CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 04-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Aug-2011 |
04-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0395 |
1.0391 |
-0.0004 |
0.0% |
1.0529 |
| High |
1.0442 |
1.0402 |
-0.0040 |
-0.4% |
1.0617 |
| Low |
1.0356 |
1.0177 |
-0.0179 |
-1.7% |
1.0415 |
| Close |
1.0377 |
1.0204 |
-0.0173 |
-1.7% |
1.0456 |
| Range |
0.0086 |
0.0225 |
0.0139 |
161.6% |
0.0202 |
| ATR |
0.0096 |
0.0106 |
0.0009 |
9.5% |
0.0000 |
| Volume |
120,738 |
163,823 |
43,085 |
35.7% |
367,132 |
|
| Daily Pivots for day following 04-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0936 |
1.0795 |
1.0328 |
|
| R3 |
1.0711 |
1.0570 |
1.0266 |
|
| R2 |
1.0486 |
1.0486 |
1.0245 |
|
| R1 |
1.0345 |
1.0345 |
1.0225 |
1.0303 |
| PP |
1.0261 |
1.0261 |
1.0261 |
1.0240 |
| S1 |
1.0120 |
1.0120 |
1.0183 |
1.0078 |
| S2 |
1.0036 |
1.0036 |
1.0163 |
|
| S3 |
0.9811 |
0.9895 |
1.0142 |
|
| S4 |
0.9586 |
0.9670 |
1.0080 |
|
|
| Weekly Pivots for week ending 29-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1102 |
1.0981 |
1.0567 |
|
| R3 |
1.0900 |
1.0779 |
1.0512 |
|
| R2 |
1.0698 |
1.0698 |
1.0493 |
|
| R1 |
1.0577 |
1.0577 |
1.0475 |
1.0537 |
| PP |
1.0496 |
1.0496 |
1.0496 |
1.0476 |
| S1 |
1.0375 |
1.0375 |
1.0437 |
1.0335 |
| S2 |
1.0294 |
1.0294 |
1.0419 |
|
| S3 |
1.0092 |
1.0173 |
1.0400 |
|
| S4 |
0.9890 |
0.9971 |
1.0345 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0529 |
1.0177 |
0.0352 |
3.4% |
0.0125 |
1.2% |
8% |
False |
True |
112,571 |
| 10 |
1.0617 |
1.0177 |
0.0440 |
4.3% |
0.0110 |
1.1% |
6% |
False |
True |
89,989 |
| 20 |
1.0617 |
1.0177 |
0.0440 |
4.3% |
0.0107 |
1.0% |
6% |
False |
True |
84,862 |
| 40 |
1.0617 |
1.0067 |
0.0550 |
5.4% |
0.0101 |
1.0% |
25% |
False |
False |
82,817 |
| 60 |
1.0617 |
1.0067 |
0.0550 |
5.4% |
0.0096 |
0.9% |
25% |
False |
False |
56,859 |
| 80 |
1.0617 |
1.0067 |
0.0550 |
5.4% |
0.0094 |
0.9% |
25% |
False |
False |
42,712 |
| 100 |
1.0617 |
0.9985 |
0.0632 |
6.2% |
0.0089 |
0.9% |
35% |
False |
False |
34,198 |
| 120 |
1.0617 |
0.9985 |
0.0632 |
6.2% |
0.0080 |
0.8% |
35% |
False |
False |
28,510 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1358 |
|
2.618 |
1.0991 |
|
1.618 |
1.0766 |
|
1.000 |
1.0627 |
|
0.618 |
1.0541 |
|
HIGH |
1.0402 |
|
0.618 |
1.0316 |
|
0.500 |
1.0290 |
|
0.382 |
1.0263 |
|
LOW |
1.0177 |
|
0.618 |
1.0038 |
|
1.000 |
0.9952 |
|
1.618 |
0.9813 |
|
2.618 |
0.9588 |
|
4.250 |
0.9221 |
|
|
| Fisher Pivots for day following 04-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0290 |
1.0320 |
| PP |
1.0261 |
1.0281 |
| S1 |
1.0233 |
1.0243 |
|