CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 26-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Sep-2011 |
26-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9699 |
0.9702 |
0.0003 |
0.0% |
1.0173 |
| High |
0.9764 |
0.9736 |
-0.0028 |
-0.3% |
1.0183 |
| Low |
0.9645 |
0.9609 |
-0.0036 |
-0.4% |
0.9631 |
| Close |
0.9669 |
0.9665 |
-0.0004 |
0.0% |
0.9669 |
| Range |
0.0119 |
0.0127 |
0.0008 |
6.7% |
0.0552 |
| ATR |
0.0119 |
0.0119 |
0.0001 |
0.5% |
0.0000 |
| Volume |
146,141 |
129,807 |
-16,334 |
-11.2% |
612,847 |
|
| Daily Pivots for day following 26-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0051 |
0.9985 |
0.9735 |
|
| R3 |
0.9924 |
0.9858 |
0.9700 |
|
| R2 |
0.9797 |
0.9797 |
0.9688 |
|
| R1 |
0.9731 |
0.9731 |
0.9677 |
0.9701 |
| PP |
0.9670 |
0.9670 |
0.9670 |
0.9655 |
| S1 |
0.9604 |
0.9604 |
0.9653 |
0.9574 |
| S2 |
0.9543 |
0.9543 |
0.9642 |
|
| S3 |
0.9416 |
0.9477 |
0.9630 |
|
| S4 |
0.9289 |
0.9350 |
0.9595 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1484 |
1.1128 |
0.9973 |
|
| R3 |
1.0932 |
1.0576 |
0.9821 |
|
| R2 |
1.0380 |
1.0380 |
0.9770 |
|
| R1 |
1.0024 |
1.0024 |
0.9720 |
0.9926 |
| PP |
0.9828 |
0.9828 |
0.9828 |
0.9779 |
| S1 |
0.9472 |
0.9472 |
0.9618 |
0.9374 |
| S2 |
0.9276 |
0.9276 |
0.9568 |
|
| S3 |
0.8724 |
0.8920 |
0.9517 |
|
| S4 |
0.8172 |
0.8368 |
0.9365 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0100 |
0.9609 |
0.0491 |
5.1% |
0.0158 |
1.6% |
11% |
False |
True |
131,737 |
| 10 |
1.0204 |
0.9609 |
0.0595 |
6.2% |
0.0134 |
1.4% |
9% |
False |
True |
94,378 |
| 20 |
1.0257 |
0.9609 |
0.0648 |
6.7% |
0.0110 |
1.1% |
9% |
False |
True |
49,734 |
| 40 |
1.0500 |
0.9609 |
0.0891 |
9.2% |
0.0110 |
1.1% |
6% |
False |
True |
25,180 |
| 60 |
1.0593 |
0.9609 |
0.0984 |
10.2% |
0.0101 |
1.0% |
6% |
False |
True |
16,859 |
| 80 |
1.0593 |
0.9609 |
0.0984 |
10.2% |
0.0094 |
1.0% |
6% |
False |
True |
12,683 |
| 100 |
1.0593 |
0.9609 |
0.0984 |
10.2% |
0.0087 |
0.9% |
6% |
False |
True |
10,163 |
| 120 |
1.0593 |
0.9609 |
0.0984 |
10.2% |
0.0082 |
0.8% |
6% |
False |
True |
8,476 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0276 |
|
2.618 |
1.0068 |
|
1.618 |
0.9941 |
|
1.000 |
0.9863 |
|
0.618 |
0.9814 |
|
HIGH |
0.9736 |
|
0.618 |
0.9687 |
|
0.500 |
0.9673 |
|
0.382 |
0.9658 |
|
LOW |
0.9609 |
|
0.618 |
0.9531 |
|
1.000 |
0.9482 |
|
1.618 |
0.9404 |
|
2.618 |
0.9277 |
|
4.250 |
0.9069 |
|
|
| Fisher Pivots for day following 26-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9673 |
0.9769 |
| PP |
0.9670 |
0.9734 |
| S1 |
0.9668 |
0.9700 |
|