CME Australian Dollar Future December 2011


Trading Metrics calculated at close of trading on 30-Sep-2011
Day Change Summary
Previous Current
29-Sep-2011 30-Sep-2011 Change Change % Previous Week
Open 0.9663 0.9681 0.0018 0.2% 0.9686
High 0.9787 0.9719 -0.0068 -0.7% 0.9887
Low 0.9611 0.9569 -0.0042 -0.4% 0.9524
Close 0.9633 0.9611 -0.0022 -0.2% 0.9611
Range 0.0176 0.0150 -0.0026 -14.8% 0.0363
ATR 0.0181 0.0179 -0.0002 -1.2% 0.0000
Volume 138,528 131,136 -7,392 -5.3% 705,762
Daily Pivots for day following 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0083 0.9997 0.9694
R3 0.9933 0.9847 0.9652
R2 0.9783 0.9783 0.9639
R1 0.9697 0.9697 0.9625 0.9665
PP 0.9633 0.9633 0.9633 0.9617
S1 0.9547 0.9547 0.9597 0.9515
S2 0.9483 0.9483 0.9584
S3 0.9333 0.9397 0.9570
S4 0.9183 0.9247 0.9529
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0763 1.0550 0.9811
R3 1.0400 1.0187 0.9711
R2 1.0037 1.0037 0.9678
R1 0.9824 0.9824 0.9644 0.9749
PP 0.9674 0.9674 0.9674 0.9637
S1 0.9461 0.9461 0.9578 0.9386
S2 0.9311 0.9311 0.9544
S3 0.8948 0.9098 0.9511
S4 0.8585 0.8735 0.9411
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 0.9887 0.9524 0.0363 3.8% 0.0187 1.9% 24% False False 141,152
10 1.0205 0.9524 0.0681 7.1% 0.0213 2.2% 13% False False 153,344
20 1.0608 0.9524 0.1084 11.3% 0.0181 1.9% 8% False False 92,937
40 1.0630 0.9524 0.1106 11.5% 0.0160 1.7% 8% False False 46,607
60 1.0875 0.9524 0.1351 14.1% 0.0141 1.5% 6% False False 31,106
80 1.0875 0.9524 0.1351 14.1% 0.0124 1.3% 6% False False 23,349
100 1.0875 0.9524 0.1351 14.1% 0.0100 1.0% 6% False False 18,681
120 1.0875 0.9524 0.1351 14.1% 0.0084 0.9% 6% False False 15,568
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0052
Narrowest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1.0357
2.618 1.0112
1.618 0.9962
1.000 0.9869
0.618 0.9812
HIGH 0.9719
0.618 0.9662
0.500 0.9644
0.382 0.9626
LOW 0.9569
0.618 0.9476
1.000 0.9419
1.618 0.9326
2.618 0.9176
4.250 0.8932
Fisher Pivots for day following 30-Sep-2011
Pivot 1 day 3 day
R1 0.9644 0.9717
PP 0.9633 0.9682
S1 0.9622 0.9646

These figures are updated between 7pm and 10pm EST after a trading day.

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