CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 21-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Sep-2011 |
21-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0082 |
1.0054 |
-0.0028 |
-0.3% |
1.0000 |
| High |
1.0100 |
1.0065 |
-0.0035 |
-0.3% |
1.0204 |
| Low |
1.0031 |
0.9889 |
-0.0142 |
-1.4% |
0.9951 |
| Close |
1.0068 |
0.9949 |
-0.0119 |
-1.2% |
1.0188 |
| Range |
0.0069 |
0.0176 |
0.0107 |
155.1% |
0.0253 |
| ATR |
0.0098 |
0.0103 |
0.0006 |
6.0% |
0.0000 |
| Volume |
79,337 |
120,280 |
40,943 |
51.6% |
218,856 |
|
| Daily Pivots for day following 21-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0496 |
1.0398 |
1.0046 |
|
| R3 |
1.0320 |
1.0222 |
0.9997 |
|
| R2 |
1.0144 |
1.0144 |
0.9981 |
|
| R1 |
1.0046 |
1.0046 |
0.9965 |
1.0007 |
| PP |
0.9968 |
0.9968 |
0.9968 |
0.9948 |
| S1 |
0.9870 |
0.9870 |
0.9933 |
0.9831 |
| S2 |
0.9792 |
0.9792 |
0.9917 |
|
| S3 |
0.9616 |
0.9694 |
0.9901 |
|
| S4 |
0.9440 |
0.9518 |
0.9852 |
|
|
| 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 |
0.9889 |
0.0315 |
3.2% |
0.0115 |
1.2% |
19% |
False |
True |
84,357 |
| 10 |
1.0204 |
0.9889 |
0.0315 |
3.2% |
0.0109 |
1.1% |
19% |
False |
True |
51,990 |
| 20 |
1.0257 |
0.9889 |
0.0368 |
3.7% |
0.0096 |
1.0% |
16% |
False |
True |
26,831 |
| 40 |
1.0587 |
0.9889 |
0.0698 |
7.0% |
0.0103 |
1.0% |
9% |
False |
True |
13,719 |
| 60 |
1.0593 |
0.9889 |
0.0704 |
7.1% |
0.0096 |
1.0% |
9% |
False |
True |
9,219 |
| 80 |
1.0593 |
0.9889 |
0.0704 |
7.1% |
0.0090 |
0.9% |
9% |
False |
True |
6,951 |
| 100 |
1.0593 |
0.9889 |
0.0704 |
7.1% |
0.0083 |
0.8% |
9% |
False |
True |
5,575 |
| 120 |
1.0593 |
0.9889 |
0.0704 |
7.1% |
0.0079 |
0.8% |
9% |
False |
True |
4,653 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0813 |
|
2.618 |
1.0526 |
|
1.618 |
1.0350 |
|
1.000 |
1.0241 |
|
0.618 |
1.0174 |
|
HIGH |
1.0065 |
|
0.618 |
0.9998 |
|
0.500 |
0.9977 |
|
0.382 |
0.9956 |
|
LOW |
0.9889 |
|
0.618 |
0.9780 |
|
1.000 |
0.9713 |
|
1.618 |
0.9604 |
|
2.618 |
0.9428 |
|
4.250 |
0.9141 |
|
|
| Fisher Pivots for day following 21-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9977 |
1.0036 |
| PP |
0.9968 |
1.0007 |
| S1 |
0.9958 |
0.9978 |
|