CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 19-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
18-Aug-2011 |
19-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0191 |
1.0088 |
-0.0103 |
-1.0% |
1.0107 |
| High |
1.0196 |
1.0171 |
-0.0025 |
-0.2% |
1.0224 |
| Low |
1.0053 |
1.0067 |
0.0014 |
0.1% |
1.0053 |
| Close |
1.0091 |
1.0098 |
0.0007 |
0.1% |
1.0098 |
| Range |
0.0143 |
0.0104 |
-0.0039 |
-27.3% |
0.0171 |
| ATR |
0.0118 |
0.0117 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
98,550 |
96,802 |
-1,748 |
-1.8% |
409,993 |
|
| Daily Pivots for day following 19-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0424 |
1.0365 |
1.0155 |
|
| R3 |
1.0320 |
1.0261 |
1.0127 |
|
| R2 |
1.0216 |
1.0216 |
1.0117 |
|
| R1 |
1.0157 |
1.0157 |
1.0108 |
1.0187 |
| PP |
1.0112 |
1.0112 |
1.0112 |
1.0127 |
| S1 |
1.0053 |
1.0053 |
1.0088 |
1.0083 |
| S2 |
1.0008 |
1.0008 |
1.0079 |
|
| S3 |
0.9904 |
0.9949 |
1.0069 |
|
| S4 |
0.9800 |
0.9845 |
1.0041 |
|
|
| Weekly Pivots for week ending 19-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0638 |
1.0539 |
1.0192 |
|
| R3 |
1.0467 |
1.0368 |
1.0145 |
|
| R2 |
1.0296 |
1.0296 |
1.0129 |
|
| R1 |
1.0197 |
1.0197 |
1.0114 |
1.0161 |
| PP |
1.0125 |
1.0125 |
1.0125 |
1.0107 |
| S1 |
1.0026 |
1.0026 |
1.0082 |
0.9990 |
| S2 |
0.9954 |
0.9954 |
1.0067 |
|
| S3 |
0.9783 |
0.9855 |
1.0051 |
|
| S4 |
0.9612 |
0.9684 |
1.0004 |
|
|
| 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% |
0.0103 |
1.0% |
26% |
False |
False |
81,998 |
| 10 |
1.0225 |
0.9980 |
0.0245 |
2.4% |
0.0133 |
1.3% |
48% |
False |
False |
115,961 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0122 |
1.2% |
19% |
False |
False |
109,291 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0110 |
1.1% |
19% |
False |
False |
93,434 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0104 |
1.0% |
19% |
False |
False |
79,467 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
19% |
False |
False |
59,720 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0095 |
0.9% |
19% |
False |
False |
47,808 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0089 |
0.9% |
19% |
False |
False |
39,861 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0613 |
|
2.618 |
1.0443 |
|
1.618 |
1.0339 |
|
1.000 |
1.0275 |
|
0.618 |
1.0235 |
|
HIGH |
1.0171 |
|
0.618 |
1.0131 |
|
0.500 |
1.0119 |
|
0.382 |
1.0107 |
|
LOW |
1.0067 |
|
0.618 |
1.0003 |
|
1.000 |
0.9963 |
|
1.618 |
0.9899 |
|
2.618 |
0.9795 |
|
4.250 |
0.9625 |
|
|
| Fisher Pivots for day following 19-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0119 |
1.0139 |
| PP |
1.0112 |
1.0125 |
| S1 |
1.0105 |
1.0112 |
|