CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 15-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Aug-2011 |
15-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0145 |
1.0107 |
-0.0038 |
-0.4% |
1.0162 |
| High |
1.0159 |
1.0201 |
0.0042 |
0.4% |
1.0225 |
| Low |
1.0072 |
1.0086 |
0.0014 |
0.1% |
0.9980 |
| Close |
1.0089 |
1.0184 |
0.0095 |
0.9% |
1.0089 |
| Range |
0.0087 |
0.0115 |
0.0028 |
32.2% |
0.0245 |
| ATR |
0.0123 |
0.0122 |
-0.0001 |
-0.4% |
0.0000 |
| Volume |
92,570 |
74,314 |
-18,256 |
-19.7% |
749,617 |
|
| Daily Pivots for day following 15-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0502 |
1.0458 |
1.0247 |
|
| R3 |
1.0387 |
1.0343 |
1.0216 |
|
| R2 |
1.0272 |
1.0272 |
1.0205 |
|
| R1 |
1.0228 |
1.0228 |
1.0195 |
1.0250 |
| PP |
1.0157 |
1.0157 |
1.0157 |
1.0168 |
| S1 |
1.0113 |
1.0113 |
1.0173 |
1.0135 |
| S2 |
1.0042 |
1.0042 |
1.0163 |
|
| S3 |
0.9927 |
0.9998 |
1.0152 |
|
| S4 |
0.9812 |
0.9883 |
1.0121 |
|
|
| 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% |
0.0153 |
1.5% |
83% |
False |
False |
132,073 |
| 10 |
1.0462 |
0.9980 |
0.0482 |
4.7% |
0.0144 |
1.4% |
42% |
False |
False |
139,966 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0121 |
1.2% |
32% |
False |
False |
108,127 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0109 |
1.1% |
32% |
False |
False |
92,957 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0102 |
1.0% |
32% |
False |
False |
73,916 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
32% |
False |
False |
55,533 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0092 |
0.9% |
32% |
False |
False |
44,455 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0087 |
0.9% |
32% |
False |
False |
37,065 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0690 |
|
2.618 |
1.0502 |
|
1.618 |
1.0387 |
|
1.000 |
1.0316 |
|
0.618 |
1.0272 |
|
HIGH |
1.0201 |
|
0.618 |
1.0157 |
|
0.500 |
1.0144 |
|
0.382 |
1.0130 |
|
LOW |
1.0086 |
|
0.618 |
1.0015 |
|
1.000 |
0.9971 |
|
1.618 |
0.9900 |
|
2.618 |
0.9785 |
|
4.250 |
0.9597 |
|
|
| Fisher Pivots for day following 15-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0171 |
1.0160 |
| PP |
1.0157 |
1.0136 |
| S1 |
1.0144 |
1.0112 |
|