CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 07-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2011 |
07-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0138 |
1.0095 |
-0.0043 |
-0.4% |
1.0172 |
| High |
1.0154 |
1.0168 |
0.0014 |
0.1% |
1.0278 |
| Low |
1.0030 |
1.0083 |
0.0053 |
0.5% |
1.0146 |
| Close |
1.0097 |
1.0141 |
0.0044 |
0.4% |
1.0154 |
| Range |
0.0124 |
0.0085 |
-0.0039 |
-31.5% |
0.0132 |
| ATR |
0.0102 |
0.0101 |
-0.0001 |
-1.2% |
0.0000 |
| Volume |
140,322 |
76,968 |
-63,354 |
-45.1% |
360,029 |
|
| Daily Pivots for day following 07-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0386 |
1.0348 |
1.0188 |
|
| R3 |
1.0301 |
1.0263 |
1.0164 |
|
| R2 |
1.0216 |
1.0216 |
1.0157 |
|
| R1 |
1.0178 |
1.0178 |
1.0149 |
1.0197 |
| PP |
1.0131 |
1.0131 |
1.0131 |
1.0140 |
| S1 |
1.0093 |
1.0093 |
1.0133 |
1.0112 |
| S2 |
1.0046 |
1.0046 |
1.0125 |
|
| S3 |
0.9961 |
1.0008 |
1.0118 |
|
| S4 |
0.9876 |
0.9923 |
1.0094 |
|
|
| 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 |
2.4% |
0.0090 |
0.9% |
45% |
False |
False |
89,963 |
| 10 |
1.0278 |
1.0030 |
0.0248 |
2.4% |
0.0092 |
0.9% |
45% |
False |
False |
84,306 |
| 20 |
1.0278 |
1.0022 |
0.0256 |
2.5% |
0.0100 |
1.0% |
46% |
False |
False |
89,841 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0107 |
1.1% |
25% |
False |
False |
94,681 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0105 |
1.0% |
25% |
False |
False |
90,995 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
25% |
False |
False |
72,079 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0098 |
1.0% |
25% |
False |
False |
57,729 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0091 |
0.9% |
25% |
False |
False |
48,128 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0529 |
|
2.618 |
1.0391 |
|
1.618 |
1.0306 |
|
1.000 |
1.0253 |
|
0.618 |
1.0221 |
|
HIGH |
1.0168 |
|
0.618 |
1.0136 |
|
0.500 |
1.0126 |
|
0.382 |
1.0115 |
|
LOW |
1.0083 |
|
0.618 |
1.0030 |
|
1.000 |
0.9998 |
|
1.618 |
0.9945 |
|
2.618 |
0.9860 |
|
4.250 |
0.9722 |
|
|
| Fisher Pivots for day following 07-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0136 |
1.0140 |
| PP |
1.0131 |
1.0140 |
| S1 |
1.0126 |
1.0139 |
|