CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 28-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2011 |
28-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9741 |
0.9790 |
0.0049 |
0.5% |
1.0173 |
| High |
0.9839 |
0.9814 |
-0.0025 |
-0.3% |
1.0183 |
| Low |
0.9665 |
0.9656 |
-0.0009 |
-0.1% |
0.9631 |
| Close |
0.9814 |
0.9702 |
-0.0112 |
-1.1% |
0.9669 |
| Range |
0.0174 |
0.0158 |
-0.0016 |
-9.2% |
0.0552 |
| ATR |
0.0123 |
0.0126 |
0.0002 |
2.0% |
0.0000 |
| Volume |
112,590 |
103,425 |
-9,165 |
-8.1% |
612,847 |
|
| Daily Pivots for day following 28-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0198 |
1.0108 |
0.9789 |
|
| R3 |
1.0040 |
0.9950 |
0.9745 |
|
| R2 |
0.9882 |
0.9882 |
0.9731 |
|
| R1 |
0.9792 |
0.9792 |
0.9716 |
0.9758 |
| PP |
0.9724 |
0.9724 |
0.9724 |
0.9707 |
| S1 |
0.9634 |
0.9634 |
0.9688 |
0.9600 |
| S2 |
0.9566 |
0.9566 |
0.9673 |
|
| S3 |
0.9408 |
0.9476 |
0.9659 |
|
| S4 |
0.9250 |
0.9318 |
0.9615 |
|
|
| 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 |
0.9929 |
0.9609 |
0.0320 |
3.3% |
0.0175 |
1.8% |
29% |
False |
False |
135,017 |
| 10 |
1.0204 |
0.9609 |
0.0595 |
6.1% |
0.0145 |
1.5% |
16% |
False |
False |
109,687 |
| 20 |
1.0257 |
0.9609 |
0.0648 |
6.7% |
0.0120 |
1.2% |
14% |
False |
False |
60,397 |
| 40 |
1.0420 |
0.9609 |
0.0811 |
8.4% |
0.0114 |
1.2% |
11% |
False |
False |
30,571 |
| 60 |
1.0593 |
0.9609 |
0.0984 |
10.1% |
0.0104 |
1.1% |
9% |
False |
False |
20,454 |
| 80 |
1.0593 |
0.9609 |
0.0984 |
10.1% |
0.0097 |
1.0% |
9% |
False |
False |
15,378 |
| 100 |
1.0593 |
0.9609 |
0.0984 |
10.1% |
0.0089 |
0.9% |
9% |
False |
False |
12,321 |
| 120 |
1.0593 |
0.9609 |
0.0984 |
10.1% |
0.0084 |
0.9% |
9% |
False |
False |
10,276 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0486 |
|
2.618 |
1.0228 |
|
1.618 |
1.0070 |
|
1.000 |
0.9972 |
|
0.618 |
0.9912 |
|
HIGH |
0.9814 |
|
0.618 |
0.9754 |
|
0.500 |
0.9735 |
|
0.382 |
0.9716 |
|
LOW |
0.9656 |
|
0.618 |
0.9558 |
|
1.000 |
0.9498 |
|
1.618 |
0.9400 |
|
2.618 |
0.9242 |
|
4.250 |
0.8985 |
|
|
| Fisher Pivots for day following 28-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9735 |
0.9724 |
| PP |
0.9724 |
0.9717 |
| S1 |
0.9713 |
0.9709 |
|