CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 15-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Aug-2011 |
15-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0127 |
1.0102 |
-0.0025 |
-0.2% |
1.0150 |
| High |
1.0135 |
1.0180 |
0.0045 |
0.4% |
1.0200 |
| Low |
1.0060 |
1.0072 |
0.0012 |
0.1% |
0.9967 |
| Close |
1.0072 |
1.0166 |
0.0094 |
0.9% |
1.0072 |
| Range |
0.0075 |
0.0108 |
0.0033 |
44.0% |
0.0233 |
| ATR |
0.0110 |
0.0110 |
0.0000 |
-0.1% |
0.0000 |
| Volume |
686 |
342 |
-344 |
-50.1% |
5,467 |
|
| Daily Pivots for day following 15-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0463 |
1.0423 |
1.0225 |
|
| R3 |
1.0355 |
1.0315 |
1.0196 |
|
| R2 |
1.0247 |
1.0247 |
1.0186 |
|
| R1 |
1.0207 |
1.0207 |
1.0176 |
1.0227 |
| PP |
1.0139 |
1.0139 |
1.0139 |
1.0150 |
| S1 |
1.0099 |
1.0099 |
1.0156 |
1.0119 |
| S2 |
1.0031 |
1.0031 |
1.0146 |
|
| S3 |
0.9923 |
0.9991 |
1.0136 |
|
| S4 |
0.9815 |
0.9883 |
1.0107 |
|
|
| Weekly Pivots for week ending 12-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0779 |
1.0658 |
1.0200 |
|
| R3 |
1.0546 |
1.0425 |
1.0136 |
|
| R2 |
1.0313 |
1.0313 |
1.0115 |
|
| R1 |
1.0192 |
1.0192 |
1.0093 |
1.0136 |
| PP |
1.0080 |
1.0080 |
1.0080 |
1.0052 |
| S1 |
0.9959 |
0.9959 |
1.0051 |
0.9903 |
| S2 |
0.9847 |
0.9847 |
1.0029 |
|
| S3 |
0.9614 |
0.9726 |
1.0008 |
|
| S4 |
0.9381 |
0.9493 |
0.9944 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0200 |
0.9967 |
0.0233 |
2.3% |
0.0138 |
1.4% |
85% |
False |
False |
1,017 |
| 10 |
1.0429 |
0.9967 |
0.0462 |
4.5% |
0.0131 |
1.3% |
43% |
False |
False |
829 |
| 20 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0107 |
1.1% |
32% |
False |
False |
515 |
| 40 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0094 |
0.9% |
32% |
False |
False |
359 |
| 60 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0084 |
0.8% |
32% |
False |
False |
282 |
| 80 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0078 |
0.8% |
32% |
False |
False |
227 |
| 100 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0072 |
0.7% |
32% |
False |
False |
191 |
| 120 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0067 |
0.7% |
32% |
False |
False |
166 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0639 |
|
2.618 |
1.0463 |
|
1.618 |
1.0355 |
|
1.000 |
1.0288 |
|
0.618 |
1.0247 |
|
HIGH |
1.0180 |
|
0.618 |
1.0139 |
|
0.500 |
1.0126 |
|
0.382 |
1.0113 |
|
LOW |
1.0072 |
|
0.618 |
1.0005 |
|
1.000 |
0.9964 |
|
1.618 |
0.9897 |
|
2.618 |
0.9789 |
|
4.250 |
0.9613 |
|
|
| Fisher Pivots for day following 15-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0153 |
1.0142 |
| PP |
1.0139 |
1.0118 |
| S1 |
1.0126 |
1.0095 |
|