CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 07-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
06-Sep-2011 |
07-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0120 |
1.0081 |
-0.0039 |
-0.4% |
1.0161 |
| High |
1.0134 |
1.0145 |
0.0011 |
0.1% |
1.0257 |
| Low |
1.0015 |
1.0067 |
0.0052 |
0.5% |
1.0134 |
| Close |
1.0079 |
1.0122 |
0.0043 |
0.4% |
1.0134 |
| Range |
0.0119 |
0.0078 |
-0.0041 |
-34.5% |
0.0123 |
| ATR |
0.0095 |
0.0093 |
-0.0001 |
-1.3% |
0.0000 |
| Volume |
3,150 |
4,567 |
1,417 |
45.0% |
8,004 |
|
| Daily Pivots for day following 07-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0345 |
1.0312 |
1.0165 |
|
| R3 |
1.0267 |
1.0234 |
1.0143 |
|
| R2 |
1.0189 |
1.0189 |
1.0136 |
|
| R1 |
1.0156 |
1.0156 |
1.0129 |
1.0173 |
| PP |
1.0111 |
1.0111 |
1.0111 |
1.0120 |
| S1 |
1.0078 |
1.0078 |
1.0115 |
1.0095 |
| S2 |
1.0033 |
1.0033 |
1.0108 |
|
| S3 |
0.9955 |
1.0000 |
1.0101 |
|
| S4 |
0.9877 |
0.9922 |
1.0079 |
|
|
| Weekly Pivots for week ending 02-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0544 |
1.0462 |
1.0202 |
|
| R3 |
1.0421 |
1.0339 |
1.0168 |
|
| R2 |
1.0298 |
1.0298 |
1.0157 |
|
| R1 |
1.0216 |
1.0216 |
1.0145 |
1.0196 |
| PP |
1.0175 |
1.0175 |
1.0175 |
1.0165 |
| S1 |
1.0093 |
1.0093 |
1.0123 |
1.0073 |
| S2 |
1.0052 |
1.0052 |
1.0111 |
|
| S3 |
0.9929 |
0.9970 |
1.0100 |
|
| S4 |
0.9806 |
0.9847 |
1.0066 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0257 |
1.0015 |
0.0242 |
2.4% |
0.0085 |
0.8% |
44% |
False |
False |
2,591 |
| 10 |
1.0257 |
1.0015 |
0.0242 |
2.4% |
0.0083 |
0.8% |
44% |
False |
False |
1,672 |
| 20 |
1.0257 |
1.0009 |
0.0248 |
2.5% |
0.0090 |
0.9% |
46% |
False |
False |
1,185 |
| 40 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0096 |
0.9% |
25% |
False |
False |
788 |
| 60 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0092 |
0.9% |
25% |
False |
False |
577 |
| 80 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0082 |
0.8% |
25% |
False |
False |
461 |
| 100 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0079 |
0.8% |
25% |
False |
False |
380 |
| 120 |
1.0593 |
0.9967 |
0.0626 |
6.2% |
0.0072 |
0.7% |
25% |
False |
False |
324 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0477 |
|
2.618 |
1.0349 |
|
1.618 |
1.0271 |
|
1.000 |
1.0223 |
|
0.618 |
1.0193 |
|
HIGH |
1.0145 |
|
0.618 |
1.0115 |
|
0.500 |
1.0106 |
|
0.382 |
1.0097 |
|
LOW |
1.0067 |
|
0.618 |
1.0019 |
|
1.000 |
0.9989 |
|
1.618 |
0.9941 |
|
2.618 |
0.9863 |
|
4.250 |
0.9736 |
|
|
| Fisher Pivots for day following 07-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0117 |
1.0122 |
| PP |
1.0111 |
1.0122 |
| S1 |
1.0106 |
1.0122 |
|