CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 03-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Jun-2011 |
03-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0209 |
1.0223 |
0.0014 |
0.1% |
1.0202 |
| High |
1.0230 |
1.0234 |
0.0004 |
0.0% |
1.0330 |
| Low |
1.0166 |
1.0124 |
-0.0042 |
-0.4% |
1.0124 |
| Close |
1.0219 |
1.0206 |
-0.0013 |
-0.1% |
1.0206 |
| Range |
0.0064 |
0.0110 |
0.0046 |
71.9% |
0.0206 |
| ATR |
0.0086 |
0.0088 |
0.0002 |
2.0% |
0.0000 |
| Volume |
2,649 |
6,080 |
3,431 |
129.5% |
16,520 |
|
| Daily Pivots for day following 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0518 |
1.0472 |
1.0267 |
|
| R3 |
1.0408 |
1.0362 |
1.0236 |
|
| R2 |
1.0298 |
1.0298 |
1.0226 |
|
| R1 |
1.0252 |
1.0252 |
1.0216 |
1.0220 |
| PP |
1.0188 |
1.0188 |
1.0188 |
1.0172 |
| S1 |
1.0142 |
1.0142 |
1.0196 |
1.0110 |
| S2 |
1.0078 |
1.0078 |
1.0186 |
|
| S3 |
0.9968 |
1.0032 |
1.0176 |
|
| S4 |
0.9858 |
0.9922 |
1.0146 |
|
|
| Weekly Pivots for week ending 03-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0838 |
1.0728 |
1.0319 |
|
| R3 |
1.0632 |
1.0522 |
1.0263 |
|
| R2 |
1.0426 |
1.0426 |
1.0244 |
|
| R1 |
1.0316 |
1.0316 |
1.0225 |
1.0371 |
| PP |
1.0220 |
1.0220 |
1.0220 |
1.0248 |
| S1 |
1.0110 |
1.0110 |
1.0187 |
1.0165 |
| S2 |
1.0014 |
1.0014 |
1.0168 |
|
| S3 |
0.9808 |
0.9904 |
1.0149 |
|
| S4 |
0.9602 |
0.9698 |
1.0093 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0330 |
1.0124 |
0.0206 |
2.0% |
0.0092 |
0.9% |
40% |
False |
True |
3,455 |
| 10 |
1.0335 |
1.0124 |
0.0211 |
2.1% |
0.0084 |
0.8% |
39% |
False |
True |
2,058 |
| 20 |
1.0473 |
1.0124 |
0.0349 |
3.4% |
0.0090 |
0.9% |
23% |
False |
True |
1,301 |
| 40 |
1.0550 |
1.0124 |
0.0426 |
4.2% |
0.0085 |
0.8% |
19% |
False |
True |
748 |
| 60 |
1.0550 |
0.9985 |
0.0565 |
5.5% |
0.0080 |
0.8% |
39% |
False |
False |
544 |
| 80 |
1.0550 |
0.9985 |
0.0565 |
5.5% |
0.0068 |
0.7% |
39% |
False |
False |
420 |
| 100 |
1.0550 |
0.9908 |
0.0642 |
6.3% |
0.0058 |
0.6% |
46% |
False |
False |
342 |
| 120 |
1.0550 |
0.9740 |
0.0810 |
7.9% |
0.0051 |
0.5% |
58% |
False |
False |
290 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0702 |
|
2.618 |
1.0522 |
|
1.618 |
1.0412 |
|
1.000 |
1.0344 |
|
0.618 |
1.0302 |
|
HIGH |
1.0234 |
|
0.618 |
1.0192 |
|
0.500 |
1.0179 |
|
0.382 |
1.0166 |
|
LOW |
1.0124 |
|
0.618 |
1.0056 |
|
1.000 |
1.0014 |
|
1.618 |
0.9946 |
|
2.618 |
0.9836 |
|
4.250 |
0.9657 |
|
|
| Fisher Pivots for day following 03-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0197 |
1.0219 |
| PP |
1.0188 |
1.0214 |
| S1 |
1.0179 |
1.0210 |
|