CME Canadian Dollar Future June 2011
| Trading Metrics calculated at close of trading on 22-Mar-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Mar-2011 |
22-Mar-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0130 |
1.0200 |
0.0070 |
0.7% |
1.0253 |
| High |
1.0237 |
1.0240 |
0.0003 |
0.0% |
1.0278 |
| Low |
1.0128 |
1.0166 |
0.0038 |
0.4% |
1.0004 |
| Close |
1.0202 |
1.0193 |
-0.0009 |
-0.1% |
1.0123 |
| Range |
0.0109 |
0.0074 |
-0.0035 |
-32.1% |
0.0274 |
| ATR |
0.0088 |
0.0087 |
-0.0001 |
-1.1% |
0.0000 |
| Volume |
63,862 |
67,134 |
3,272 |
5.1% |
499,615 |
|
| Daily Pivots for day following 22-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0422 |
1.0381 |
1.0234 |
|
| R3 |
1.0348 |
1.0307 |
1.0213 |
|
| R2 |
1.0274 |
1.0274 |
1.0207 |
|
| R1 |
1.0233 |
1.0233 |
1.0200 |
1.0217 |
| PP |
1.0200 |
1.0200 |
1.0200 |
1.0191 |
| S1 |
1.0159 |
1.0159 |
1.0186 |
1.0143 |
| S2 |
1.0126 |
1.0126 |
1.0179 |
|
| S3 |
1.0052 |
1.0085 |
1.0173 |
|
| S4 |
0.9978 |
1.0011 |
1.0152 |
|
|
| Weekly Pivots for week ending 18-Mar-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0957 |
1.0814 |
1.0274 |
|
| R3 |
1.0683 |
1.0540 |
1.0198 |
|
| R2 |
1.0409 |
1.0409 |
1.0173 |
|
| R1 |
1.0266 |
1.0266 |
1.0148 |
1.0201 |
| PP |
1.0135 |
1.0135 |
1.0135 |
1.0102 |
| S1 |
0.9992 |
0.9992 |
1.0098 |
0.9927 |
| S2 |
0.9861 |
0.9861 |
1.0073 |
|
| S3 |
0.9587 |
0.9718 |
1.0048 |
|
| S4 |
0.9313 |
0.9444 |
0.9972 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0240 |
1.0013 |
0.0227 |
2.2% |
0.0105 |
1.0% |
79% |
True |
False |
81,780 |
| 10 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0107 |
1.1% |
60% |
False |
False |
82,484 |
| 20 |
1.0321 |
1.0004 |
0.0317 |
3.1% |
0.0086 |
0.8% |
60% |
False |
False |
45,150 |
| 40 |
1.0321 |
0.9918 |
0.0403 |
4.0% |
0.0075 |
0.7% |
68% |
False |
False |
22,741 |
| 60 |
1.0321 |
0.9857 |
0.0464 |
4.6% |
0.0071 |
0.7% |
72% |
False |
False |
15,230 |
| 80 |
1.0321 |
0.9677 |
0.0644 |
6.3% |
0.0068 |
0.7% |
80% |
False |
False |
11,449 |
| 100 |
1.0321 |
0.9671 |
0.0650 |
6.4% |
0.0064 |
0.6% |
80% |
False |
False |
9,169 |
| 120 |
1.0321 |
0.9600 |
0.0721 |
7.1% |
0.0060 |
0.6% |
82% |
False |
False |
7,646 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0555 |
|
2.618 |
1.0434 |
|
1.618 |
1.0360 |
|
1.000 |
1.0314 |
|
0.618 |
1.0286 |
|
HIGH |
1.0240 |
|
0.618 |
1.0212 |
|
0.500 |
1.0203 |
|
0.382 |
1.0194 |
|
LOW |
1.0166 |
|
0.618 |
1.0120 |
|
1.000 |
1.0092 |
|
1.618 |
1.0046 |
|
2.618 |
0.9972 |
|
4.250 |
0.9852 |
|
|
| Fisher Pivots for day following 22-Mar-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0203 |
1.0187 |
| PP |
1.0200 |
1.0181 |
| S1 |
1.0196 |
1.0176 |
|