CME Canadian Dollar Future September 2011


Trading Metrics calculated at close of trading on 24-Jun-2011
Day Change Summary
Previous Current
23-Jun-2011 24-Jun-2011 Change Change % Previous Week
Open 1.0250 1.0204 -0.0046 -0.4% 1.0176
High 1.0273 1.0215 -0.0058 -0.6% 1.0293
Low 1.0158 1.0094 -0.0064 -0.6% 1.0094
Close 1.0185 1.0097 -0.0088 -0.9% 1.0097
Range 0.0115 0.0121 0.0006 5.2% 0.0199
ATR 0.0092 0.0094 0.0002 2.2% 0.0000
Volume 108,673 74,668 -34,005 -31.3% 391,251
Daily Pivots for day following 24-Jun-2011
Classic Woodie Camarilla DeMark
R4 1.0498 1.0419 1.0164
R3 1.0377 1.0298 1.0130
R2 1.0256 1.0256 1.0119
R1 1.0177 1.0177 1.0108 1.0156
PP 1.0135 1.0135 1.0135 1.0125
S1 1.0056 1.0056 1.0086 1.0035
S2 1.0014 1.0014 1.0075
S3 0.9893 0.9935 1.0064
S4 0.9772 0.9814 1.0030
Weekly Pivots for week ending 24-Jun-2011
Classic Woodie Camarilla DeMark
R4 1.0758 1.0627 1.0206
R3 1.0559 1.0428 1.0152
R2 1.0360 1.0360 1.0133
R1 1.0229 1.0229 1.0115 1.0195
PP 1.0161 1.0161 1.0161 1.0145
S1 1.0030 1.0030 1.0079 0.9996
S2 0.9962 0.9962 1.0061
S3 0.9763 0.9831 1.0042
S4 0.9564 0.9632 0.9988
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0293 1.0094 0.0199 2.0% 0.0094 0.9% 2% False True 78,250
10 1.0316 1.0081 0.0235 2.3% 0.0102 1.0% 7% False False 86,401
20 1.0330 1.0081 0.0249 2.5% 0.0094 0.9% 6% False False 55,231
40 1.0550 1.0081 0.0469 4.6% 0.0093 0.9% 3% False False 27,866
60 1.0550 1.0081 0.0469 4.6% 0.0085 0.8% 3% False False 18,634
80 1.0550 0.9985 0.0565 5.6% 0.0080 0.8% 20% False False 14,007
100 1.0550 0.9981 0.0569 5.6% 0.0070 0.7% 20% False False 11,213
120 1.0550 0.9908 0.0642 6.4% 0.0061 0.6% 29% False False 9,347
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0020
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1.0729
2.618 1.0532
1.618 1.0411
1.000 1.0336
0.618 1.0290
HIGH 1.0215
0.618 1.0169
0.500 1.0155
0.382 1.0140
LOW 1.0094
0.618 1.0019
1.000 0.9973
1.618 0.9898
2.618 0.9777
4.250 0.9580
Fisher Pivots for day following 24-Jun-2011
Pivot 1 day 3 day
R1 1.0155 1.0194
PP 1.0135 1.0161
S1 1.0116 1.0129

These figures are updated between 7pm and 10pm EST after a trading day.

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