CME Australian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0363 |
1.0335 |
-0.0028 |
-0.3% |
1.0248 |
| High |
1.0367 |
1.0687 |
0.0320 |
3.1% |
1.0314 |
| Low |
1.0255 |
1.0325 |
0.0070 |
0.7% |
1.0041 |
| Close |
1.0323 |
1.0658 |
0.0335 |
3.2% |
1.0265 |
| Range |
0.0112 |
0.0362 |
0.0250 |
223.2% |
0.0273 |
| ATR |
0.0178 |
0.0191 |
0.0013 |
7.5% |
0.0000 |
| Volume |
147,564 |
176,543 |
28,979 |
19.6% |
742,519 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1643 |
1.1512 |
1.0857 |
|
| R3 |
1.1281 |
1.1150 |
1.0758 |
|
| R2 |
1.0919 |
1.0919 |
1.0724 |
|
| R1 |
1.0788 |
1.0788 |
1.0691 |
1.0854 |
| PP |
1.0557 |
1.0557 |
1.0557 |
1.0589 |
| S1 |
1.0426 |
1.0426 |
1.0625 |
1.0492 |
| S2 |
1.0195 |
1.0195 |
1.0592 |
|
| S3 |
0.9833 |
1.0064 |
1.0558 |
|
| S4 |
0.9471 |
0.9702 |
1.0459 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1026 |
1.0918 |
1.0415 |
|
| R3 |
1.0753 |
1.0645 |
1.0340 |
|
| R2 |
1.0480 |
1.0480 |
1.0315 |
|
| R1 |
1.0372 |
1.0372 |
1.0290 |
1.0426 |
| PP |
1.0207 |
1.0207 |
1.0207 |
1.0234 |
| S1 |
1.0099 |
1.0099 |
1.0240 |
1.0153 |
| S2 |
0.9934 |
0.9934 |
1.0215 |
|
| S3 |
0.9661 |
0.9826 |
1.0190 |
|
| S4 |
0.9388 |
0.9553 |
1.0115 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0687 |
1.0132 |
0.0555 |
5.2% |
0.0191 |
1.8% |
95% |
True |
False |
146,407 |
| 10 |
1.0687 |
1.0041 |
0.0646 |
6.1% |
0.0190 |
1.8% |
96% |
True |
False |
146,646 |
| 20 |
1.0687 |
0.9302 |
0.1385 |
13.0% |
0.0191 |
1.8% |
98% |
True |
False |
148,925 |
| 40 |
1.0687 |
0.9302 |
0.1385 |
13.0% |
0.0184 |
1.7% |
98% |
True |
False |
117,678 |
| 60 |
1.0687 |
0.9302 |
0.1385 |
13.0% |
0.0173 |
1.6% |
98% |
True |
False |
78,529 |
| 80 |
1.0875 |
0.9302 |
0.1573 |
14.8% |
0.0152 |
1.4% |
86% |
False |
False |
58,922 |
| 100 |
1.0875 |
0.9302 |
0.1573 |
14.8% |
0.0136 |
1.3% |
86% |
False |
False |
47,153 |
| 120 |
1.0875 |
0.9302 |
0.1573 |
14.8% |
0.0114 |
1.1% |
86% |
False |
False |
39,295 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.2226 |
|
2.618 |
1.1635 |
|
1.618 |
1.1273 |
|
1.000 |
1.1049 |
|
0.618 |
1.0911 |
|
HIGH |
1.0687 |
|
0.618 |
1.0549 |
|
0.500 |
1.0506 |
|
0.382 |
1.0463 |
|
LOW |
1.0325 |
|
0.618 |
1.0101 |
|
1.000 |
0.9963 |
|
1.618 |
0.9739 |
|
2.618 |
0.9377 |
|
4.250 |
0.8787 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0607 |
1.0596 |
| PP |
1.0557 |
1.0533 |
| S1 |
1.0506 |
1.0471 |
|