CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 05-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
04-Oct-2011 |
05-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9477 |
0.9483 |
0.0006 |
0.1% |
0.9702 |
| High |
0.9498 |
0.9603 |
0.0105 |
1.1% |
0.9839 |
| Low |
0.9367 |
0.9442 |
0.0075 |
0.8% |
0.9504 |
| Close |
0.9376 |
0.9574 |
0.0198 |
2.1% |
0.9561 |
| Range |
0.0131 |
0.0161 |
0.0030 |
22.9% |
0.0335 |
| ATR |
0.0127 |
0.0134 |
0.0007 |
5.7% |
0.0000 |
| Volume |
136,383 |
118,446 |
-17,937 |
-13.2% |
580,310 |
|
| Daily Pivots for day following 05-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0023 |
0.9959 |
0.9663 |
|
| R3 |
0.9862 |
0.9798 |
0.9618 |
|
| R2 |
0.9701 |
0.9701 |
0.9604 |
|
| R1 |
0.9637 |
0.9637 |
0.9589 |
0.9669 |
| PP |
0.9540 |
0.9540 |
0.9540 |
0.9556 |
| S1 |
0.9476 |
0.9476 |
0.9559 |
0.9508 |
| S2 |
0.9379 |
0.9379 |
0.9544 |
|
| S3 |
0.9218 |
0.9315 |
0.9530 |
|
| S4 |
0.9057 |
0.9154 |
0.9485 |
|
|
| 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 |
0.9732 |
0.9367 |
0.0365 |
3.8% |
0.0134 |
1.4% |
57% |
False |
False |
119,826 |
| 10 |
0.9929 |
0.9367 |
0.0562 |
5.9% |
0.0155 |
1.6% |
37% |
False |
False |
127,421 |
| 20 |
1.0204 |
0.9367 |
0.0837 |
8.7% |
0.0132 |
1.4% |
25% |
False |
False |
89,706 |
| 40 |
1.0257 |
0.9367 |
0.0890 |
9.3% |
0.0111 |
1.2% |
23% |
False |
False |
45,445 |
| 60 |
1.0593 |
0.9367 |
0.1226 |
12.8% |
0.0108 |
1.1% |
17% |
False |
False |
30,427 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.8% |
0.0102 |
1.1% |
17% |
False |
False |
22,859 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.8% |
0.0092 |
1.0% |
17% |
False |
False |
18,310 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.8% |
0.0087 |
0.9% |
17% |
False |
False |
15,267 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0287 |
|
2.618 |
1.0024 |
|
1.618 |
0.9863 |
|
1.000 |
0.9764 |
|
0.618 |
0.9702 |
|
HIGH |
0.9603 |
|
0.618 |
0.9541 |
|
0.500 |
0.9523 |
|
0.382 |
0.9504 |
|
LOW |
0.9442 |
|
0.618 |
0.9343 |
|
1.000 |
0.9281 |
|
1.618 |
0.9182 |
|
2.618 |
0.9021 |
|
4.250 |
0.8758 |
|
|
| Fisher Pivots for day following 05-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9557 |
0.9544 |
| PP |
0.9540 |
0.9515 |
| S1 |
0.9523 |
0.9485 |
|