CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 15-Sep-2011
Day Change Summary
Previous Current
14-Sep-2011 15-Sep-2011 Change Change % Previous Week
Open 1.0124 1.0081 -0.0043 -0.4% 1.0120
High 1.0136 1.0151 0.0015 0.1% 1.0150
Low 1.0040 1.0031 -0.0009 -0.1% 1.0000
Close 1.0082 1.0143 0.0061 0.6% 1.0007
Range 0.0096 0.0120 0.0024 25.0% 0.0150
ATR 0.0097 0.0098 0.0002 1.7% 0.0000
Volume 38,634 63,049 24,415 63.2% 25,185
Daily Pivots for day following 15-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0468 1.0426 1.0209
R3 1.0348 1.0306 1.0176
R2 1.0228 1.0228 1.0165
R1 1.0186 1.0186 1.0154 1.0207
PP 1.0108 1.0108 1.0108 1.0119
S1 1.0066 1.0066 1.0132 1.0087
S2 0.9988 0.9988 1.0121
S3 0.9868 0.9946 1.0110
S4 0.9748 0.9826 1.0077
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 1.0151 0.9951 0.0200 2.0% 0.0114 1.1% 96% True False 31,175
10 1.0246 0.9951 0.0295 2.9% 0.0099 1.0% 65% False False 17,212
20 1.0257 0.9951 0.0306 3.0% 0.0092 0.9% 63% False False 9,019
40 1.0593 0.9951 0.0642 6.3% 0.0099 1.0% 30% False False 4,770
60 1.0593 0.9951 0.0642 6.3% 0.0093 0.9% 30% False False 3,252
80 1.0593 0.9951 0.0642 6.3% 0.0086 0.8% 30% False False 2,470
100 1.0593 0.9951 0.0642 6.3% 0.0081 0.8% 30% False False 1,989
120 1.0593 0.9951 0.0642 6.3% 0.0076 0.7% 30% False False 1,664
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0024
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.0661
2.618 1.0465
1.618 1.0345
1.000 1.0271
0.618 1.0225
HIGH 1.0151
0.618 1.0105
0.500 1.0091
0.382 1.0077
LOW 1.0031
0.618 0.9957
1.000 0.9911
1.618 0.9837
2.618 0.9717
4.250 0.9521
Fisher Pivots for day following 15-Sep-2011
Pivot 1 day 3 day
R1 1.0126 1.0121
PP 1.0108 1.0099
S1 1.0091 1.0078

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

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