CME Canadian Dollar Future March 2011
| Trading Metrics calculated at close of trading on 28-Dec-2010 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Dec-2010 |
28-Dec-2010 |
Change |
Change % |
Previous Week |
| Open |
0.9900 |
0.9915 |
0.0015 |
0.2% |
0.9859 |
| High |
0.9926 |
1.0010 |
0.0084 |
0.8% |
0.9915 |
| Low |
0.9875 |
0.9914 |
0.0039 |
0.4% |
0.9766 |
| Close |
0.9912 |
0.9986 |
0.0074 |
0.7% |
0.9900 |
| Range |
0.0051 |
0.0096 |
0.0045 |
88.2% |
0.0149 |
| ATR |
0.0085 |
0.0086 |
0.0001 |
1.1% |
0.0000 |
| Volume |
46,626 |
53,770 |
7,144 |
15.3% |
201,980 |
|
| Daily Pivots for day following 28-Dec-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0258 |
1.0218 |
1.0039 |
|
| R3 |
1.0162 |
1.0122 |
1.0012 |
|
| R2 |
1.0066 |
1.0066 |
1.0004 |
|
| R1 |
1.0026 |
1.0026 |
0.9995 |
1.0046 |
| PP |
0.9970 |
0.9970 |
0.9970 |
0.9980 |
| S1 |
0.9930 |
0.9930 |
0.9977 |
0.9950 |
| S2 |
0.9874 |
0.9874 |
0.9968 |
|
| S3 |
0.9778 |
0.9834 |
0.9960 |
|
| S4 |
0.9682 |
0.9738 |
0.9933 |
|
|
| Weekly Pivots for week ending 24-Dec-2010 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0307 |
1.0253 |
0.9982 |
|
| R3 |
1.0158 |
1.0104 |
0.9941 |
|
| R2 |
1.0009 |
1.0009 |
0.9927 |
|
| R1 |
0.9955 |
0.9955 |
0.9914 |
0.9982 |
| PP |
0.9860 |
0.9860 |
0.9860 |
0.9874 |
| S1 |
0.9806 |
0.9806 |
0.9886 |
0.9833 |
| S2 |
0.9711 |
0.9711 |
0.9873 |
|
| S3 |
0.9562 |
0.9657 |
0.9859 |
|
| S4 |
0.9413 |
0.9508 |
0.9818 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0010 |
0.9766 |
0.0244 |
2.4% |
0.0076 |
0.8% |
90% |
True |
False |
47,833 |
| 10 |
1.0010 |
0.9766 |
0.0244 |
2.4% |
0.0081 |
0.8% |
90% |
True |
False |
59,600 |
| 20 |
1.0010 |
0.9701 |
0.0309 |
3.1% |
0.0084 |
0.8% |
92% |
True |
False |
41,782 |
| 40 |
1.0010 |
0.9701 |
0.0309 |
3.1% |
0.0088 |
0.9% |
92% |
True |
False |
21,159 |
| 60 |
1.0010 |
0.9605 |
0.0405 |
4.1% |
0.0090 |
0.9% |
94% |
True |
False |
14,211 |
| 80 |
1.0010 |
0.9500 |
0.0510 |
5.1% |
0.0088 |
0.9% |
95% |
True |
False |
10,694 |
| 100 |
1.0010 |
0.9338 |
0.0672 |
6.7% |
0.0083 |
0.8% |
96% |
True |
False |
8,572 |
| 120 |
1.0010 |
0.9338 |
0.0672 |
6.7% |
0.0076 |
0.8% |
96% |
True |
False |
7,147 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0418 |
|
2.618 |
1.0261 |
|
1.618 |
1.0165 |
|
1.000 |
1.0106 |
|
0.618 |
1.0069 |
|
HIGH |
1.0010 |
|
0.618 |
0.9973 |
|
0.500 |
0.9962 |
|
0.382 |
0.9951 |
|
LOW |
0.9914 |
|
0.618 |
0.9855 |
|
1.000 |
0.9818 |
|
1.618 |
0.9759 |
|
2.618 |
0.9663 |
|
4.250 |
0.9506 |
|
|
| Fisher Pivots for day following 28-Dec-2010 |
| Pivot |
1 day |
3 day |
| R1 |
0.9978 |
0.9963 |
| PP |
0.9970 |
0.9939 |
| S1 |
0.9962 |
0.9916 |
|