.0085 |
1.0136 |
1.0345 |
|
|
| 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% |
0.0112 |
1.1% |
70% |
False |
False |
78,915 |
| 10 |
1.0489 |
1.0208 |
0.0281 |
2.7% |
0.0102 |
1.0% |
70% |
False |
False |
75,822 |
| 20 |
1.0489 |
1.0067 |
0.0422 |
4.1% |
0.0096 |
0.9% |
80% |
False |
False |
77,786 |
| 40 |
1.0489 |
1.0067 |
0.0422 |
4.1% |
0.0093 |
0.9% |
80% |
False |
False |
56,810 |
| 60 |
1.0550 |
1.0067 |
0.0483 |
4.6% |
0.0092 |
0.9% |
70% |
False |
False |
38,002 |
| 80 |
1.0550 |
1.0067 |
0.0483 |
4.6% |
0.0085 |
0.8% |
70% |
False |
False |
28,537 |
| 100 |
1.0550 |
0.9985 |
0.0565 |
5.4% |
0.0080 |
0.8% |
74% |
False |
False |
22,852 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.2% |
0.0071 |
0.7% |
77% |
False |
False |
19,048 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0933 |
|
2.618 |
1.0755 |
|
1.618 |
1.0646 |
|
1.000 |
1.0579 |
|
0.618 |
1.0537 |
|
HIGH |
1.0470 |
|
0.618 |
1.0428 |
|
0.500 |
1.0416 |
|
0.382 |
1.0403 |
|
LOW |
1.0361 |
|
0.618 |
1.0294 |
|
1.000 |
1.0252 |
|
1.618 |
1.0185 |
|
2.618 |
1.0076 |
|
4.250 |
0.9898 |
|
|
| Fisher Pivots for day following 18-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0416 |
1.0425 |
| PP |
1.0412 |
1.0418 |
| S1 |
1.0409 |
1.0412 |
|