CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 03-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Aug-2011 |
03-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0445 |
1.0395 |
-0.0050 |
-0.5% |
1.0529 |
| High |
1.0462 |
1.0442 |
-0.0020 |
-0.2% |
1.0617 |
| Low |
1.0386 |
1.0356 |
-0.0030 |
-0.3% |
1.0415 |
| Close |
1.0418 |
1.0377 |
-0.0041 |
-0.4% |
1.0456 |
| Range |
0.0076 |
0.0086 |
0.0010 |
13.2% |
0.0202 |
| ATR |
0.0097 |
0.0096 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
88,369 |
120,738 |
32,369 |
36.6% |
367,132 |
|
| Daily Pivots for day following 03-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0650 |
1.0599 |
1.0424 |
|
| R3 |
1.0564 |
1.0513 |
1.0401 |
|
| R2 |
1.0478 |
1.0478 |
1.0393 |
|
| R1 |
1.0427 |
1.0427 |
1.0385 |
1.0410 |
| PP |
1.0392 |
1.0392 |
1.0392 |
1.0383 |
| S1 |
1.0341 |
1.0341 |
1.0369 |
1.0324 |
| S2 |
1.0306 |
1.0306 |
1.0361 |
|
| S3 |
1.0220 |
1.0255 |
1.0353 |
|
| S4 |
1.0134 |
1.0169 |
1.0330 |
|
|
| 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 |
1.0560 |
1.0356 |
0.0204 |
2.0% |
0.0095 |
0.9% |
10% |
False |
True |
91,801 |
| 10 |
1.0617 |
1.0356 |
0.0261 |
2.5% |
0.0095 |
0.9% |
8% |
False |
True |
81,680 |
| 20 |
1.0617 |
1.0208 |
0.0409 |
3.9% |
0.0101 |
1.0% |
41% |
False |
False |
80,293 |
| 40 |
1.0617 |
1.0067 |
0.0550 |
5.3% |
0.0097 |
0.9% |
56% |
False |
False |
79,464 |
| 60 |
1.0617 |
1.0067 |
0.0550 |
5.3% |
0.0093 |
0.9% |
56% |
False |
False |
54,139 |
| 80 |
1.0617 |
1.0067 |
0.0550 |
5.3% |
0.0091 |
0.9% |
56% |
False |
False |
40,667 |
| 100 |
1.0617 |
0.9985 |
0.0632 |
6.1% |
0.0087 |
0.8% |
62% |
False |
False |
32,560 |
| 120 |
1.0617 |
0.9985 |
0.0632 |
6.1% |
0.0078 |
0.8% |
62% |
False |
False |
27,145 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0808 |
|
2.618 |
1.0667 |
|
1.618 |
1.0581 |
|
1.000 |
1.0528 |
|
0.618 |
1.0495 |
|
HIGH |
1.0442 |
|
0.618 |
1.0409 |
|
0.500 |
1.0399 |
|
0.382 |
1.0389 |
|
LOW |
1.0356 |
|
0.618 |
1.0303 |
|
1.000 |
1.0270 |
|
1.618 |
1.0217 |
|
2.618 |
1.0131 |
|
4.250 |
0.9991 |
|
|
| Fisher Pivots for day following 03-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0399 |
1.0440 |
| PP |
1.0392 |
1.0419 |
| S1 |
1.0384 |
1.0398 |
|