CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 12-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Sep-2011 |
12-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0088 |
1.0000 |
-0.0088 |
-0.9% |
1.0120 |
| High |
1.0111 |
1.0066 |
-0.0045 |
-0.4% |
1.0150 |
| Low |
1.0000 |
0.9951 |
-0.0049 |
-0.5% |
1.0000 |
| Close |
1.0007 |
1.0009 |
0.0002 |
0.0% |
1.0007 |
| Range |
0.0111 |
0.0115 |
0.0004 |
3.6% |
0.0150 |
| ATR |
0.0093 |
0.0095 |
0.0002 |
1.7% |
0.0000 |
| Volume |
12,175 |
17,725 |
5,550 |
45.6% |
25,185 |
|
| Daily Pivots for day following 12-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0354 |
1.0296 |
1.0072 |
|
| R3 |
1.0239 |
1.0181 |
1.0041 |
|
| R2 |
1.0124 |
1.0124 |
1.0030 |
|
| R1 |
1.0066 |
1.0066 |
1.0020 |
1.0095 |
| PP |
1.0009 |
1.0009 |
1.0009 |
1.0023 |
| S1 |
0.9951 |
0.9951 |
0.9998 |
0.9980 |
| S2 |
0.9894 |
0.9894 |
0.9988 |
|
| S3 |
0.9779 |
0.9836 |
0.9977 |
|
| S4 |
0.9664 |
0.9721 |
0.9946 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0502 |
1.0405 |
1.0090 |
|
| R3 |
1.0352 |
1.0255 |
1.0048 |
|
| R2 |
1.0202 |
1.0202 |
1.0035 |
|
| R1 |
1.0105 |
1.0105 |
1.0021 |
1.0079 |
| PP |
1.0052 |
1.0052 |
1.0052 |
1.0039 |
| S1 |
0.9955 |
0.9955 |
0.9993 |
0.9929 |
| S2 |
0.9902 |
0.9902 |
0.9980 |
|
| S3 |
0.9752 |
0.9805 |
0.9966 |
|
| S4 |
0.9602 |
0.9655 |
0.9925 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0150 |
0.9951 |
0.0199 |
2.0% |
0.0098 |
1.0% |
29% |
False |
True |
8,582 |
| 10 |
1.0257 |
0.9951 |
0.0306 |
3.1% |
0.0086 |
0.9% |
19% |
False |
True |
5,091 |
| 20 |
1.0257 |
0.9951 |
0.0306 |
3.1% |
0.0087 |
0.9% |
19% |
False |
True |
2,761 |
| 40 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0096 |
1.0% |
9% |
False |
True |
1,641 |
| 60 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0091 |
0.9% |
9% |
False |
True |
1,157 |
| 80 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0084 |
0.8% |
9% |
False |
True |
899 |
| 100 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0080 |
0.8% |
9% |
False |
True |
731 |
| 120 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0073 |
0.7% |
9% |
False |
True |
616 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0555 |
|
2.618 |
1.0367 |
|
1.618 |
1.0252 |
|
1.000 |
1.0181 |
|
0.618 |
1.0137 |
|
HIGH |
1.0066 |
|
0.618 |
1.0022 |
|
0.500 |
1.0009 |
|
0.382 |
0.9995 |
|
LOW |
0.9951 |
|
0.618 |
0.9880 |
|
1.000 |
0.9836 |
|
1.618 |
0.9765 |
|
2.618 |
0.9650 |
|
4.250 |
0.9462 |
|
|
| Fisher Pivots for day following 12-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0009 |
1.0051 |
| PP |
1.0009 |
1.0037 |
| S1 |
1.0009 |
1.0023 |
|