CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 26-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Jul-2011 |
26-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0529 |
1.0546 |
0.0017 |
0.2% |
1.0464 |
| High |
1.0585 |
1.0617 |
0.0032 |
0.3% |
1.0598 |
| Low |
1.0484 |
1.0540 |
0.0056 |
0.5% |
1.0361 |
| Close |
1.0565 |
1.0591 |
0.0026 |
0.2% |
1.0523 |
| Range |
0.0101 |
0.0077 |
-0.0024 |
-23.8% |
0.0237 |
| ATR |
0.0098 |
0.0096 |
-0.0001 |
-1.5% |
0.0000 |
| Volume |
52,692 |
63,472 |
10,780 |
20.5% |
371,980 |
|
| Daily Pivots for day following 26-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0814 |
1.0779 |
1.0633 |
|
| R3 |
1.0737 |
1.0702 |
1.0612 |
|
| R2 |
1.0660 |
1.0660 |
1.0605 |
|
| R1 |
1.0625 |
1.0625 |
1.0598 |
1.0643 |
| PP |
1.0583 |
1.0583 |
1.0583 |
1.0591 |
| S1 |
1.0548 |
1.0548 |
1.0584 |
1.0566 |
| S2 |
1.0506 |
1.0506 |
1.0577 |
|
| S3 |
1.0429 |
1.0471 |
1.0570 |
|
| S4 |
1.0352 |
1.0394 |
1.0549 |
|
|
| Weekly Pivots for week ending 22-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1205 |
1.1101 |
1.0653 |
|
| R3 |
1.0968 |
1.0864 |
1.0588 |
|
| R2 |
1.0731 |
1.0731 |
1.0566 |
|
| R1 |
1.0627 |
1.0627 |
1.0545 |
1.0679 |
| PP |
1.0494 |
1.0494 |
1.0494 |
1.0520 |
| S1 |
1.0390 |
1.0390 |
1.0501 |
1.0442 |
| S2 |
1.0257 |
1.0257 |
1.0480 |
|
| S3 |
1.0020 |
1.0153 |
1.0458 |
|
| S4 |
0.9783 |
0.9916 |
1.0393 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0617 |
1.0479 |
0.0138 |
1.3% |
0.0087 |
0.8% |
81% |
True |
False |
68,749 |
| 10 |
1.0617 |
1.0326 |
0.0291 |
2.7% |
0.0096 |
0.9% |
91% |
True |
False |
72,378 |
| 20 |
1.0617 |
1.0096 |
0.0521 |
4.9% |
0.0098 |
0.9% |
95% |
True |
False |
76,089 |
| 40 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0097 |
0.9% |
95% |
True |
False |
67,423 |
| 60 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0094 |
0.9% |
95% |
True |
False |
45,124 |
| 80 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0089 |
0.8% |
95% |
True |
False |
33,886 |
| 100 |
1.0617 |
0.9985 |
0.0632 |
6.0% |
0.0084 |
0.8% |
96% |
True |
False |
27,135 |
| 120 |
1.0617 |
0.9981 |
0.0636 |
6.0% |
0.0075 |
0.7% |
96% |
True |
False |
22,619 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0944 |
|
2.618 |
1.0819 |
|
1.618 |
1.0742 |
|
1.000 |
1.0694 |
|
0.618 |
1.0665 |
|
HIGH |
1.0617 |
|
0.618 |
1.0588 |
|
0.500 |
1.0579 |
|
0.382 |
1.0569 |
|
LOW |
1.0540 |
|
0.618 |
1.0492 |
|
1.000 |
1.0463 |
|
1.618 |
1.0415 |
|
2.618 |
1.0338 |
|
4.250 |
1.0213 |
|
|
| Fisher Pivots for day following 26-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0587 |
1.0577 |
| PP |
1.0583 |
1.0562 |
| S1 |
1.0579 |
1.0548 |
|