CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 23-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Aug-2011 |
23-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0084 |
1.0088 |
0.0004 |
0.0% |
1.0107 |
| High |
1.0168 |
1.0146 |
-0.0022 |
-0.2% |
1.0224 |
| Low |
1.0072 |
1.0084 |
0.0012 |
0.1% |
1.0053 |
| Close |
1.0102 |
1.0106 |
0.0004 |
0.0% |
1.0098 |
| Range |
0.0096 |
0.0062 |
-0.0034 |
-35.4% |
0.0171 |
| ATR |
0.0115 |
0.0111 |
-0.0004 |
-3.3% |
0.0000 |
| Volume |
70,904 |
79,845 |
8,941 |
12.6% |
409,993 |
|
| Daily Pivots for day following 23-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0298 |
1.0264 |
1.0140 |
|
| R3 |
1.0236 |
1.0202 |
1.0123 |
|
| R2 |
1.0174 |
1.0174 |
1.0117 |
|
| R1 |
1.0140 |
1.0140 |
1.0112 |
1.0157 |
| PP |
1.0112 |
1.0112 |
1.0112 |
1.0121 |
| S1 |
1.0078 |
1.0078 |
1.0100 |
1.0095 |
| S2 |
1.0050 |
1.0050 |
1.0095 |
|
| S3 |
0.9988 |
1.0016 |
1.0089 |
|
| S4 |
0.9926 |
0.9954 |
1.0072 |
|
|
| Weekly Pivots for week ending 19-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0638 |
1.0539 |
1.0192 |
|
| R3 |
1.0467 |
1.0368 |
1.0145 |
|
| R2 |
1.0296 |
1.0296 |
1.0129 |
|
| R1 |
1.0197 |
1.0197 |
1.0114 |
1.0161 |
| PP |
1.0125 |
1.0125 |
1.0125 |
1.0107 |
| S1 |
1.0026 |
1.0026 |
1.0082 |
0.9990 |
| S2 |
0.9954 |
0.9954 |
1.0067 |
|
| S3 |
0.9783 |
0.9855 |
1.0051 |
|
| S4 |
0.9612 |
0.9684 |
1.0004 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0224 |
1.0053 |
0.0171 |
1.7% |
0.0096 |
1.0% |
31% |
False |
False |
81,982 |
| 10 |
1.0224 |
1.0022 |
0.0202 |
2.0% |
0.0108 |
1.1% |
42% |
False |
False |
95,376 |
| 20 |
1.0613 |
0.9980 |
0.0633 |
6.3% |
0.0121 |
1.2% |
20% |
False |
False |
111,021 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0109 |
1.1% |
20% |
False |
False |
93,555 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0105 |
1.0% |
20% |
False |
False |
81,955 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
20% |
False |
False |
61,598 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0095 |
0.9% |
20% |
False |
False |
49,313 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0090 |
0.9% |
20% |
False |
False |
41,116 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0410 |
|
2.618 |
1.0308 |
|
1.618 |
1.0246 |
|
1.000 |
1.0208 |
|
0.618 |
1.0184 |
|
HIGH |
1.0146 |
|
0.618 |
1.0122 |
|
0.500 |
1.0115 |
|
0.382 |
1.0108 |
|
LOW |
1.0084 |
|
0.618 |
1.0046 |
|
1.000 |
1.0022 |
|
1.618 |
0.9984 |
|
2.618 |
0.9922 |
|
4.250 |
0.9821 |
|
|
| Fisher Pivots for day following 23-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0115 |
1.0119 |
| PP |
1.0112 |
1.0115 |
| S1 |
1.0109 |
1.0110 |
|