CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 21-Jul-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Jul-2011 |
21-Jul-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0509 |
1.0538 |
0.0029 |
0.3% |
1.0382 |
| High |
1.0558 |
1.0598 |
0.0040 |
0.4% |
1.0489 |
| Low |
1.0496 |
1.0518 |
0.0022 |
0.2% |
1.0208 |
| Close |
1.0540 |
1.0576 |
0.0036 |
0.3% |
1.0445 |
| Range |
0.0062 |
0.0080 |
0.0018 |
29.0% |
0.0281 |
| ATR |
0.0098 |
0.0097 |
-0.0001 |
-1.3% |
0.0000 |
| Volume |
70,377 |
80,738 |
10,361 |
14.7% |
411,732 |
|
| Daily Pivots for day following 21-Jul-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0804 |
1.0770 |
1.0620 |
|
| R3 |
1.0724 |
1.0690 |
1.0598 |
|
| R2 |
1.0644 |
1.0644 |
1.0591 |
|
| R1 |
1.0610 |
1.0610 |
1.0583 |
1.0627 |
| PP |
1.0564 |
1.0564 |
1.0564 |
1.0573 |
| S1 |
1.0530 |
1.0530 |
1.0569 |
1.0547 |
| S2 |
1.0484 |
1.0484 |
1.0561 |
|
| S3 |
1.0404 |
1.0450 |
1.0554 |
|
| S4 |
1.0324 |
1.0370 |
1.0532 |
|
|
| 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 |
1.0598 |
1.0361 |
0.0237 |
2.2% |
0.0099 |
0.9% |
91% |
True |
False |
73,240 |
| 10 |
1.0598 |
1.0208 |
0.0390 |
3.7% |
0.0103 |
1.0% |
94% |
True |
False |
79,735 |
| 20 |
1.0598 |
1.0067 |
0.0531 |
5.0% |
0.0098 |
0.9% |
96% |
True |
False |
79,187 |
| 40 |
1.0598 |
1.0067 |
0.0531 |
5.0% |
0.0094 |
0.9% |
96% |
True |
False |
62,655 |
| 60 |
1.0598 |
1.0067 |
0.0531 |
5.0% |
0.0093 |
0.9% |
96% |
True |
False |
41,924 |
| 80 |
1.0598 |
1.0067 |
0.0531 |
5.0% |
0.0087 |
0.8% |
96% |
True |
False |
31,482 |
| 100 |
1.0598 |
0.9985 |
0.0613 |
5.8% |
0.0082 |
0.8% |
96% |
True |
False |
25,211 |
| 120 |
1.0598 |
0.9908 |
0.0690 |
6.5% |
0.0073 |
0.7% |
97% |
True |
False |
21,014 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0938 |
|
2.618 |
1.0807 |
|
1.618 |
1.0727 |
|
1.000 |
1.0678 |
|
0.618 |
1.0647 |
|
HIGH |
1.0598 |
|
0.618 |
1.0567 |
|
0.500 |
1.0558 |
|
0.382 |
1.0549 |
|
LOW |
1.0518 |
|
0.618 |
1.0469 |
|
1.000 |
1.0438 |
|
1.618 |
1.0389 |
|
2.618 |
1.0309 |
|
4.250 |
1.0178 |
|
|
| Fisher Pivots for day following 21-Jul-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0570 |
1.0550 |
| PP |
1.0564 |
1.0524 |
| S1 |
1.0558 |
1.0499 |
|