CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 01-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jun-2011 |
01-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0286 |
1.0356 |
0.0070 |
0.7% |
1.0098 |
| High |
1.0370 |
1.0419 |
0.0049 |
0.5% |
1.0419 |
| Low |
1.0281 |
1.0342 |
0.0061 |
0.6% |
1.0067 |
| Close |
1.0358 |
1.0411 |
0.0053 |
0.5% |
1.0411 |
| Range |
0.0089 |
0.0077 |
-0.0012 |
-13.5% |
0.0352 |
| ATR |
0.0094 |
0.0093 |
-0.0001 |
-1.3% |
0.0000 |
| Volume |
87,469 |
55,111 |
-32,358 |
-37.0% |
406,262 |
|
| Daily Pivots for day following 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0622 |
1.0593 |
1.0453 |
|
| R3 |
1.0545 |
1.0516 |
1.0432 |
|
| R2 |
1.0468 |
1.0468 |
1.0425 |
|
| R1 |
1.0439 |
1.0439 |
1.0418 |
1.0454 |
| PP |
1.0391 |
1.0391 |
1.0391 |
1.0398 |
| S1 |
1.0362 |
1.0362 |
1.0404 |
1.0377 |
| S2 |
1.0314 |
1.0314 |
1.0397 |
|
| S3 |
1.0237 |
1.0285 |
1.0390 |
|
| S4 |
1.0160 |
1.0208 |
1.0369 |
|
|
| Weekly Pivots for week ending 01-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1355 |
1.1235 |
1.0605 |
|
| R3 |
1.1003 |
1.0883 |
1.0508 |
|
| R2 |
1.0651 |
1.0651 |
1.0476 |
|
| R1 |
1.0531 |
1.0531 |
1.0443 |
1.0591 |
| PP |
1.0299 |
1.0299 |
1.0299 |
1.0329 |
| S1 |
1.0179 |
1.0179 |
1.0379 |
1.0239 |
| S2 |
0.9947 |
0.9947 |
1.0346 |
|
| S3 |
0.9595 |
0.9827 |
1.0314 |
|
| S4 |
0.9243 |
0.9475 |
1.0217 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0419 |
1.0067 |
0.0352 |
3.4% |
0.0088 |
0.8% |
98% |
True |
False |
81,252 |
| 10 |
1.0419 |
1.0067 |
0.0352 |
3.4% |
0.0091 |
0.9% |
98% |
True |
False |
79,751 |
| 20 |
1.0419 |
1.0067 |
0.0352 |
3.4% |
0.0093 |
0.9% |
98% |
True |
False |
74,680 |
| 40 |
1.0473 |
1.0067 |
0.0406 |
3.9% |
0.0092 |
0.9% |
85% |
False |
False |
37,990 |
| 60 |
1.0550 |
1.0067 |
0.0483 |
4.6% |
0.0087 |
0.8% |
71% |
False |
False |
25,392 |
| 80 |
1.0550 |
0.9985 |
0.0565 |
5.4% |
0.0084 |
0.8% |
75% |
False |
False |
19,078 |
| 100 |
1.0550 |
0.9985 |
0.0565 |
5.4% |
0.0073 |
0.7% |
75% |
False |
False |
15,272 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.2% |
0.0064 |
0.6% |
78% |
False |
False |
12,732 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0746 |
|
2.618 |
1.0621 |
|
1.618 |
1.0544 |
|
1.000 |
1.0496 |
|
0.618 |
1.0467 |
|
HIGH |
1.0419 |
|
0.618 |
1.0390 |
|
0.500 |
1.0381 |
|
0.382 |
1.0371 |
|
LOW |
1.0342 |
|
0.618 |
1.0294 |
|
1.000 |
1.0265 |
|
1.618 |
1.0217 |
|
2.618 |
1.0140 |
|
4.250 |
1.0015 |
|
|
| Fisher Pivots for day following 01-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0401 |
1.0370 |
| PP |
1.0391 |
1.0329 |
| S1 |
1.0381 |
1.0288 |
|