CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 09-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
08-Aug-2011 |
09-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0162 |
1.0060 |
-0.0102 |
-1.0% |
1.0460 |
| High |
1.0213 |
1.0225 |
0.0012 |
0.1% |
1.0523 |
| Low |
1.0045 |
0.9980 |
-0.0065 |
-0.6% |
1.0139 |
| Close |
1.0064 |
1.0050 |
-0.0014 |
-0.1% |
1.0198 |
| Range |
0.0168 |
0.0245 |
0.0077 |
45.8% |
0.0384 |
| ATR |
0.0111 |
0.0120 |
0.0010 |
8.7% |
0.0000 |
| Volume |
163,564 |
193,029 |
29,465 |
18.0% |
659,094 |
|
| Daily Pivots for day following 09-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0820 |
1.0680 |
1.0185 |
|
| R3 |
1.0575 |
1.0435 |
1.0117 |
|
| R2 |
1.0330 |
1.0330 |
1.0095 |
|
| R1 |
1.0190 |
1.0190 |
1.0072 |
1.0138 |
| PP |
1.0085 |
1.0085 |
1.0085 |
1.0059 |
| S1 |
0.9945 |
0.9945 |
1.0028 |
0.9893 |
| S2 |
0.9840 |
0.9840 |
1.0005 |
|
| S3 |
0.9595 |
0.9700 |
0.9983 |
|
| S4 |
0.9350 |
0.9455 |
0.9915 |
|
|
| Weekly Pivots for week ending 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1439 |
1.1202 |
1.0409 |
|
| R3 |
1.1055 |
1.0818 |
1.0304 |
|
| R2 |
1.0671 |
1.0671 |
1.0268 |
|
| R1 |
1.0434 |
1.0434 |
1.0233 |
1.0361 |
| PP |
1.0287 |
1.0287 |
1.0287 |
1.0250 |
| S1 |
1.0050 |
1.0050 |
1.0163 |
0.9977 |
| S2 |
0.9903 |
0.9903 |
1.0128 |
|
| S3 |
0.9519 |
0.9666 |
1.0092 |
|
| S4 |
0.9135 |
0.9282 |
0.9987 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0442 |
0.9980 |
0.0462 |
4.6% |
0.0168 |
1.7% |
15% |
False |
True |
168,791 |
| 10 |
1.0613 |
0.9980 |
0.0633 |
6.3% |
0.0134 |
1.3% |
11% |
False |
True |
126,665 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0115 |
1.1% |
11% |
False |
True |
99,521 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0108 |
1.1% |
11% |
False |
True |
91,571 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0098 |
1.0% |
11% |
False |
True |
66,158 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0097 |
1.0% |
11% |
False |
True |
49,701 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0089 |
0.9% |
11% |
False |
True |
39,785 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0084 |
0.8% |
11% |
False |
True |
33,171 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1266 |
|
2.618 |
1.0866 |
|
1.618 |
1.0621 |
|
1.000 |
1.0470 |
|
0.618 |
1.0376 |
|
HIGH |
1.0225 |
|
0.618 |
1.0131 |
|
0.500 |
1.0103 |
|
0.382 |
1.0074 |
|
LOW |
0.9980 |
|
0.618 |
0.9829 |
|
1.000 |
0.9735 |
|
1.618 |
0.9584 |
|
2.618 |
0.9339 |
|
4.250 |
0.8939 |
|
|
| Fisher Pivots for day following 09-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0103 |
1.0118 |
| PP |
1.0085 |
1.0095 |
| S1 |
1.0068 |
1.0073 |
|