CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 31-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Aug-2011 |
31-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0231 |
1.0213 |
-0.0018 |
-0.2% |
1.0084 |
| High |
1.0242 |
1.0278 |
0.0036 |
0.4% |
1.0207 |
| Low |
1.0180 |
1.0197 |
0.0017 |
0.2% |
1.0070 |
| Close |
1.0217 |
1.0208 |
-0.0009 |
-0.1% |
1.0146 |
| Range |
0.0062 |
0.0081 |
0.0019 |
30.6% |
0.0137 |
| ATR |
0.0106 |
0.0104 |
-0.0002 |
-1.7% |
0.0000 |
| Volume |
62,083 |
79,618 |
17,535 |
28.2% |
416,496 |
|
| Daily Pivots for day following 31-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0471 |
1.0420 |
1.0253 |
|
| R3 |
1.0390 |
1.0339 |
1.0230 |
|
| R2 |
1.0309 |
1.0309 |
1.0223 |
|
| R1 |
1.0258 |
1.0258 |
1.0215 |
1.0243 |
| PP |
1.0228 |
1.0228 |
1.0228 |
1.0220 |
| S1 |
1.0177 |
1.0177 |
1.0201 |
1.0162 |
| S2 |
1.0147 |
1.0147 |
1.0193 |
|
| S3 |
1.0066 |
1.0096 |
1.0186 |
|
| S4 |
0.9985 |
1.0015 |
1.0163 |
|
|
| Weekly Pivots for week ending 26-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0552 |
1.0486 |
1.0221 |
|
| R3 |
1.0415 |
1.0349 |
1.0184 |
|
| R2 |
1.0278 |
1.0278 |
1.0171 |
|
| R1 |
1.0212 |
1.0212 |
1.0159 |
1.0245 |
| PP |
1.0141 |
1.0141 |
1.0141 |
1.0158 |
| S1 |
1.0075 |
1.0075 |
1.0133 |
1.0108 |
| S2 |
1.0004 |
1.0004 |
1.0121 |
|
| S3 |
0.9867 |
0.9938 |
1.0108 |
|
| S4 |
0.9730 |
0.9801 |
1.0071 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0278 |
1.0070 |
0.0208 |
2.0% |
0.0096 |
0.9% |
66% |
True |
False |
79,979 |
| 10 |
1.0278 |
1.0053 |
0.0225 |
2.2% |
0.0095 |
0.9% |
69% |
True |
False |
81,896 |
| 20 |
1.0402 |
0.9980 |
0.0422 |
4.1% |
0.0119 |
1.2% |
54% |
False |
False |
107,492 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0110 |
1.1% |
36% |
False |
False |
93,893 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0104 |
1.0% |
36% |
False |
False |
88,806 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0100 |
1.0% |
36% |
False |
False |
67,477 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0097 |
0.9% |
36% |
False |
False |
54,032 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0092 |
0.9% |
36% |
False |
False |
45,049 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0622 |
|
2.618 |
1.0490 |
|
1.618 |
1.0409 |
|
1.000 |
1.0359 |
|
0.618 |
1.0328 |
|
HIGH |
1.0278 |
|
0.618 |
1.0247 |
|
0.500 |
1.0238 |
|
0.382 |
1.0228 |
|
LOW |
1.0197 |
|
0.618 |
1.0147 |
|
1.000 |
1.0116 |
|
1.618 |
1.0066 |
|
2.618 |
0.9985 |
|
4.250 |
0.9853 |
|
|
| Fisher Pivots for day following 31-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0238 |
1.0212 |
| PP |
1.0228 |
1.0211 |
| S1 |
1.0218 |
1.0209 |
|