CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 16-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2011 |
16-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0097 |
1.0168 |
0.0071 |
0.7% |
1.0028 |
| High |
1.0172 |
1.0225 |
0.0053 |
0.5% |
1.0225 |
| Low |
1.0049 |
1.0140 |
0.0091 |
0.9% |
0.9967 |
| Close |
1.0163 |
1.0207 |
0.0044 |
0.4% |
1.0207 |
| Range |
0.0123 |
0.0085 |
-0.0038 |
-30.9% |
0.0258 |
| ATR |
0.0104 |
0.0103 |
-0.0001 |
-1.3% |
0.0000 |
| Volume |
66,793 |
14,138 |
-52,655 |
-78.8% |
410,002 |
|
| Daily Pivots for day following 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0446 |
1.0411 |
1.0254 |
|
| R3 |
1.0361 |
1.0326 |
1.0230 |
|
| R2 |
1.0276 |
1.0276 |
1.0223 |
|
| R1 |
1.0241 |
1.0241 |
1.0215 |
1.0259 |
| PP |
1.0191 |
1.0191 |
1.0191 |
1.0199 |
| S1 |
1.0156 |
1.0156 |
1.0199 |
1.0174 |
| S2 |
1.0106 |
1.0106 |
1.0191 |
|
| S3 |
1.0021 |
1.0071 |
1.0184 |
|
| S4 |
0.9936 |
0.9986 |
1.0160 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0907 |
1.0815 |
1.0349 |
|
| R3 |
1.0649 |
1.0557 |
1.0278 |
|
| R2 |
1.0391 |
1.0391 |
1.0254 |
|
| R1 |
1.0299 |
1.0299 |
1.0231 |
1.0345 |
| PP |
1.0133 |
1.0133 |
1.0133 |
1.0156 |
| S1 |
1.0041 |
1.0041 |
1.0183 |
1.0087 |
| S2 |
0.9875 |
0.9875 |
1.0160 |
|
| S3 |
0.9617 |
0.9783 |
1.0136 |
|
| S4 |
0.9359 |
0.9525 |
1.0065 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0225 |
0.9967 |
0.0258 |
2.5% |
0.0110 |
1.1% |
93% |
True |
False |
82,000 |
| 10 |
1.0248 |
0.9967 |
0.0281 |
2.8% |
0.0104 |
1.0% |
85% |
False |
False |
88,484 |
| 20 |
1.0278 |
0.9967 |
0.0311 |
3.0% |
0.0095 |
0.9% |
77% |
False |
False |
83,945 |
| 40 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0109 |
1.1% |
37% |
False |
False |
96,110 |
| 60 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0105 |
1.0% |
37% |
False |
False |
90,469 |
| 80 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0101 |
1.0% |
37% |
False |
False |
79,382 |
| 100 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0100 |
1.0% |
37% |
False |
False |
63,598 |
| 120 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0094 |
0.9% |
37% |
False |
False |
53,025 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0586 |
|
2.618 |
1.0448 |
|
1.618 |
1.0363 |
|
1.000 |
1.0310 |
|
0.618 |
1.0278 |
|
HIGH |
1.0225 |
|
0.618 |
1.0193 |
|
0.500 |
1.0183 |
|
0.382 |
1.0172 |
|
LOW |
1.0140 |
|
0.618 |
1.0087 |
|
1.000 |
1.0055 |
|
1.618 |
1.0002 |
|
2.618 |
0.9917 |
|
4.250 |
0.9779 |
|
|
| Fisher Pivots for day following 16-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0199 |
1.0184 |
| PP |
1.0191 |
1.0160 |
| S1 |
1.0183 |
1.0137 |
|