CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 15-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Sep-2011 |
15-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0137 |
1.0097 |
-0.0040 |
-0.4% |
1.0138 |
| High |
1.0155 |
1.0172 |
0.0017 |
0.2% |
1.0170 |
| Low |
1.0058 |
1.0049 |
-0.0009 |
-0.1% |
1.0019 |
| Close |
1.0101 |
1.0163 |
0.0062 |
0.6% |
1.0025 |
| Range |
0.0097 |
0.0123 |
0.0026 |
26.8% |
0.0151 |
| ATR |
0.0103 |
0.0104 |
0.0001 |
1.4% |
0.0000 |
| Volume |
106,386 |
66,793 |
-39,593 |
-37.2% |
395,582 |
|
| Daily Pivots for day following 15-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0497 |
1.0453 |
1.0231 |
|
| R3 |
1.0374 |
1.0330 |
1.0197 |
|
| R2 |
1.0251 |
1.0251 |
1.0186 |
|
| R1 |
1.0207 |
1.0207 |
1.0174 |
1.0229 |
| PP |
1.0128 |
1.0128 |
1.0128 |
1.0139 |
| S1 |
1.0084 |
1.0084 |
1.0152 |
1.0106 |
| S2 |
1.0005 |
1.0005 |
1.0140 |
|
| S3 |
0.9882 |
0.9961 |
1.0129 |
|
| S4 |
0.9759 |
0.9838 |
1.0095 |
|
|
| 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 |
1.0172 |
0.9967 |
0.0205 |
2.0% |
0.0115 |
1.1% |
96% |
True |
False |
99,639 |
| 10 |
1.0267 |
0.9967 |
0.0300 |
3.0% |
0.0102 |
1.0% |
65% |
False |
False |
94,435 |
| 20 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0098 |
1.0% |
63% |
False |
False |
88,166 |
| 40 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0109 |
1.1% |
30% |
False |
False |
97,775 |
| 60 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0105 |
1.0% |
30% |
False |
False |
91,447 |
| 80 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0101 |
1.0% |
30% |
False |
False |
79,216 |
| 100 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0099 |
1.0% |
30% |
False |
False |
63,458 |
| 120 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0093 |
0.9% |
30% |
False |
False |
52,908 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0695 |
|
2.618 |
1.0494 |
|
1.618 |
1.0371 |
|
1.000 |
1.0295 |
|
0.618 |
1.0248 |
|
HIGH |
1.0172 |
|
0.618 |
1.0125 |
|
0.500 |
1.0111 |
|
0.382 |
1.0096 |
|
LOW |
1.0049 |
|
0.618 |
0.9973 |
|
1.000 |
0.9926 |
|
1.618 |
0.9850 |
|
2.618 |
0.9727 |
|
4.250 |
0.9526 |
|
|
| Fisher Pivots for day following 15-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0146 |
1.0141 |
| PP |
1.0128 |
1.0119 |
| S1 |
1.0111 |
1.0097 |
|