CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 06-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Sep-2011 |
06-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0239 |
1.0138 |
-0.0101 |
-1.0% |
1.0172 |
| High |
1.0248 |
1.0154 |
-0.0094 |
-0.9% |
1.0278 |
| Low |
1.0151 |
1.0030 |
-0.0121 |
-1.2% |
1.0146 |
| Close |
1.0154 |
1.0097 |
-0.0057 |
-0.6% |
1.0154 |
| Range |
0.0097 |
0.0124 |
0.0027 |
27.8% |
0.0132 |
| ATR |
0.0101 |
0.0102 |
0.0002 |
1.6% |
0.0000 |
| Volume |
79,258 |
140,322 |
61,064 |
77.0% |
360,029 |
|
| Daily Pivots for day following 06-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0466 |
1.0405 |
1.0165 |
|
| R3 |
1.0342 |
1.0281 |
1.0131 |
|
| R2 |
1.0218 |
1.0218 |
1.0120 |
|
| R1 |
1.0157 |
1.0157 |
1.0108 |
1.0126 |
| PP |
1.0094 |
1.0094 |
1.0094 |
1.0078 |
| S1 |
1.0033 |
1.0033 |
1.0086 |
1.0002 |
| S2 |
0.9970 |
0.9970 |
1.0074 |
|
| S3 |
0.9846 |
0.9909 |
1.0063 |
|
| S4 |
0.9722 |
0.9785 |
1.0029 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0589 |
1.0503 |
1.0227 |
|
| R3 |
1.0457 |
1.0371 |
1.0190 |
|
| R2 |
1.0325 |
1.0325 |
1.0178 |
|
| R1 |
1.0239 |
1.0239 |
1.0166 |
1.0216 |
| PP |
1.0193 |
1.0193 |
1.0193 |
1.0181 |
| S1 |
1.0107 |
1.0107 |
1.0142 |
1.0084 |
| S2 |
1.0061 |
1.0061 |
1.0130 |
|
| S3 |
0.9929 |
0.9975 |
1.0118 |
|
| S4 |
0.9797 |
0.9843 |
1.0081 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0278 |
1.0030 |
0.0248 |
2.5% |
0.0086 |
0.8% |
27% |
False |
True |
86,986 |
| 10 |
1.0278 |
1.0030 |
0.0248 |
2.5% |
0.0089 |
0.9% |
27% |
False |
True |
84,594 |
| 20 |
1.0278 |
0.9980 |
0.0298 |
3.0% |
0.0108 |
1.1% |
39% |
False |
False |
95,644 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0109 |
1.1% |
18% |
False |
False |
95,241 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0105 |
1.0% |
18% |
False |
False |
90,726 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
18% |
False |
False |
71,124 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0098 |
1.0% |
18% |
False |
False |
56,960 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0091 |
0.9% |
18% |
False |
False |
47,488 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0681 |
|
2.618 |
1.0479 |
|
1.618 |
1.0355 |
|
1.000 |
1.0278 |
|
0.618 |
1.0231 |
|
HIGH |
1.0154 |
|
0.618 |
1.0107 |
|
0.500 |
1.0092 |
|
0.382 |
1.0077 |
|
LOW |
1.0030 |
|
0.618 |
0.9953 |
|
1.000 |
0.9906 |
|
1.618 |
0.9829 |
|
2.618 |
0.9705 |
|
4.250 |
0.9503 |
|
|
| Fisher Pivots for day following 06-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0095 |
1.0149 |
| PP |
1.0094 |
1.0131 |
| S1 |
1.0092 |
1.0114 |
|