CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 22-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Sep-2011 |
22-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0054 |
0.9917 |
-0.0137 |
-1.4% |
1.0000 |
| High |
1.0065 |
0.9929 |
-0.0136 |
-1.4% |
1.0204 |
| Low |
0.9889 |
0.9631 |
-0.0258 |
-2.6% |
0.9951 |
| Close |
0.9949 |
0.9686 |
-0.0263 |
-2.6% |
1.0188 |
| Range |
0.0176 |
0.0298 |
0.0122 |
69.3% |
0.0253 |
| ATR |
0.0103 |
0.0119 |
0.0015 |
14.8% |
0.0000 |
| Volume |
120,280 |
183,122 |
62,842 |
52.2% |
218,856 |
|
| Daily Pivots for day following 22-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0643 |
1.0462 |
0.9850 |
|
| R3 |
1.0345 |
1.0164 |
0.9768 |
|
| R2 |
1.0047 |
1.0047 |
0.9741 |
|
| R1 |
0.9866 |
0.9866 |
0.9713 |
0.9808 |
| PP |
0.9749 |
0.9749 |
0.9749 |
0.9719 |
| S1 |
0.9568 |
0.9568 |
0.9659 |
0.9510 |
| S2 |
0.9451 |
0.9451 |
0.9631 |
|
| S3 |
0.9153 |
0.9270 |
0.9604 |
|
| S4 |
0.8855 |
0.8972 |
0.9522 |
|
|
| 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 |
0.9631 |
0.0573 |
5.9% |
0.0150 |
1.6% |
10% |
False |
True |
108,372 |
| 10 |
1.0204 |
0.9631 |
0.0573 |
5.9% |
0.0132 |
1.4% |
10% |
False |
True |
69,773 |
| 20 |
1.0257 |
0.9631 |
0.0626 |
6.5% |
0.0108 |
1.1% |
9% |
False |
True |
35,971 |
| 40 |
1.0535 |
0.9631 |
0.0904 |
9.3% |
0.0108 |
1.1% |
6% |
False |
True |
18,291 |
| 60 |
1.0593 |
0.9631 |
0.0962 |
9.9% |
0.0100 |
1.0% |
6% |
False |
True |
12,267 |
| 80 |
1.0593 |
0.9631 |
0.0962 |
9.9% |
0.0092 |
1.0% |
6% |
False |
True |
9,240 |
| 100 |
1.0593 |
0.9631 |
0.0962 |
9.9% |
0.0086 |
0.9% |
6% |
False |
True |
7,406 |
| 120 |
1.0593 |
0.9631 |
0.0962 |
9.9% |
0.0081 |
0.8% |
6% |
False |
True |
6,179 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1196 |
|
2.618 |
1.0709 |
|
1.618 |
1.0411 |
|
1.000 |
1.0227 |
|
0.618 |
1.0113 |
|
HIGH |
0.9929 |
|
0.618 |
0.9815 |
|
0.500 |
0.9780 |
|
0.382 |
0.9745 |
|
LOW |
0.9631 |
|
0.618 |
0.9447 |
|
1.000 |
0.9333 |
|
1.618 |
0.9149 |
|
2.618 |
0.8851 |
|
4.250 |
0.8365 |
|
|
| Fisher Pivots for day following 22-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9780 |
0.9866 |
| PP |
0.9749 |
0.9806 |
| S1 |
0.9717 |
0.9746 |
|