CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 05-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Jul-2011 |
05-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0356 |
1.0408 |
0.0052 |
0.5% |
1.0098 |
| High |
1.0419 |
1.0418 |
-0.0001 |
0.0% |
1.0419 |
| Low |
1.0342 |
1.0352 |
0.0010 |
0.1% |
1.0067 |
| Close |
1.0411 |
1.0370 |
-0.0041 |
-0.4% |
1.0411 |
| Range |
0.0077 |
0.0066 |
-0.0011 |
-14.3% |
0.0352 |
| ATR |
0.0093 |
0.0091 |
-0.0002 |
-2.0% |
0.0000 |
| Volume |
55,111 |
56,621 |
1,510 |
2.7% |
406,262 |
|
| Daily Pivots for day following 05-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0578 |
1.0540 |
1.0406 |
|
| R3 |
1.0512 |
1.0474 |
1.0388 |
|
| R2 |
1.0446 |
1.0446 |
1.0382 |
|
| R1 |
1.0408 |
1.0408 |
1.0376 |
1.0394 |
| PP |
1.0380 |
1.0380 |
1.0380 |
1.0373 |
| S1 |
1.0342 |
1.0342 |
1.0364 |
1.0328 |
| S2 |
1.0314 |
1.0314 |
1.0358 |
|
| S3 |
1.0248 |
1.0276 |
1.0352 |
|
| S4 |
1.0182 |
1.0210 |
1.0334 |
|
|
| 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 |
1.0096 |
0.0323 |
3.1% |
0.0090 |
0.9% |
85% |
False |
False |
78,324 |
| 10 |
1.0419 |
1.0067 |
0.0352 |
3.4% |
0.0090 |
0.9% |
86% |
False |
False |
80,044 |
| 20 |
1.0419 |
1.0067 |
0.0352 |
3.4% |
0.0094 |
0.9% |
86% |
False |
False |
76,704 |
| 40 |
1.0473 |
1.0067 |
0.0406 |
3.9% |
0.0090 |
0.9% |
75% |
False |
False |
39,390 |
| 60 |
1.0550 |
1.0067 |
0.0483 |
4.7% |
0.0088 |
0.8% |
63% |
False |
False |
26,332 |
| 80 |
1.0550 |
0.9985 |
0.0565 |
5.4% |
0.0083 |
0.8% |
68% |
False |
False |
19,784 |
| 100 |
1.0550 |
0.9985 |
0.0565 |
5.4% |
0.0073 |
0.7% |
68% |
False |
False |
15,838 |
| 120 |
1.0550 |
0.9908 |
0.0642 |
6.2% |
0.0064 |
0.6% |
72% |
False |
False |
13,204 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0699 |
|
2.618 |
1.0591 |
|
1.618 |
1.0525 |
|
1.000 |
1.0484 |
|
0.618 |
1.0459 |
|
HIGH |
1.0418 |
|
0.618 |
1.0393 |
|
0.500 |
1.0385 |
|
0.382 |
1.0377 |
|
LOW |
1.0352 |
|
0.618 |
1.0311 |
|
1.000 |
1.0286 |
|
1.618 |
1.0245 |
|
2.618 |
1.0179 |
|
4.250 |
1.0072 |
|
|
| Fisher Pivots for day following 05-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0385 |
1.0363 |
| PP |
1.0380 |
1.0357 |
| S1 |
1.0375 |
1.0350 |
|