CME Australian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 27-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2011 |
27-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9686 |
0.9741 |
0.0055 |
0.6% |
1.0186 |
| High |
0.9739 |
0.9887 |
0.0148 |
1.5% |
1.0205 |
| Low |
0.9524 |
0.9679 |
0.0155 |
1.6% |
0.9570 |
| Close |
0.9658 |
0.9865 |
0.0207 |
2.1% |
0.9635 |
| Range |
0.0215 |
0.0208 |
-0.0007 |
-3.3% |
0.0635 |
| ATR |
0.0177 |
0.0181 |
0.0004 |
2.1% |
0.0000 |
| Volume |
159,131 |
142,585 |
-16,546 |
-10.4% |
827,681 |
|
| Daily Pivots for day following 27-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0434 |
1.0358 |
0.9979 |
|
| R3 |
1.0226 |
1.0150 |
0.9922 |
|
| R2 |
1.0018 |
1.0018 |
0.9903 |
|
| R1 |
0.9942 |
0.9942 |
0.9884 |
0.9980 |
| PP |
0.9810 |
0.9810 |
0.9810 |
0.9830 |
| S1 |
0.9734 |
0.9734 |
0.9846 |
0.9772 |
| S2 |
0.9602 |
0.9602 |
0.9827 |
|
| S3 |
0.9394 |
0.9526 |
0.9808 |
|
| S4 |
0.9186 |
0.9318 |
0.9751 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1708 |
1.1307 |
0.9984 |
|
| R3 |
1.1073 |
1.0672 |
0.9810 |
|
| R2 |
1.0438 |
1.0438 |
0.9751 |
|
| R1 |
1.0037 |
1.0037 |
0.9693 |
0.9920 |
| PP |
0.9803 |
0.9803 |
0.9803 |
0.9745 |
| S1 |
0.9402 |
0.9402 |
0.9577 |
0.9285 |
| S2 |
0.9168 |
0.9168 |
0.9519 |
|
| S3 |
0.8533 |
0.8767 |
0.9460 |
|
| S4 |
0.7898 |
0.8132 |
0.9286 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0183 |
0.9524 |
0.0659 |
6.7% |
0.0262 |
2.7% |
52% |
False |
False |
180,192 |
| 10 |
1.0285 |
0.9524 |
0.0761 |
7.7% |
0.0209 |
2.1% |
45% |
False |
False |
135,288 |
| 20 |
1.0630 |
0.9524 |
0.1106 |
11.2% |
0.0168 |
1.7% |
31% |
False |
False |
72,824 |
| 40 |
1.0797 |
0.9524 |
0.1273 |
12.9% |
0.0161 |
1.6% |
27% |
False |
False |
36,522 |
| 60 |
1.0875 |
0.9524 |
0.1351 |
13.7% |
0.0136 |
1.4% |
25% |
False |
False |
24,375 |
| 80 |
1.0875 |
0.9524 |
0.1351 |
13.7% |
0.0118 |
1.2% |
25% |
False |
False |
18,299 |
| 100 |
1.0875 |
0.9524 |
0.1351 |
13.7% |
0.0096 |
1.0% |
25% |
False |
False |
14,641 |
| 120 |
1.0875 |
0.9524 |
0.1351 |
13.7% |
0.0080 |
0.8% |
25% |
False |
False |
12,201 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0771 |
|
2.618 |
1.0432 |
|
1.618 |
1.0224 |
|
1.000 |
1.0095 |
|
0.618 |
1.0016 |
|
HIGH |
0.9887 |
|
0.618 |
0.9808 |
|
0.500 |
0.9783 |
|
0.382 |
0.9758 |
|
LOW |
0.9679 |
|
0.618 |
0.9550 |
|
1.000 |
0.9471 |
|
1.618 |
0.9342 |
|
2.618 |
0.9134 |
|
4.250 |
0.8795 |
|
|
| Fisher Pivots for day following 27-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9838 |
0.9812 |
| PP |
0.9810 |
0.9759 |
| S1 |
0.9783 |
0.9706 |
|