CME Canadian Dollar Future September 2011


Trading Metrics calculated at close of trading on 16-Aug-2011
Day Change Summary
Previous Current
15-Aug-2011 16-Aug-2011 Change Change % Previous Week
Open 1.0107 1.0196 0.0089 0.9% 1.0162
High 1.0201 1.0196 -0.0005 0.0% 1.0225
Low 1.0086 1.0121 0.0035 0.3% 0.9980
Close 1.0184 1.0165 -0.0019 -0.2% 1.0089
Range 0.0115 0.0075 -0.0040 -34.8% 0.0245
ATR 0.0122 0.0119 -0.0003 -2.8% 0.0000
Volume 74,314 76,515 2,201 3.0% 749,617
Daily Pivots for day following 16-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0386 1.0350 1.0206
R3 1.0311 1.0275 1.0186
R2 1.0236 1.0236 1.0179
R1 1.0200 1.0200 1.0172 1.0181
PP 1.0161 1.0161 1.0161 1.0151
S1 1.0125 1.0125 1.0158 1.0106
S2 1.0086 1.0086 1.0151
S3 1.0011 1.0050 1.0144
S4 0.9936 0.9975 1.0124
Weekly Pivots for week ending 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0833 1.0706 1.0224
R3 1.0588 1.0461 1.0156
R2 1.0343 1.0343 1.0134
R1 1.0216 1.0216 1.0111 1.0157
PP 1.0098 1.0098 1.0098 1.0069
S1 0.9971 0.9971 1.0067 0.9912
S2 0.9853 0.9853 1.0044
S3 0.9608 0.9726 1.0022
S4 0.9363 0.9481 0.9954
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0224 1.0022 0.0202 2.0% 0.0119 1.2% 71% False False 108,770
10 1.0442 0.9980 0.0462 4.5% 0.0143 1.4% 40% False False 138,781
20 1.0617 0.9980 0.0637 6.3% 0.0118 1.2% 29% False False 107,712
40 1.0617 0.9980 0.0637 6.3% 0.0109 1.1% 29% False False 93,527
60 1.0617 0.9980 0.0637 6.3% 0.0101 1.0% 29% False False 75,182
80 1.0617 0.9980 0.0637 6.3% 0.0099 1.0% 29% False False 56,486
100 1.0617 0.9980 0.0637 6.3% 0.0092 0.9% 29% False False 45,219
120 1.0617 0.9980 0.0637 6.3% 0.0088 0.9% 29% False False 37,702
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0028
Narrowest range in 13 trading days
Fibonacci Retracements and Extensions
4.250 1.0515
2.618 1.0392
1.618 1.0317
1.000 1.0271
0.618 1.0242
HIGH 1.0196
0.618 1.0167
0.500 1.0159
0.382 1.0150
LOW 1.0121
0.618 1.0075
1.000 1.0046
1.618 1.0000
2.618 0.9925
4.250 0.9802
Fisher Pivots for day following 16-Aug-2011
Pivot 1 day 3 day
R1 1.0163 1.0156
PP 1.0161 1.0146
S1 1.0159 1.0137

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

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