CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 13-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
12-Sep-2011 |
13-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0000 |
1.0058 |
0.0058 |
0.6% |
1.0120 |
| High |
1.0066 |
1.0132 |
0.0066 |
0.7% |
1.0150 |
| Low |
0.9951 |
1.0004 |
0.0053 |
0.5% |
1.0000 |
| Close |
1.0009 |
1.0116 |
0.0107 |
1.1% |
1.0007 |
| Range |
0.0115 |
0.0128 |
0.0013 |
11.3% |
0.0150 |
| ATR |
0.0095 |
0.0097 |
0.0002 |
2.5% |
0.0000 |
| Volume |
17,725 |
24,293 |
6,568 |
37.1% |
25,185 |
|
| Daily Pivots for day following 13-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0468 |
1.0420 |
1.0186 |
|
| R3 |
1.0340 |
1.0292 |
1.0151 |
|
| R2 |
1.0212 |
1.0212 |
1.0139 |
|
| R1 |
1.0164 |
1.0164 |
1.0128 |
1.0188 |
| PP |
1.0084 |
1.0084 |
1.0084 |
1.0096 |
| S1 |
1.0036 |
1.0036 |
1.0104 |
1.0060 |
| S2 |
0.9956 |
0.9956 |
1.0093 |
|
| S3 |
0.9828 |
0.9908 |
1.0081 |
|
| S4 |
0.9700 |
0.9780 |
1.0046 |
|
|
| 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% |
0.0100 |
1.0% |
83% |
False |
False |
12,810 |
| 10 |
1.0257 |
0.9951 |
0.0306 |
3.0% |
0.0091 |
0.9% |
54% |
False |
False |
7,410 |
| 20 |
1.0257 |
0.9951 |
0.0306 |
3.0% |
0.0088 |
0.9% |
54% |
False |
False |
3,959 |
| 40 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0097 |
1.0% |
26% |
False |
False |
2,237 |
| 60 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0092 |
0.9% |
26% |
False |
False |
1,559 |
| 80 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0085 |
0.8% |
26% |
False |
False |
1,201 |
| 100 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0080 |
0.8% |
26% |
False |
False |
973 |
| 120 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0074 |
0.7% |
26% |
False |
False |
819 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0676 |
|
2.618 |
1.0467 |
|
1.618 |
1.0339 |
|
1.000 |
1.0260 |
|
0.618 |
1.0211 |
|
HIGH |
1.0132 |
|
0.618 |
1.0083 |
|
0.500 |
1.0068 |
|
0.382 |
1.0053 |
|
LOW |
1.0004 |
|
0.618 |
0.9925 |
|
1.000 |
0.9876 |
|
1.618 |
0.9797 |
|
2.618 |
0.9669 |
|
4.250 |
0.9460 |
|
|
| Fisher Pivots for day following 13-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0100 |
1.0091 |
| PP |
1.0084 |
1.0066 |
| S1 |
1.0068 |
1.0042 |
|