CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 24-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Aug-2011 |
24-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0088 |
1.0118 |
0.0030 |
0.3% |
1.0107 |
| High |
1.0146 |
1.0157 |
0.0011 |
0.1% |
1.0224 |
| Low |
1.0084 |
1.0088 |
0.0004 |
0.0% |
1.0053 |
| Close |
1.0106 |
1.0111 |
0.0005 |
0.0% |
1.0098 |
| Range |
0.0062 |
0.0069 |
0.0007 |
11.3% |
0.0171 |
| ATR |
0.0111 |
0.0108 |
-0.0003 |
-2.7% |
0.0000 |
| Volume |
79,845 |
72,970 |
-6,875 |
-8.6% |
409,993 |
|
| Daily Pivots for day following 24-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0326 |
1.0287 |
1.0149 |
|
| R3 |
1.0257 |
1.0218 |
1.0130 |
|
| R2 |
1.0188 |
1.0188 |
1.0124 |
|
| R1 |
1.0149 |
1.0149 |
1.0117 |
1.0134 |
| PP |
1.0119 |
1.0119 |
1.0119 |
1.0111 |
| S1 |
1.0080 |
1.0080 |
1.0105 |
1.0065 |
| S2 |
1.0050 |
1.0050 |
1.0098 |
|
| S3 |
0.9981 |
1.0011 |
1.0092 |
|
| S4 |
0.9912 |
0.9942 |
1.0073 |
|
|
| 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 |
1.0196 |
1.0053 |
0.0143 |
1.4% |
0.0095 |
0.9% |
41% |
False |
False |
83,814 |
| 10 |
1.0224 |
1.0022 |
0.0202 |
2.0% |
0.0096 |
0.9% |
44% |
False |
False |
86,411 |
| 20 |
1.0560 |
0.9980 |
0.0580 |
5.7% |
0.0119 |
1.2% |
23% |
False |
False |
110,448 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0109 |
1.1% |
21% |
False |
False |
93,562 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0103 |
1.0% |
21% |
False |
False |
83,122 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
21% |
False |
False |
62,508 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0095 |
0.9% |
21% |
False |
False |
50,042 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0090 |
0.9% |
21% |
False |
False |
41,724 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0450 |
|
2.618 |
1.0338 |
|
1.618 |
1.0269 |
|
1.000 |
1.0226 |
|
0.618 |
1.0200 |
|
HIGH |
1.0157 |
|
0.618 |
1.0131 |
|
0.500 |
1.0123 |
|
0.382 |
1.0114 |
|
LOW |
1.0088 |
|
0.618 |
1.0045 |
|
1.000 |
1.0019 |
|
1.618 |
0.9976 |
|
2.618 |
0.9907 |
|
4.250 |
0.9795 |
|
|
| Fisher Pivots for day following 24-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0123 |
1.0120 |
| PP |
1.0119 |
1.0117 |
| S1 |
1.0115 |
1.0114 |
|