CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 16-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Sep-2011 |
16-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0081 |
1.0148 |
0.0067 |
0.7% |
1.0000 |
| High |
1.0151 |
1.0204 |
0.0053 |
0.5% |
1.0204 |
| Low |
1.0031 |
1.0121 |
0.0090 |
0.9% |
0.9951 |
| Close |
1.0143 |
1.0188 |
0.0045 |
0.4% |
1.0188 |
| Range |
0.0120 |
0.0083 |
-0.0037 |
-30.8% |
0.0253 |
| ATR |
0.0098 |
0.0097 |
-0.0001 |
-1.1% |
0.0000 |
| Volume |
63,049 |
75,155 |
12,106 |
19.2% |
218,856 |
|
| Daily Pivots for day following 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0420 |
1.0387 |
1.0234 |
|
| R3 |
1.0337 |
1.0304 |
1.0211 |
|
| R2 |
1.0254 |
1.0254 |
1.0203 |
|
| R1 |
1.0221 |
1.0221 |
1.0196 |
1.0238 |
| PP |
1.0171 |
1.0171 |
1.0171 |
1.0179 |
| S1 |
1.0138 |
1.0138 |
1.0180 |
1.0155 |
| S2 |
1.0088 |
1.0088 |
1.0173 |
|
| S3 |
1.0005 |
1.0055 |
1.0165 |
|
| S4 |
0.9922 |
0.9972 |
1.0142 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0873 |
1.0784 |
1.0327 |
|
| R3 |
1.0620 |
1.0531 |
1.0258 |
|
| R2 |
1.0367 |
1.0367 |
1.0234 |
|
| R1 |
1.0278 |
1.0278 |
1.0211 |
1.0323 |
| PP |
1.0114 |
1.0114 |
1.0114 |
1.0137 |
| S1 |
1.0025 |
1.0025 |
1.0165 |
1.0070 |
| S2 |
0.9861 |
0.9861 |
1.0142 |
|
| S3 |
0.9608 |
0.9772 |
1.0118 |
|
| S4 |
0.9355 |
0.9519 |
1.0049 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0204 |
0.9951 |
0.0253 |
2.5% |
0.0108 |
1.1% |
94% |
True |
False |
43,771 |
| 10 |
1.0228 |
0.9951 |
0.0277 |
2.7% |
0.0101 |
1.0% |
86% |
False |
False |
24,552 |
| 20 |
1.0257 |
0.9951 |
0.0306 |
3.0% |
0.0089 |
0.9% |
77% |
False |
False |
12,748 |
| 40 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0100 |
1.0% |
37% |
False |
False |
6,645 |
| 60 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0094 |
0.9% |
37% |
False |
False |
4,502 |
| 80 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0087 |
0.9% |
37% |
False |
False |
3,408 |
| 100 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0082 |
0.8% |
37% |
False |
False |
2,740 |
| 120 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0076 |
0.7% |
37% |
False |
False |
2,290 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0557 |
|
2.618 |
1.0421 |
|
1.618 |
1.0338 |
|
1.000 |
1.0287 |
|
0.618 |
1.0255 |
|
HIGH |
1.0204 |
|
0.618 |
1.0172 |
|
0.500 |
1.0163 |
|
0.382 |
1.0153 |
|
LOW |
1.0121 |
|
0.618 |
1.0070 |
|
1.000 |
1.0038 |
|
1.618 |
0.9987 |
|
2.618 |
0.9904 |
|
4.250 |
0.9768 |
|
|
| Fisher Pivots for day following 16-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0180 |
1.0165 |
| PP |
1.0171 |
1.0141 |
| S1 |
1.0163 |
1.0118 |
|