CME Canadian Dollar Future September 2012
| Trading Metrics calculated at close of trading on 31-Jul-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
30-Jul-2012 |
31-Jul-2012 |
Change |
Change % |
Previous Week |
| Open |
0.9945 |
0.9970 |
0.0025 |
0.3% |
0.9852 |
| High |
0.9976 |
0.9987 |
0.0011 |
0.1% |
0.9960 |
| Low |
0.9936 |
0.9947 |
0.0011 |
0.1% |
0.9761 |
| Close |
0.9971 |
0.9962 |
-0.0009 |
-0.1% |
0.9948 |
| Range |
0.0040 |
0.0040 |
0.0000 |
0.0% |
0.0199 |
| ATR |
0.0068 |
0.0066 |
-0.0002 |
-2.9% |
0.0000 |
| Volume |
84,723 |
86,322 |
1,599 |
1.9% |
575,647 |
|
| Daily Pivots for day following 31-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0085 |
1.0064 |
0.9984 |
|
| R3 |
1.0045 |
1.0024 |
0.9973 |
|
| R2 |
1.0005 |
1.0005 |
0.9969 |
|
| R1 |
0.9984 |
0.9984 |
0.9966 |
0.9975 |
| PP |
0.9965 |
0.9965 |
0.9965 |
0.9961 |
| S1 |
0.9944 |
0.9944 |
0.9958 |
0.9935 |
| S2 |
0.9925 |
0.9925 |
0.9955 |
|
| S3 |
0.9885 |
0.9904 |
0.9951 |
|
| S4 |
0.9845 |
0.9864 |
0.9940 |
|
|
| Weekly Pivots for week ending 27-Jul-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0487 |
1.0416 |
1.0057 |
|
| R3 |
1.0288 |
1.0217 |
1.0003 |
|
| R2 |
1.0089 |
1.0089 |
0.9984 |
|
| R1 |
1.0018 |
1.0018 |
0.9966 |
1.0054 |
| PP |
0.9890 |
0.9890 |
0.9890 |
0.9907 |
| S1 |
0.9819 |
0.9819 |
0.9930 |
0.9855 |
| S2 |
0.9691 |
0.9691 |
0.9912 |
|
| S3 |
0.9492 |
0.9620 |
0.9893 |
|
| S4 |
0.9293 |
0.9421 |
0.9839 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9987 |
0.9761 |
0.0226 |
2.3% |
0.0070 |
0.7% |
89% |
True |
False |
105,609 |
| 10 |
0.9987 |
0.9761 |
0.0226 |
2.3% |
0.0065 |
0.7% |
89% |
True |
False |
100,435 |
| 20 |
0.9987 |
0.9740 |
0.0247 |
2.5% |
0.0060 |
0.6% |
90% |
True |
False |
83,342 |
| 40 |
0.9987 |
0.9574 |
0.0413 |
4.1% |
0.0070 |
0.7% |
94% |
True |
False |
74,498 |
| 60 |
1.0040 |
0.9554 |
0.0486 |
4.9% |
0.0071 |
0.7% |
84% |
False |
False |
49,921 |
| 80 |
1.0168 |
0.9554 |
0.0614 |
6.2% |
0.0070 |
0.7% |
66% |
False |
False |
37,510 |
| 100 |
1.0168 |
0.9554 |
0.0614 |
6.2% |
0.0066 |
0.7% |
66% |
False |
False |
30,031 |
| 120 |
1.0168 |
0.9554 |
0.0614 |
6.2% |
0.0061 |
0.6% |
66% |
False |
False |
25,038 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0157 |
|
2.618 |
1.0092 |
|
1.618 |
1.0052 |
|
1.000 |
1.0027 |
|
0.618 |
1.0012 |
|
HIGH |
0.9987 |
|
0.618 |
0.9972 |
|
0.500 |
0.9967 |
|
0.382 |
0.9962 |
|
LOW |
0.9947 |
|
0.618 |
0.9922 |
|
1.000 |
0.9907 |
|
1.618 |
0.9882 |
|
2.618 |
0.9842 |
|
4.250 |
0.9777 |
|
|
| Fisher Pivots for day following 31-Jul-2012 |
| Pivot |
1 day |
3 day |
| R1 |
0.9967 |
0.9953 |
| PP |
0.9965 |
0.9945 |
| S1 |
0.9964 |
0.9936 |
|