CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 16-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Aug-2011 |
16-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0107 |
1.0196 |
0.0089 |
0.9% |
1.0162 |
| High |
1.0201 |
1.0196 |
-0.0005 |
0.0% |
1.0225 |
| Low |
1.0086 |
1.0121 |
0.0035 |
0.3% |
0.9980 |
| Close |
1.0184 |
1.0165 |
-0.0019 |
-0.2% |
1.0089 |
| Range |
0.0115 |
0.0075 |
-0.0040 |
-34.8% |
0.0245 |
| ATR |
0.0122 |
0.0119 |
-0.0003 |
-2.8% |
0.0000 |
| Volume |
74,314 |
76,515 |
2,201 |
3.0% |
749,617 |
|
| Daily Pivots for day following 16-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0386 |
1.0350 |
1.0206 |
|
| R3 |
1.0311 |
1.0275 |
1.0186 |
|
| R2 |
1.0236 |
1.0236 |
1.0179 |
|
| R1 |
1.0200 |
1.0200 |
1.0172 |
1.0181 |
| PP |
1.0161 |
1.0161 |
1.0161 |
1.0151 |
| S1 |
1.0125 |
1.0125 |
1.0158 |
1.0106 |
| S2 |
1.0086 |
1.0086 |
1.0151 |
|
| S3 |
1.0011 |
1.0050 |
1.0144 |
|
| S4 |
0.9936 |
0.9975 |
1.0124 |
|
|
| 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 |
1.0224 |
1.0022 |
0.0202 |
2.0% |
0.0119 |
1.2% |
71% |
False |
False |
108,770 |
| 10 |
1.0442 |
0.9980 |
0.0462 |
4.5% |
0.0143 |
1.4% |
40% |
False |
False |
138,781 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0118 |
1.2% |
29% |
False |
False |
107,712 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0109 |
1.1% |
29% |
False |
False |
93,527 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
29% |
False |
False |
75,182 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
29% |
False |
False |
56,486 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0092 |
0.9% |
29% |
False |
False |
45,219 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0088 |
0.9% |
29% |
False |
False |
37,702 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0515 |
|
2.618 |
1.0392 |
|
1.618 |
1.0317 |
|
1.000 |
1.0271 |
|
0.618 |
1.0242 |
|
HIGH |
1.0196 |
|
0.618 |
1.0167 |
|
0.500 |
1.0159 |
|
0.382 |
1.0150 |
|
LOW |
1.0121 |
|
0.618 |
1.0075 |
|
1.000 |
1.0046 |
|
1.618 |
1.0000 |
|
2.618 |
0.9925 |
|
4.250 |
0.9802 |
|
|
| Fisher Pivots for day following 16-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0163 |
1.0156 |
| PP |
1.0161 |
1.0146 |
| S1 |
1.0159 |
1.0137 |
|