CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 20-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Jul-2011 |
20-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0406 |
1.0509 |
0.0103 |
1.0% |
1.0382 |
| High |
1.0530 |
1.0558 |
0.0028 |
0.3% |
1.0489 |
| Low |
1.0399 |
1.0496 |
0.0097 |
0.9% |
1.0208 |
| Close |
1.0507 |
1.0540 |
0.0033 |
0.3% |
1.0445 |
| Range |
0.0131 |
0.0062 |
-0.0069 |
-52.7% |
0.0281 |
| ATR |
0.0101 |
0.0098 |
-0.0003 |
-2.7% |
0.0000 |
| Volume |
84,812 |
70,377 |
-14,435 |
-17.0% |
411,732 |
|
| Daily Pivots for day following 20-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0717 |
1.0691 |
1.0574 |
|
| R3 |
1.0655 |
1.0629 |
1.0557 |
|
| R2 |
1.0593 |
1.0593 |
1.0551 |
|
| R1 |
1.0567 |
1.0567 |
1.0546 |
1.0580 |
| PP |
1.0531 |
1.0531 |
1.0531 |
1.0538 |
| S1 |
1.0505 |
1.0505 |
1.0534 |
1.0518 |
| S2 |
1.0469 |
1.0469 |
1.0529 |
|
| S3 |
1.0407 |
1.0443 |
1.0523 |
|
| S4 |
1.0345 |
1.0381 |
1.0506 |
|
|
| Weekly Pivots for week ending 15-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1224 |
1.1115 |
1.0600 |
|
| R3 |
1.0943 |
1.0834 |
1.0522 |
|
| R2 |
1.0662 |
1.0662 |
1.0497 |
|
| R1 |
1.0553 |
1.0553 |
1.0471 |
1.0608 |
| PP |
1.0381 |
1.0381 |
1.0381 |
1.0408 |
| S1 |
1.0272 |
1.0272 |
1.0419 |
1.0327 |
| S2 |
1.0100 |
1.0100 |
1.0393 |
|
| S3 |
0.9819 |
0.9991 |
1.0368 |
|
| S4 |
0.9538 |
0.9710 |
1.0290 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0558 |
1.0361 |
0.0197 |
1.9% |
0.0098 |
0.9% |
91% |
True |
False |
72,829 |
| 10 |
1.0558 |
1.0208 |
0.0350 |
3.3% |
0.0106 |
1.0% |
95% |
True |
False |
78,907 |
| 20 |
1.0558 |
1.0067 |
0.0491 |
4.7% |
0.0097 |
0.9% |
96% |
True |
False |
78,790 |
| 40 |
1.0558 |
1.0067 |
0.0491 |
4.7% |
0.0093 |
0.9% |
96% |
True |
False |
60,658 |
| 60 |
1.0558 |
1.0067 |
0.0491 |
4.7% |
0.0093 |
0.9% |
96% |
True |
False |
40,580 |
| 80 |
1.0558 |
1.0067 |
0.0491 |
4.7% |
0.0086 |
0.8% |
96% |
True |
False |
30,474 |
| 100 |
1.0558 |
0.9985 |
0.0573 |
5.4% |
0.0082 |
0.8% |
97% |
True |
False |
24,404 |
| 120 |
1.0558 |
0.9908 |
0.0650 |
6.2% |
0.0072 |
0.7% |
97% |
True |
False |
20,341 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0822 |
|
2.618 |
1.0720 |
|
1.618 |
1.0658 |
|
1.000 |
1.0620 |
|
0.618 |
1.0596 |
|
HIGH |
1.0558 |
|
0.618 |
1.0534 |
|
0.500 |
1.0527 |
|
0.382 |
1.0520 |
|
LOW |
1.0496 |
|
0.618 |
1.0458 |
|
1.000 |
1.0434 |
|
1.618 |
1.0396 |
|
2.618 |
1.0334 |
|
4.250 |
1.0233 |
|
|
| Fisher Pivots for day following 20-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0536 |
1.0513 |
| PP |
1.0531 |
1.0486 |
| S1 |
1.0527 |
1.0460 |
|