CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 12-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
11-Aug-2011 |
12-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0041 |
1.0145 |
0.0104 |
1.0% |
1.0162 |
| High |
1.0150 |
1.0159 |
0.0009 |
0.1% |
1.0225 |
| Low |
1.0022 |
1.0072 |
0.0050 |
0.5% |
0.9980 |
| Close |
1.0127 |
1.0089 |
-0.0038 |
-0.4% |
1.0089 |
| Range |
0.0128 |
0.0087 |
-0.0041 |
-32.0% |
0.0245 |
| ATR |
0.0125 |
0.0123 |
-0.0003 |
-2.2% |
0.0000 |
| Volume |
137,835 |
92,570 |
-45,265 |
-32.8% |
749,617 |
|
| Daily Pivots for day following 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0368 |
1.0315 |
1.0137 |
|
| R3 |
1.0281 |
1.0228 |
1.0113 |
|
| R2 |
1.0194 |
1.0194 |
1.0105 |
|
| R1 |
1.0141 |
1.0141 |
1.0097 |
1.0124 |
| PP |
1.0107 |
1.0107 |
1.0107 |
1.0098 |
| S1 |
1.0054 |
1.0054 |
1.0081 |
1.0037 |
| S2 |
1.0020 |
1.0020 |
1.0073 |
|
| S3 |
0.9933 |
0.9967 |
1.0065 |
|
| S4 |
0.9846 |
0.9880 |
1.0041 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0833 |
1.0706 |
1.0224 |
|
| R3 |
1.0588 |
1.0461 |
1.0156 |
|
| R2 |
1.0343 |
1.0343 |
1.0134 |
|
| R1 |
1.0216 |
1.0216 |
1.0111 |
1.0157 |
| PP |
1.0098 |
1.0098 |
1.0098 |
1.0069 |
| S1 |
0.9971 |
0.9971 |
1.0067 |
0.9912 |
| S2 |
0.9853 |
0.9853 |
1.0044 |
|
| S3 |
0.9608 |
0.9726 |
1.0022 |
|
| S4 |
0.9363 |
0.9481 |
0.9954 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0225 |
0.9980 |
0.0245 |
2.4% |
0.0163 |
1.6% |
44% |
False |
False |
149,923 |
| 10 |
1.0523 |
0.9980 |
0.0543 |
5.4% |
0.0144 |
1.4% |
20% |
False |
False |
140,871 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0121 |
1.2% |
17% |
False |
False |
107,391 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0108 |
1.1% |
17% |
False |
False |
93,186 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
17% |
False |
False |
72,684 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
17% |
False |
False |
54,608 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0092 |
0.9% |
17% |
False |
False |
43,713 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0086 |
0.9% |
17% |
False |
False |
36,446 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0529 |
|
2.618 |
1.0387 |
|
1.618 |
1.0300 |
|
1.000 |
1.0246 |
|
0.618 |
1.0213 |
|
HIGH |
1.0159 |
|
0.618 |
1.0126 |
|
0.500 |
1.0116 |
|
0.382 |
1.0105 |
|
LOW |
1.0072 |
|
0.618 |
1.0018 |
|
1.000 |
0.9985 |
|
1.618 |
0.9931 |
|
2.618 |
0.9844 |
|
4.250 |
0.9702 |
|
|
| Fisher Pivots for day following 12-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0116 |
1.0123 |
| PP |
1.0107 |
1.0112 |
| S1 |
1.0098 |
1.0100 |
|