CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 27-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Jul-2011 |
27-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0546 |
1.0583 |
0.0037 |
0.4% |
1.0464 |
| High |
1.0617 |
1.0613 |
-0.0004 |
0.0% |
1.0598 |
| Low |
1.0540 |
1.0505 |
-0.0035 |
-0.3% |
1.0361 |
| Close |
1.0591 |
1.0518 |
-0.0073 |
-0.7% |
1.0523 |
| Range |
0.0077 |
0.0108 |
0.0031 |
40.3% |
0.0237 |
| ATR |
0.0096 |
0.0097 |
0.0001 |
0.9% |
0.0000 |
| Volume |
63,472 |
84,428 |
20,956 |
33.0% |
371,980 |
|
| Daily Pivots for day following 27-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0869 |
1.0802 |
1.0577 |
|
| R3 |
1.0761 |
1.0694 |
1.0548 |
|
| R2 |
1.0653 |
1.0653 |
1.0538 |
|
| R1 |
1.0586 |
1.0586 |
1.0528 |
1.0566 |
| PP |
1.0545 |
1.0545 |
1.0545 |
1.0535 |
| S1 |
1.0478 |
1.0478 |
1.0508 |
1.0458 |
| S2 |
1.0437 |
1.0437 |
1.0498 |
|
| S3 |
1.0329 |
1.0370 |
1.0488 |
|
| S4 |
1.0221 |
1.0262 |
1.0459 |
|
|
| 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% |
0.0096 |
0.9% |
28% |
False |
False |
71,559 |
| 10 |
1.0617 |
1.0361 |
0.0256 |
2.4% |
0.0097 |
0.9% |
61% |
False |
False |
72,194 |
| 20 |
1.0617 |
1.0157 |
0.0460 |
4.4% |
0.0100 |
1.0% |
78% |
False |
False |
76,676 |
| 40 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0096 |
0.9% |
82% |
False |
False |
69,459 |
| 60 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0095 |
0.9% |
82% |
False |
False |
46,528 |
| 80 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0089 |
0.8% |
82% |
False |
False |
34,941 |
| 100 |
1.0617 |
0.9985 |
0.0632 |
6.0% |
0.0085 |
0.8% |
84% |
False |
False |
27,979 |
| 120 |
1.0617 |
0.9981 |
0.0636 |
6.0% |
0.0076 |
0.7% |
84% |
False |
False |
23,322 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1072 |
|
2.618 |
1.0896 |
|
1.618 |
1.0788 |
|
1.000 |
1.0721 |
|
0.618 |
1.0680 |
|
HIGH |
1.0613 |
|
0.618 |
1.0572 |
|
0.500 |
1.0559 |
|
0.382 |
1.0546 |
|
LOW |
1.0505 |
|
0.618 |
1.0438 |
|
1.000 |
1.0397 |
|
1.618 |
1.0330 |
|
2.618 |
1.0222 |
|
4.250 |
1.0046 |
|
|
| Fisher Pivots for day following 27-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0559 |
1.0551 |
| PP |
1.0545 |
1.0540 |
| S1 |
1.0532 |
1.0529 |
|