CME Canadian Dollar Future September 2012
| Trading Metrics calculated at close of trading on 27-Aug-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Aug-2012 |
27-Aug-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0057 |
1.0079 |
0.0022 |
0.2% |
1.0109 |
| High |
1.0092 |
1.0107 |
0.0015 |
0.1% |
1.0155 |
| Low |
1.0048 |
1.0071 |
0.0023 |
0.2% |
1.0046 |
| Close |
1.0084 |
1.0091 |
0.0007 |
0.1% |
1.0084 |
| Range |
0.0044 |
0.0036 |
-0.0008 |
-18.2% |
0.0109 |
| ATR |
0.0055 |
0.0054 |
-0.0001 |
-2.5% |
0.0000 |
| Volume |
68,491 |
47,625 |
-20,866 |
-30.5% |
388,599 |
|
| Daily Pivots for day following 27-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0198 |
1.0180 |
1.0111 |
|
| R3 |
1.0162 |
1.0144 |
1.0101 |
|
| R2 |
1.0126 |
1.0126 |
1.0098 |
|
| R1 |
1.0108 |
1.0108 |
1.0094 |
1.0117 |
| PP |
1.0090 |
1.0090 |
1.0090 |
1.0094 |
| S1 |
1.0072 |
1.0072 |
1.0088 |
1.0081 |
| S2 |
1.0054 |
1.0054 |
1.0084 |
|
| S3 |
1.0018 |
1.0036 |
1.0081 |
|
| S4 |
0.9982 |
1.0000 |
1.0071 |
|
|
| Weekly Pivots for week ending 24-Aug-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0422 |
1.0362 |
1.0144 |
|
| R3 |
1.0313 |
1.0253 |
1.0114 |
|
| R2 |
1.0204 |
1.0204 |
1.0104 |
|
| R1 |
1.0144 |
1.0144 |
1.0094 |
1.0120 |
| PP |
1.0095 |
1.0095 |
1.0095 |
1.0083 |
| S1 |
1.0035 |
1.0035 |
1.0074 |
1.0011 |
| S2 |
0.9986 |
0.9986 |
1.0064 |
|
| S3 |
0.9877 |
0.9926 |
1.0054 |
|
| S4 |
0.9768 |
0.9817 |
1.0024 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0155 |
1.0046 |
0.0109 |
1.1% |
0.0053 |
0.5% |
41% |
False |
False |
76,675 |
| 10 |
1.0155 |
1.0046 |
0.0109 |
1.1% |
0.0046 |
0.5% |
41% |
False |
False |
72,506 |
| 20 |
1.0155 |
0.9906 |
0.0249 |
2.5% |
0.0052 |
0.5% |
74% |
False |
False |
79,184 |
| 40 |
1.0155 |
0.9740 |
0.0415 |
4.1% |
0.0056 |
0.6% |
85% |
False |
False |
80,790 |
| 60 |
1.0155 |
0.9554 |
0.0601 |
6.0% |
0.0064 |
0.6% |
89% |
False |
False |
74,659 |
| 80 |
1.0155 |
0.9554 |
0.0601 |
6.0% |
0.0067 |
0.7% |
89% |
False |
False |
56,159 |
| 100 |
1.0168 |
0.9554 |
0.0614 |
6.1% |
0.0066 |
0.7% |
87% |
False |
False |
44,984 |
| 120 |
1.0168 |
0.9554 |
0.0614 |
6.1% |
0.0063 |
0.6% |
87% |
False |
False |
37,504 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0260 |
|
2.618 |
1.0201 |
|
1.618 |
1.0165 |
|
1.000 |
1.0143 |
|
0.618 |
1.0129 |
|
HIGH |
1.0107 |
|
0.618 |
1.0093 |
|
0.500 |
1.0089 |
|
0.382 |
1.0085 |
|
LOW |
1.0071 |
|
0.618 |
1.0049 |
|
1.000 |
1.0035 |
|
1.618 |
1.0013 |
|
2.618 |
0.9977 |
|
4.250 |
0.9918 |
|
|
| Fisher Pivots for day following 27-Aug-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0090 |
1.0087 |
| PP |
1.0090 |
1.0083 |
| S1 |
1.0089 |
1.0079 |
|