CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 20-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
17-Jun-2011 |
20-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0165 |
1.0176 |
0.0011 |
0.1% |
1.0187 |
| High |
1.0206 |
1.0201 |
-0.0005 |
0.0% |
1.0316 |
| Low |
1.0111 |
1.0130 |
0.0019 |
0.2% |
1.0081 |
| Close |
1.0177 |
1.0187 |
0.0010 |
0.1% |
1.0177 |
| Range |
0.0095 |
0.0071 |
-0.0024 |
-25.3% |
0.0235 |
| ATR |
0.0094 |
0.0092 |
-0.0002 |
-1.7% |
0.0000 |
| Volume |
83,491 |
53,692 |
-29,799 |
-35.7% |
472,760 |
|
| Daily Pivots for day following 20-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0386 |
1.0357 |
1.0226 |
|
| R3 |
1.0315 |
1.0286 |
1.0207 |
|
| R2 |
1.0244 |
1.0244 |
1.0200 |
|
| R1 |
1.0215 |
1.0215 |
1.0194 |
1.0230 |
| PP |
1.0173 |
1.0173 |
1.0173 |
1.0180 |
| S1 |
1.0144 |
1.0144 |
1.0180 |
1.0159 |
| S2 |
1.0102 |
1.0102 |
1.0174 |
|
| S3 |
1.0031 |
1.0073 |
1.0167 |
|
| S4 |
0.9960 |
1.0002 |
1.0148 |
|
|
| Weekly Pivots for week ending 17-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0896 |
1.0772 |
1.0306 |
|
| R3 |
1.0661 |
1.0537 |
1.0242 |
|
| R2 |
1.0426 |
1.0426 |
1.0220 |
|
| R1 |
1.0302 |
1.0302 |
1.0199 |
1.0247 |
| PP |
1.0191 |
1.0191 |
1.0191 |
1.0164 |
| S1 |
1.0067 |
1.0067 |
1.0155 |
1.0012 |
| S2 |
0.9956 |
0.9956 |
1.0134 |
|
| S3 |
0.9721 |
0.9832 |
1.0112 |
|
| S4 |
0.9486 |
0.9597 |
1.0048 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0316 |
1.0081 |
0.0235 |
2.3% |
0.0113 |
1.1% |
45% |
False |
False |
93,123 |
| 10 |
1.0316 |
1.0081 |
0.0235 |
2.3% |
0.0097 |
1.0% |
45% |
False |
False |
73,364 |
| 20 |
1.0330 |
1.0081 |
0.0249 |
2.4% |
0.0086 |
0.8% |
43% |
False |
False |
38,490 |
| 40 |
1.0550 |
1.0081 |
0.0469 |
4.6% |
0.0090 |
0.9% |
23% |
False |
False |
19,444 |
| 60 |
1.0550 |
1.0081 |
0.0469 |
4.6% |
0.0082 |
0.8% |
23% |
False |
False |
13,014 |
| 80 |
1.0550 |
0.9985 |
0.0565 |
5.5% |
0.0077 |
0.8% |
36% |
False |
False |
9,790 |
| 100 |
1.0550 |
0.9908 |
0.0642 |
6.3% |
0.0066 |
0.7% |
43% |
False |
False |
7,837 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.3% |
0.0058 |
0.6% |
43% |
False |
False |
6,534 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0503 |
|
2.618 |
1.0387 |
|
1.618 |
1.0316 |
|
1.000 |
1.0272 |
|
0.618 |
1.0245 |
|
HIGH |
1.0201 |
|
0.618 |
1.0174 |
|
0.500 |
1.0166 |
|
0.382 |
1.0157 |
|
LOW |
1.0130 |
|
0.618 |
1.0086 |
|
1.000 |
1.0059 |
|
1.618 |
1.0015 |
|
2.618 |
0.9944 |
|
4.250 |
0.9828 |
|
|
| Fisher Pivots for day following 20-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0180 |
1.0173 |
| PP |
1.0173 |
1.0159 |
| S1 |
1.0166 |
1.0145 |
|