CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 28-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jul-2011 |
28-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0583 |
1.0523 |
-0.0060 |
-0.6% |
1.0464 |
| High |
1.0613 |
1.0560 |
-0.0053 |
-0.5% |
1.0598 |
| Low |
1.0505 |
1.0487 |
-0.0018 |
-0.2% |
1.0361 |
| Close |
1.0518 |
1.0509 |
-0.0009 |
-0.1% |
1.0523 |
| Range |
0.0108 |
0.0073 |
-0.0035 |
-32.4% |
0.0237 |
| ATR |
0.0097 |
0.0096 |
-0.0002 |
-1.8% |
0.0000 |
| Volume |
84,428 |
59,974 |
-24,454 |
-29.0% |
371,980 |
|
| Daily Pivots for day following 28-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0738 |
1.0696 |
1.0549 |
|
| R3 |
1.0665 |
1.0623 |
1.0529 |
|
| R2 |
1.0592 |
1.0592 |
1.0522 |
|
| R1 |
1.0550 |
1.0550 |
1.0516 |
1.0535 |
| PP |
1.0519 |
1.0519 |
1.0519 |
1.0511 |
| S1 |
1.0477 |
1.0477 |
1.0502 |
1.0462 |
| S2 |
1.0446 |
1.0446 |
1.0496 |
|
| S3 |
1.0373 |
1.0404 |
1.0489 |
|
| S4 |
1.0300 |
1.0331 |
1.0469 |
|
|
| 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% |
0.0094 |
0.9% |
22% |
False |
False |
67,406 |
| 10 |
1.0617 |
1.0361 |
0.0256 |
2.4% |
0.0097 |
0.9% |
58% |
False |
False |
70,323 |
| 20 |
1.0617 |
1.0208 |
0.0409 |
3.9% |
0.0096 |
0.9% |
74% |
False |
False |
73,688 |
| 40 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0095 |
0.9% |
80% |
False |
False |
70,838 |
| 60 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0095 |
0.9% |
80% |
False |
False |
47,524 |
| 80 |
1.0617 |
1.0067 |
0.0550 |
5.2% |
0.0089 |
0.9% |
80% |
False |
False |
35,689 |
| 100 |
1.0617 |
0.9985 |
0.0632 |
6.0% |
0.0085 |
0.8% |
83% |
False |
False |
28,578 |
| 120 |
1.0617 |
0.9981 |
0.0636 |
6.1% |
0.0076 |
0.7% |
83% |
False |
False |
23,821 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0870 |
|
2.618 |
1.0751 |
|
1.618 |
1.0678 |
|
1.000 |
1.0633 |
|
0.618 |
1.0605 |
|
HIGH |
1.0560 |
|
0.618 |
1.0532 |
|
0.500 |
1.0524 |
|
0.382 |
1.0515 |
|
LOW |
1.0487 |
|
0.618 |
1.0442 |
|
1.000 |
1.0414 |
|
1.618 |
1.0369 |
|
2.618 |
1.0296 |
|
4.250 |
1.0177 |
|
|
| Fisher Pivots for day following 28-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0524 |
1.0552 |
| PP |
1.0519 |
1.0538 |
| S1 |
1.0514 |
1.0523 |
|