CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 14-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
13-Sep-2011 |
14-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0070 |
1.0137 |
0.0067 |
0.7% |
1.0138 |
| High |
1.0150 |
1.0155 |
0.0005 |
0.0% |
1.0170 |
| Low |
1.0021 |
1.0058 |
0.0037 |
0.4% |
1.0019 |
| Close |
1.0134 |
1.0101 |
-0.0033 |
-0.3% |
1.0025 |
| Range |
0.0129 |
0.0097 |
-0.0032 |
-24.8% |
0.0151 |
| ATR |
0.0103 |
0.0103 |
0.0000 |
-0.4% |
0.0000 |
| Volume |
106,890 |
106,386 |
-504 |
-0.5% |
395,582 |
|
| Daily Pivots for day following 14-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0396 |
1.0345 |
1.0154 |
|
| R3 |
1.0299 |
1.0248 |
1.0128 |
|
| R2 |
1.0202 |
1.0202 |
1.0119 |
|
| R1 |
1.0151 |
1.0151 |
1.0110 |
1.0128 |
| PP |
1.0105 |
1.0105 |
1.0105 |
1.0093 |
| S1 |
1.0054 |
1.0054 |
1.0092 |
1.0031 |
| S2 |
1.0008 |
1.0008 |
1.0083 |
|
| S3 |
0.9911 |
0.9957 |
1.0074 |
|
| S4 |
0.9814 |
0.9860 |
1.0048 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0524 |
1.0426 |
1.0108 |
|
| R3 |
1.0373 |
1.0275 |
1.0067 |
|
| R2 |
1.0222 |
1.0222 |
1.0053 |
|
| R1 |
1.0124 |
1.0124 |
1.0039 |
1.0098 |
| PP |
1.0071 |
1.0071 |
1.0071 |
1.0058 |
| S1 |
0.9973 |
0.9973 |
1.0011 |
0.9947 |
| S2 |
0.9920 |
0.9920 |
0.9997 |
|
| S3 |
0.9769 |
0.9822 |
0.9983 |
|
| S4 |
0.9618 |
0.9671 |
0.9942 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0170 |
0.9967 |
0.0203 |
2.0% |
0.0104 |
1.0% |
66% |
False |
False |
101,472 |
| 10 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0097 |
1.0% |
43% |
False |
False |
95,718 |
| 20 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0096 |
1.0% |
43% |
False |
False |
88,017 |
| 40 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0107 |
1.1% |
21% |
False |
False |
97,864 |
| 60 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0104 |
1.0% |
21% |
False |
False |
91,690 |
| 80 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0100 |
1.0% |
21% |
False |
False |
78,390 |
| 100 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0099 |
1.0% |
21% |
False |
False |
62,792 |
| 120 |
1.0617 |
0.9967 |
0.0650 |
6.4% |
0.0093 |
0.9% |
21% |
False |
False |
52,352 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0567 |
|
2.618 |
1.0409 |
|
1.618 |
1.0312 |
|
1.000 |
1.0252 |
|
0.618 |
1.0215 |
|
HIGH |
1.0155 |
|
0.618 |
1.0118 |
|
0.500 |
1.0107 |
|
0.382 |
1.0095 |
|
LOW |
1.0058 |
|
0.618 |
0.9998 |
|
1.000 |
0.9961 |
|
1.618 |
0.9901 |
|
2.618 |
0.9804 |
|
4.250 |
0.9646 |
|
|
| Fisher Pivots for day following 14-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0107 |
1.0088 |
| PP |
1.0105 |
1.0074 |
| S1 |
1.0103 |
1.0061 |
|