CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 02-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
01-Sep-2011 |
02-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0221 |
1.0239 |
0.0018 |
0.2% |
1.0172 |
| High |
1.0267 |
1.0248 |
-0.0019 |
-0.2% |
1.0278 |
| Low |
1.0203 |
1.0151 |
-0.0052 |
-0.5% |
1.0146 |
| Close |
1.0248 |
1.0154 |
-0.0094 |
-0.9% |
1.0154 |
| Range |
0.0064 |
0.0097 |
0.0033 |
51.6% |
0.0132 |
| ATR |
0.0101 |
0.0101 |
0.0000 |
-0.3% |
0.0000 |
| Volume |
73,651 |
79,258 |
5,607 |
7.6% |
360,029 |
|
| Daily Pivots for day following 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0475 |
1.0412 |
1.0207 |
|
| R3 |
1.0378 |
1.0315 |
1.0181 |
|
| R2 |
1.0281 |
1.0281 |
1.0172 |
|
| R1 |
1.0218 |
1.0218 |
1.0163 |
1.0201 |
| PP |
1.0184 |
1.0184 |
1.0184 |
1.0176 |
| S1 |
1.0121 |
1.0121 |
1.0145 |
1.0104 |
| S2 |
1.0087 |
1.0087 |
1.0136 |
|
| S3 |
0.9990 |
1.0024 |
1.0127 |
|
| S4 |
0.9893 |
0.9927 |
1.0101 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0589 |
1.0503 |
1.0227 |
|
| R3 |
1.0457 |
1.0371 |
1.0190 |
|
| R2 |
1.0325 |
1.0325 |
1.0178 |
|
| R1 |
1.0239 |
1.0239 |
1.0166 |
1.0216 |
| PP |
1.0193 |
1.0193 |
1.0193 |
1.0181 |
| S1 |
1.0107 |
1.0107 |
1.0142 |
1.0084 |
| S2 |
1.0061 |
1.0061 |
1.0130 |
|
| S3 |
0.9929 |
0.9975 |
1.0118 |
|
| S4 |
0.9797 |
0.9843 |
1.0081 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0278 |
1.0146 |
0.0132 |
1.3% |
0.0084 |
0.8% |
6% |
False |
False |
72,005 |
| 10 |
1.0278 |
1.0070 |
0.0208 |
2.0% |
0.0087 |
0.9% |
40% |
False |
False |
77,652 |
| 20 |
1.0278 |
0.9980 |
0.0298 |
2.9% |
0.0110 |
1.1% |
58% |
False |
False |
96,806 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0108 |
1.1% |
27% |
False |
False |
93,651 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0104 |
1.0% |
27% |
False |
False |
89,957 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
27% |
False |
False |
69,377 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0097 |
1.0% |
27% |
False |
False |
55,559 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0091 |
0.9% |
27% |
False |
False |
46,322 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0660 |
|
2.618 |
1.0502 |
|
1.618 |
1.0405 |
|
1.000 |
1.0345 |
|
0.618 |
1.0308 |
|
HIGH |
1.0248 |
|
0.618 |
1.0211 |
|
0.500 |
1.0200 |
|
0.382 |
1.0188 |
|
LOW |
1.0151 |
|
0.618 |
1.0091 |
|
1.000 |
1.0054 |
|
1.618 |
0.9994 |
|
2.618 |
0.9897 |
|
4.250 |
0.9739 |
|
|
| Fisher Pivots for day following 02-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0200 |
1.0215 |
| PP |
1.0184 |
1.0194 |
| S1 |
1.0169 |
1.0174 |
|