CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 30-Sep-2011
Day Change Summary
Previous Current
29-Sep-2011 30-Sep-2011 Change Change % Previous Week
Open 0.9654 0.9627 -0.0027 -0.3% 0.9702
High 0.9732 0.9641 -0.0091 -0.9% 0.9839
Low 0.9595 0.9504 -0.0091 -0.9% 0.9504
Close 0.9609 0.9561 -0.0048 -0.5% 0.9561
Range 0.0137 0.0137 0.0000 0.0% 0.0335
ATR 0.0127 0.0127 0.0001 0.6% 0.0000
Volume 114,801 119,687 4,886 4.3% 580,310
Daily Pivots for day following 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 0.9980 0.9907 0.9636
R3 0.9843 0.9770 0.9599
R2 0.9706 0.9706 0.9586
R1 0.9633 0.9633 0.9574 0.9601
PP 0.9569 0.9569 0.9569 0.9553
S1 0.9496 0.9496 0.9548 0.9464
S2 0.9432 0.9432 0.9536
S3 0.9295 0.9359 0.9523
S4 0.9158 0.9222 0.9486
Weekly Pivots for week ending 30-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0640 1.0435 0.9745
R3 1.0305 1.0100 0.9653
R2 0.9970 0.9970 0.9622
R1 0.9765 0.9765 0.9592 0.9700
PP 0.9635 0.9635 0.9635 0.9602
S1 0.9430 0.9430 0.9530 0.9365
S2 0.9300 0.9300 0.9500
S3 0.8965 0.9095 0.9469
S4 0.8630 0.8760 0.9377
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 0.9839 0.9504 0.0335 3.5% 0.0147 1.5% 17% False True 116,062
10 1.0183 0.9504 0.0679 7.1% 0.0152 1.6% 8% False True 119,315
20 1.0228 0.9504 0.0724 7.6% 0.0127 1.3% 8% False True 71,934
40 1.0257 0.9504 0.0753 7.9% 0.0113 1.2% 8% False True 36,418
60 1.0593 0.9504 0.1089 11.4% 0.0106 1.1% 5% False True 24,358
80 1.0593 0.9504 0.1089 11.4% 0.0099 1.0% 5% False True 18,304
100 1.0593 0.9504 0.1089 11.4% 0.0090 0.9% 5% False True 14,665
120 1.0593 0.9504 0.1089 11.4% 0.0086 0.9% 5% False True 12,229
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0031
Fibonacci Retracements and Extensions
4.250 1.0223
2.618 1.0000
1.618 0.9863
1.000 0.9778
0.618 0.9726
HIGH 0.9641
0.618 0.9589
0.500 0.9573
0.382 0.9556
LOW 0.9504
0.618 0.9419
1.000 0.9367
1.618 0.9282
2.618 0.9145
4.250 0.8922
Fisher Pivots for day following 30-Sep-2011
Pivot 1 day 3 day
R1 0.9573 0.9659
PP 0.9569 0.9626
S1 0.9565 0.9594

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These figures are updated between 7pm and 10pm EST after a trading day.

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