CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 27-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2011 |
27-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9702 |
0.9741 |
0.0039 |
0.4% |
1.0173 |
| High |
0.9736 |
0.9839 |
0.0103 |
1.1% |
1.0183 |
| Low |
0.9609 |
0.9665 |
0.0056 |
0.6% |
0.9631 |
| Close |
0.9665 |
0.9814 |
0.0149 |
1.5% |
0.9669 |
| Range |
0.0127 |
0.0174 |
0.0047 |
37.0% |
0.0552 |
| ATR |
0.0119 |
0.0123 |
0.0004 |
3.3% |
0.0000 |
| Volume |
129,807 |
112,590 |
-17,217 |
-13.3% |
612,847 |
|
| Daily Pivots for day following 27-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0295 |
1.0228 |
0.9910 |
|
| R3 |
1.0121 |
1.0054 |
0.9862 |
|
| R2 |
0.9947 |
0.9947 |
0.9846 |
|
| R1 |
0.9880 |
0.9880 |
0.9830 |
0.9914 |
| PP |
0.9773 |
0.9773 |
0.9773 |
0.9789 |
| S1 |
0.9706 |
0.9706 |
0.9798 |
0.9740 |
| S2 |
0.9599 |
0.9599 |
0.9782 |
|
| S3 |
0.9425 |
0.9532 |
0.9766 |
|
| S4 |
0.9251 |
0.9358 |
0.9718 |
|
|
| 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 |
1.0065 |
0.9609 |
0.0456 |
4.6% |
0.0179 |
1.8% |
45% |
False |
False |
138,388 |
| 10 |
1.0204 |
0.9609 |
0.0595 |
6.1% |
0.0139 |
1.4% |
34% |
False |
False |
103,208 |
| 20 |
1.0257 |
0.9609 |
0.0648 |
6.6% |
0.0115 |
1.2% |
32% |
False |
False |
55,309 |
| 40 |
1.0429 |
0.9609 |
0.0820 |
8.4% |
0.0111 |
1.1% |
25% |
False |
False |
27,989 |
| 60 |
1.0593 |
0.9609 |
0.0984 |
10.0% |
0.0102 |
1.0% |
21% |
False |
False |
18,731 |
| 80 |
1.0593 |
0.9609 |
0.0984 |
10.0% |
0.0096 |
1.0% |
21% |
False |
False |
14,087 |
| 100 |
1.0593 |
0.9609 |
0.0984 |
10.0% |
0.0088 |
0.9% |
21% |
False |
False |
11,289 |
| 120 |
1.0593 |
0.9609 |
0.0984 |
10.0% |
0.0083 |
0.8% |
21% |
False |
False |
9,414 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0579 |
|
2.618 |
1.0295 |
|
1.618 |
1.0121 |
|
1.000 |
1.0013 |
|
0.618 |
0.9947 |
|
HIGH |
0.9839 |
|
0.618 |
0.9773 |
|
0.500 |
0.9752 |
|
0.382 |
0.9731 |
|
LOW |
0.9665 |
|
0.618 |
0.9557 |
|
1.000 |
0.9491 |
|
1.618 |
0.9383 |
|
2.618 |
0.9209 |
|
4.250 |
0.8926 |
|
|
| Fisher Pivots for day following 27-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9793 |
0.9784 |
| PP |
0.9773 |
0.9754 |
| S1 |
0.9752 |
0.9724 |
|