CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 19-Sep-2011
Day Change Summary
Previous Current
16-Sep-2011 19-Sep-2011 Change Change % Previous Week
Open 1.0148 1.0173 0.0025 0.2% 1.0000
High 1.0204 1.0183 -0.0021 -0.2% 1.0204
Low 1.0121 1.0057 -0.0064 -0.6% 0.9951
Close 1.0188 1.0071 -0.0117 -1.1% 1.0188
Range 0.0083 0.0126 0.0043 51.8% 0.0253
ATR 0.0097 0.0100 0.0002 2.5% 0.0000
Volume 75,155 83,967 8,812 11.7% 218,856
Daily Pivots for day following 19-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0482 1.0402 1.0140
R3 1.0356 1.0276 1.0106
R2 1.0230 1.0230 1.0094
R1 1.0150 1.0150 1.0083 1.0127
PP 1.0104 1.0104 1.0104 1.0092
S1 1.0024 1.0024 1.0059 1.0001
S2 0.9978 0.9978 1.0048
S3 0.9852 0.9898 1.0036
S4 0.9726 0.9772 1.0002
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 1.0004 0.0200 2.0% 0.0111 1.1% 34% False False 57,019
10 1.0204 0.9951 0.0253 2.5% 0.0104 1.0% 47% False False 32,800
20 1.0257 0.9951 0.0306 3.0% 0.0091 0.9% 39% False False 16,888
40 1.0593 0.9951 0.0642 6.4% 0.0101 1.0% 19% False False 8,740
60 1.0593 0.9951 0.0642 6.4% 0.0095 0.9% 19% False False 5,900
80 1.0593 0.9951 0.0642 6.4% 0.0088 0.9% 19% False False 4,457
100 1.0593 0.9951 0.0642 6.4% 0.0082 0.8% 19% False False 3,579
120 1.0593 0.9951 0.0642 6.4% 0.0077 0.8% 19% False False 2,990
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0026
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1.0719
2.618 1.0513
1.618 1.0387
1.000 1.0309
0.618 1.0261
HIGH 1.0183
0.618 1.0135
0.500 1.0120
0.382 1.0105
LOW 1.0057
0.618 0.9979
1.000 0.9931
1.618 0.9853
2.618 0.9727
4.250 0.9522
Fisher Pivots for day following 19-Sep-2011
Pivot 1 day 3 day
R1 1.0120 1.0118
PP 1.0104 1.0102
S1 1.0087 1.0087

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

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