CME Canadian Dollar Future September 2011


Trading Metrics calculated at close of trading on 01-Aug-2011
Day Change Summary
Previous Current
29-Jul-2011 01-Aug-2011 Change Change % Previous Week
Open 1.0524 1.0460 -0.0064 -0.6% 1.0529
High 1.0529 1.0523 -0.0006 -0.1% 1.0617
Low 1.0415 1.0399 -0.0016 -0.2% 1.0415
Close 1.0456 1.0444 -0.0012 -0.1% 1.0456
Range 0.0114 0.0124 0.0010 8.8% 0.0202
ATR 0.0097 0.0099 0.0002 2.0% 0.0000
Volume 106,566 83,361 -23,205 -21.8% 367,132
Daily Pivots for day following 01-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0827 1.0760 1.0512
R3 1.0703 1.0636 1.0478
R2 1.0579 1.0579 1.0467
R1 1.0512 1.0512 1.0455 1.0484
PP 1.0455 1.0455 1.0455 1.0441
S1 1.0388 1.0388 1.0433 1.0360
S2 1.0331 1.0331 1.0421
S3 1.0207 1.0264 1.0410
S4 1.0083 1.0140 1.0376
Weekly Pivots for week ending 29-Jul-2011
Classic Woodie Camarilla DeMark
R4 1.1102 1.0981 1.0567
R3 1.0900 1.0779 1.0512
R2 1.0698 1.0698 1.0493
R1 1.0577 1.0577 1.0475 1.0537
PP 1.0496 1.0496 1.0496 1.0476
S1 1.0375 1.0375 1.0437 1.0335
S2 1.0294 1.0294 1.0419
S3 1.0092 1.0173 1.0400
S4 0.9890 0.9971 1.0345
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0617 1.0399 0.0218 2.1% 0.0099 0.9% 21% False True 79,560
10 1.0617 1.0399 0.0218 2.1% 0.0098 0.9% 21% False True 76,288
20 1.0617 1.0208 0.0409 3.9% 0.0100 1.0% 58% False False 76,055
40 1.0617 1.0067 0.0550 5.3% 0.0097 0.9% 69% False False 75,368
60 1.0617 1.0067 0.0550 5.3% 0.0094 0.9% 69% False False 50,679
80 1.0617 1.0067 0.0550 5.3% 0.0091 0.9% 69% False False 38,058
100 1.0617 0.9985 0.0632 6.1% 0.0087 0.8% 73% False False 30,474
120 1.0617 0.9985 0.0632 6.1% 0.0077 0.7% 73% False False 25,403
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0023
Widest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1.1050
2.618 1.0848
1.618 1.0724
1.000 1.0647
0.618 1.0600
HIGH 1.0523
0.618 1.0476
0.500 1.0461
0.382 1.0446
LOW 1.0399
0.618 1.0322
1.000 1.0275
1.618 1.0198
2.618 1.0074
4.250 0.9872
Fisher Pivots for day following 01-Aug-2011
Pivot 1 day 3 day
R1 1.0461 1.0480
PP 1.0455 1.0468
S1 1.0450 1.0456

These figures are updated between 7pm and 10pm EST after a trading day.

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