CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 13-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2011 |
13-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0028 |
1.0070 |
0.0042 |
0.4% |
1.0138 |
| High |
1.0083 |
1.0150 |
0.0067 |
0.7% |
1.0170 |
| Low |
0.9967 |
1.0021 |
0.0054 |
0.5% |
1.0019 |
| Close |
1.0027 |
1.0134 |
0.0107 |
1.1% |
1.0025 |
| Range |
0.0116 |
0.0129 |
0.0013 |
11.2% |
0.0151 |
| ATR |
0.0101 |
0.0103 |
0.0002 |
2.0% |
0.0000 |
| Volume |
115,795 |
106,890 |
-8,905 |
-7.7% |
395,582 |
|
| Daily Pivots for day following 13-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0489 |
1.0440 |
1.0205 |
|
| R3 |
1.0360 |
1.0311 |
1.0169 |
|
| R2 |
1.0231 |
1.0231 |
1.0158 |
|
| R1 |
1.0182 |
1.0182 |
1.0146 |
1.0207 |
| PP |
1.0102 |
1.0102 |
1.0102 |
1.0114 |
| S1 |
1.0053 |
1.0053 |
1.0122 |
1.0078 |
| S2 |
0.9973 |
0.9973 |
1.0110 |
|
| S3 |
0.9844 |
0.9924 |
1.0099 |
|
| S4 |
0.9715 |
0.9795 |
1.0063 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0524 |
1.0426 |
1.0108 |
|
| R3 |
1.0373 |
1.0275 |
1.0067 |
|
| R2 |
1.0222 |
1.0222 |
1.0053 |
|
| R1 |
1.0124 |
1.0124 |
1.0039 |
1.0098 |
| PP |
1.0071 |
1.0071 |
1.0071 |
1.0058 |
| S1 |
0.9973 |
0.9973 |
1.0011 |
0.9947 |
| S2 |
0.9920 |
0.9920 |
0.9997 |
|
| S3 |
0.9769 |
0.9822 |
0.9983 |
|
| S4 |
0.9618 |
0.9671 |
0.9942 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0170 |
0.9967 |
0.0203 |
2.0% |
0.0102 |
1.0% |
82% |
False |
False |
95,589 |
| 10 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0094 |
0.9% |
54% |
False |
False |
91,287 |
| 20 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0095 |
0.9% |
54% |
False |
False |
86,523 |
| 40 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0108 |
1.1% |
26% |
False |
False |
97,325 |
| 60 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0104 |
1.0% |
26% |
False |
False |
90,812 |
| 80 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0100 |
1.0% |
26% |
False |
False |
77,068 |
| 100 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0098 |
1.0% |
26% |
False |
False |
61,731 |
| 120 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0093 |
0.9% |
26% |
False |
False |
51,466 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0698 |
|
2.618 |
1.0488 |
|
1.618 |
1.0359 |
|
1.000 |
1.0279 |
|
0.618 |
1.0230 |
|
HIGH |
1.0150 |
|
0.618 |
1.0101 |
|
0.500 |
1.0086 |
|
0.382 |
1.0070 |
|
LOW |
1.0021 |
|
0.618 |
0.9941 |
|
1.000 |
0.9892 |
|
1.618 |
0.9812 |
|
2.618 |
0.9683 |
|
4.250 |
0.9473 |
|
|
| Fisher Pivots for day following 13-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0118 |
1.0109 |
| PP |
1.0102 |
1.0084 |
| S1 |
1.0086 |
1.0059 |
|