CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 01-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Aug-2011 |
01-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0213 |
1.0221 |
0.0008 |
0.1% |
1.0084 |
| High |
1.0278 |
1.0267 |
-0.0011 |
-0.1% |
1.0207 |
| Low |
1.0197 |
1.0203 |
0.0006 |
0.1% |
1.0070 |
| Close |
1.0208 |
1.0248 |
0.0040 |
0.4% |
1.0146 |
| Range |
0.0081 |
0.0064 |
-0.0017 |
-21.0% |
0.0137 |
| ATR |
0.0104 |
0.0101 |
-0.0003 |
-2.7% |
0.0000 |
| Volume |
79,618 |
73,651 |
-5,967 |
-7.5% |
416,496 |
|
| Daily Pivots for day following 01-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0431 |
1.0404 |
1.0283 |
|
| R3 |
1.0367 |
1.0340 |
1.0266 |
|
| R2 |
1.0303 |
1.0303 |
1.0260 |
|
| R1 |
1.0276 |
1.0276 |
1.0254 |
1.0290 |
| PP |
1.0239 |
1.0239 |
1.0239 |
1.0246 |
| S1 |
1.0212 |
1.0212 |
1.0242 |
1.0226 |
| S2 |
1.0175 |
1.0175 |
1.0236 |
|
| S3 |
1.0111 |
1.0148 |
1.0230 |
|
| S4 |
1.0047 |
1.0084 |
1.0213 |
|
|
| 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% |
0.0088 |
0.9% |
86% |
False |
False |
76,163 |
| 10 |
1.0278 |
1.0067 |
0.0211 |
2.1% |
0.0087 |
0.9% |
86% |
False |
False |
79,406 |
| 20 |
1.0278 |
0.9980 |
0.0298 |
2.9% |
0.0111 |
1.1% |
90% |
False |
False |
102,984 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0109 |
1.1% |
42% |
False |
False |
93,923 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0104 |
1.0% |
42% |
False |
False |
89,539 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0099 |
1.0% |
42% |
False |
False |
68,390 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0097 |
0.9% |
42% |
False |
False |
54,767 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.2% |
0.0092 |
0.9% |
42% |
False |
False |
45,662 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0539 |
|
2.618 |
1.0435 |
|
1.618 |
1.0371 |
|
1.000 |
1.0331 |
|
0.618 |
1.0307 |
|
HIGH |
1.0267 |
|
0.618 |
1.0243 |
|
0.500 |
1.0235 |
|
0.382 |
1.0227 |
|
LOW |
1.0203 |
|
0.618 |
1.0163 |
|
1.000 |
1.0139 |
|
1.618 |
1.0099 |
|
2.618 |
1.0035 |
|
4.250 |
0.9931 |
|
|
| Fisher Pivots for day following 01-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0244 |
1.0242 |
| PP |
1.0239 |
1.0235 |
| S1 |
1.0235 |
1.0229 |
|