CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 27-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Jun-2011 |
27-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0204 |
1.0098 |
-0.0106 |
-1.0% |
1.0176 |
| High |
1.0215 |
1.0124 |
-0.0091 |
-0.9% |
1.0293 |
| Low |
1.0094 |
1.0067 |
-0.0027 |
-0.3% |
1.0094 |
| Close |
1.0097 |
1.0111 |
0.0014 |
0.1% |
1.0097 |
| Range |
0.0121 |
0.0057 |
-0.0064 |
-52.9% |
0.0199 |
| ATR |
0.0094 |
0.0092 |
-0.0003 |
-2.8% |
0.0000 |
| Volume |
74,668 |
71,260 |
-3,408 |
-4.6% |
391,251 |
|
| Daily Pivots for day following 27-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0272 |
1.0248 |
1.0142 |
|
| R3 |
1.0215 |
1.0191 |
1.0127 |
|
| R2 |
1.0158 |
1.0158 |
1.0121 |
|
| R1 |
1.0134 |
1.0134 |
1.0116 |
1.0146 |
| PP |
1.0101 |
1.0101 |
1.0101 |
1.0107 |
| S1 |
1.0077 |
1.0077 |
1.0106 |
1.0089 |
| S2 |
1.0044 |
1.0044 |
1.0101 |
|
| S3 |
0.9987 |
1.0020 |
1.0095 |
|
| S4 |
0.9930 |
0.9963 |
1.0080 |
|
|
| 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 |
1.0067 |
0.0226 |
2.2% |
0.0091 |
0.9% |
19% |
False |
True |
81,763 |
| 10 |
1.0316 |
1.0067 |
0.0249 |
2.5% |
0.0102 |
1.0% |
18% |
False |
True |
87,443 |
| 20 |
1.0330 |
1.0067 |
0.0263 |
2.6% |
0.0095 |
0.9% |
17% |
False |
True |
58,756 |
| 40 |
1.0550 |
1.0067 |
0.0483 |
4.8% |
0.0092 |
0.9% |
9% |
False |
True |
29,642 |
| 60 |
1.0550 |
1.0067 |
0.0483 |
4.8% |
0.0086 |
0.8% |
9% |
False |
True |
19,819 |
| 80 |
1.0550 |
0.9985 |
0.0565 |
5.6% |
0.0081 |
0.8% |
22% |
False |
False |
14,896 |
| 100 |
1.0550 |
0.9981 |
0.0569 |
5.6% |
0.0070 |
0.7% |
23% |
False |
False |
11,925 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.3% |
0.0061 |
0.6% |
32% |
False |
False |
9,941 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0366 |
|
2.618 |
1.0273 |
|
1.618 |
1.0216 |
|
1.000 |
1.0181 |
|
0.618 |
1.0159 |
|
HIGH |
1.0124 |
|
0.618 |
1.0102 |
|
0.500 |
1.0096 |
|
0.382 |
1.0089 |
|
LOW |
1.0067 |
|
0.618 |
1.0032 |
|
1.000 |
1.0010 |
|
1.618 |
0.9975 |
|
2.618 |
0.9918 |
|
4.250 |
0.9825 |
|
|
| Fisher Pivots for day following 27-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0106 |
1.0170 |
| PP |
1.0101 |
1.0150 |
| S1 |
1.0096 |
1.0131 |
|