CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 18-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Aug-2011 |
18-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0171 |
1.0191 |
0.0020 |
0.2% |
1.0162 |
| High |
1.0224 |
1.0196 |
-0.0028 |
-0.3% |
1.0225 |
| Low |
1.0148 |
1.0053 |
-0.0095 |
-0.9% |
0.9980 |
| Close |
1.0191 |
1.0091 |
-0.0100 |
-1.0% |
1.0089 |
| Range |
0.0076 |
0.0143 |
0.0067 |
88.2% |
0.0245 |
| ATR |
0.0116 |
0.0118 |
0.0002 |
1.7% |
0.0000 |
| Volume |
63,812 |
98,550 |
34,738 |
54.4% |
749,617 |
|
| Daily Pivots for day following 18-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0542 |
1.0460 |
1.0170 |
|
| R3 |
1.0399 |
1.0317 |
1.0130 |
|
| R2 |
1.0256 |
1.0256 |
1.0117 |
|
| R1 |
1.0174 |
1.0174 |
1.0104 |
1.0144 |
| PP |
1.0113 |
1.0113 |
1.0113 |
1.0098 |
| S1 |
1.0031 |
1.0031 |
1.0078 |
1.0001 |
| S2 |
0.9970 |
0.9970 |
1.0065 |
|
| S3 |
0.9827 |
0.9888 |
1.0052 |
|
| S4 |
0.9684 |
0.9745 |
1.0012 |
|
|
| 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 |
1.0053 |
0.0171 |
1.7% |
0.0099 |
1.0% |
22% |
False |
True |
81,152 |
| 10 |
1.0255 |
0.9980 |
0.0275 |
2.7% |
0.0134 |
1.3% |
40% |
False |
False |
126,561 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0122 |
1.2% |
17% |
False |
False |
108,275 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0110 |
1.1% |
17% |
False |
False |
93,731 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0103 |
1.0% |
17% |
False |
False |
77,861 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
17% |
False |
False |
58,512 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0094 |
0.9% |
17% |
False |
False |
46,841 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0089 |
0.9% |
17% |
False |
False |
39,055 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0804 |
|
2.618 |
1.0570 |
|
1.618 |
1.0427 |
|
1.000 |
1.0339 |
|
0.618 |
1.0284 |
|
HIGH |
1.0196 |
|
0.618 |
1.0141 |
|
0.500 |
1.0125 |
|
0.382 |
1.0108 |
|
LOW |
1.0053 |
|
0.618 |
0.9965 |
|
1.000 |
0.9910 |
|
1.618 |
0.9822 |
|
2.618 |
0.9679 |
|
4.250 |
0.9445 |
|
|
| Fisher Pivots for day following 18-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0125 |
1.0139 |
| PP |
1.0113 |
1.0123 |
| S1 |
1.0102 |
1.0107 |
|