CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 28-Jun-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Jun-2011 |
28-Jun-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0098 |
1.0120 |
0.0022 |
0.2% |
1.0176 |
| High |
1.0124 |
1.0170 |
0.0046 |
0.5% |
1.0293 |
| Low |
1.0067 |
1.0096 |
0.0029 |
0.3% |
1.0094 |
| Close |
1.0111 |
1.0158 |
0.0047 |
0.5% |
1.0097 |
| Range |
0.0057 |
0.0074 |
0.0017 |
29.8% |
0.0199 |
| ATR |
0.0092 |
0.0090 |
-0.0001 |
-1.4% |
0.0000 |
| Volume |
71,260 |
72,684 |
1,424 |
2.0% |
391,251 |
|
| Daily Pivots for day following 28-Jun-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0363 |
1.0335 |
1.0199 |
|
| R3 |
1.0289 |
1.0261 |
1.0178 |
|
| R2 |
1.0215 |
1.0215 |
1.0172 |
|
| R1 |
1.0187 |
1.0187 |
1.0165 |
1.0201 |
| PP |
1.0141 |
1.0141 |
1.0141 |
1.0149 |
| S1 |
1.0113 |
1.0113 |
1.0151 |
1.0127 |
| S2 |
1.0067 |
1.0067 |
1.0144 |
|
| S3 |
0.9993 |
1.0039 |
1.0138 |
|
| S4 |
0.9919 |
0.9965 |
1.0117 |
|
|
| 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% |
0.0086 |
0.8% |
40% |
False |
False |
80,015 |
| 10 |
1.0316 |
1.0067 |
0.0249 |
2.5% |
0.0099 |
1.0% |
37% |
False |
False |
86,382 |
| 20 |
1.0316 |
1.0067 |
0.0249 |
2.5% |
0.0091 |
0.9% |
37% |
False |
False |
62,242 |
| 40 |
1.0531 |
1.0067 |
0.0464 |
4.6% |
0.0092 |
0.9% |
20% |
False |
False |
31,454 |
| 60 |
1.0550 |
1.0067 |
0.0483 |
4.8% |
0.0086 |
0.8% |
19% |
False |
False |
21,030 |
| 80 |
1.0550 |
0.9985 |
0.0565 |
5.6% |
0.0081 |
0.8% |
31% |
False |
False |
15,805 |
| 100 |
1.0550 |
0.9981 |
0.0569 |
5.6% |
0.0071 |
0.7% |
31% |
False |
False |
12,651 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.3% |
0.0061 |
0.6% |
39% |
False |
False |
10,546 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0485 |
|
2.618 |
1.0364 |
|
1.618 |
1.0290 |
|
1.000 |
1.0244 |
|
0.618 |
1.0216 |
|
HIGH |
1.0170 |
|
0.618 |
1.0142 |
|
0.500 |
1.0133 |
|
0.382 |
1.0124 |
|
LOW |
1.0096 |
|
0.618 |
1.0050 |
|
1.000 |
1.0022 |
|
1.618 |
0.9976 |
|
2.618 |
0.9902 |
|
4.250 |
0.9782 |
|
|
| Fisher Pivots for day following 28-Jun-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0150 |
1.0152 |
| PP |
1.0141 |
1.0147 |
| S1 |
1.0133 |
1.0141 |
|