CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 25-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
24-Aug-2011 |
25-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0118 |
1.0118 |
0.0000 |
0.0% |
1.0107 |
| High |
1.0157 |
1.0207 |
0.0050 |
0.5% |
1.0224 |
| Low |
1.0088 |
1.0107 |
0.0019 |
0.2% |
1.0053 |
| Close |
1.0111 |
1.0116 |
0.0005 |
0.0% |
1.0098 |
| Range |
0.0069 |
0.0100 |
0.0031 |
44.9% |
0.0171 |
| ATR |
0.0108 |
0.0108 |
-0.0001 |
-0.6% |
0.0000 |
| Volume |
72,970 |
92,733 |
19,763 |
27.1% |
409,993 |
|
| Daily Pivots for day following 25-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0443 |
1.0380 |
1.0171 |
|
| R3 |
1.0343 |
1.0280 |
1.0144 |
|
| R2 |
1.0243 |
1.0243 |
1.0134 |
|
| R1 |
1.0180 |
1.0180 |
1.0125 |
1.0162 |
| PP |
1.0143 |
1.0143 |
1.0143 |
1.0134 |
| S1 |
1.0080 |
1.0080 |
1.0107 |
1.0062 |
| S2 |
1.0043 |
1.0043 |
1.0098 |
|
| S3 |
0.9943 |
0.9980 |
1.0089 |
|
| S4 |
0.9843 |
0.9880 |
1.0061 |
|
|
| 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 |
1.0207 |
1.0067 |
0.0140 |
1.4% |
0.0086 |
0.9% |
35% |
True |
False |
82,650 |
| 10 |
1.0224 |
1.0053 |
0.0171 |
1.7% |
0.0093 |
0.9% |
37% |
False |
False |
81,901 |
| 20 |
1.0529 |
0.9980 |
0.0549 |
5.4% |
0.0120 |
1.2% |
25% |
False |
False |
112,086 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0108 |
1.1% |
21% |
False |
False |
92,887 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0103 |
1.0% |
21% |
False |
False |
84,587 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
21% |
False |
False |
63,664 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0095 |
0.9% |
21% |
False |
False |
50,969 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0091 |
0.9% |
21% |
False |
False |
42,496 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0632 |
|
2.618 |
1.0469 |
|
1.618 |
1.0369 |
|
1.000 |
1.0307 |
|
0.618 |
1.0269 |
|
HIGH |
1.0207 |
|
0.618 |
1.0169 |
|
0.500 |
1.0157 |
|
0.382 |
1.0145 |
|
LOW |
1.0107 |
|
0.618 |
1.0045 |
|
1.000 |
1.0007 |
|
1.618 |
0.9945 |
|
2.618 |
0.9845 |
|
4.250 |
0.9682 |
|
|
| Fisher Pivots for day following 25-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0157 |
1.0146 |
| PP |
1.0143 |
1.0136 |
| S1 |
1.0130 |
1.0126 |
|