CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 20-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Oct-2011 |
20-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9838 |
0.9795 |
-0.0043 |
-0.4% |
0.9618 |
| High |
0.9901 |
0.9856 |
-0.0045 |
-0.5% |
0.9887 |
| Low |
0.9773 |
0.9745 |
-0.0028 |
-0.3% |
0.9611 |
| Close |
0.9796 |
0.9848 |
0.0052 |
0.5% |
0.9871 |
| Range |
0.0128 |
0.0111 |
-0.0017 |
-13.3% |
0.0276 |
| ATR |
0.0137 |
0.0135 |
-0.0002 |
-1.4% |
0.0000 |
| Volume |
82,397 |
107,723 |
25,326 |
30.7% |
373,077 |
|
| Daily Pivots for day following 20-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0149 |
1.0110 |
0.9909 |
|
| R3 |
1.0038 |
0.9999 |
0.9879 |
|
| R2 |
0.9927 |
0.9927 |
0.9868 |
|
| R1 |
0.9888 |
0.9888 |
0.9858 |
0.9908 |
| PP |
0.9816 |
0.9816 |
0.9816 |
0.9826 |
| S1 |
0.9777 |
0.9777 |
0.9838 |
0.9797 |
| S2 |
0.9705 |
0.9705 |
0.9828 |
|
| S3 |
0.9594 |
0.9666 |
0.9817 |
|
| S4 |
0.9483 |
0.9555 |
0.9787 |
|
|
| Weekly Pivots for week ending 14-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0618 |
1.0520 |
1.0023 |
|
| R3 |
1.0342 |
1.0244 |
0.9947 |
|
| R2 |
1.0066 |
1.0066 |
0.9922 |
|
| R1 |
0.9968 |
0.9968 |
0.9896 |
1.0017 |
| PP |
0.9790 |
0.9790 |
0.9790 |
0.9814 |
| S1 |
0.9692 |
0.9692 |
0.9846 |
0.9741 |
| S2 |
0.9514 |
0.9514 |
0.9820 |
|
| S3 |
0.9238 |
0.9416 |
0.9795 |
|
| S4 |
0.8962 |
0.9140 |
0.9719 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9941 |
0.9727 |
0.0214 |
2.2% |
0.0141 |
1.4% |
57% |
False |
False |
89,536 |
| 10 |
0.9941 |
0.9583 |
0.0358 |
3.6% |
0.0138 |
1.4% |
74% |
False |
False |
85,267 |
| 20 |
0.9941 |
0.9367 |
0.0574 |
5.8% |
0.0136 |
1.4% |
84% |
False |
False |
102,502 |
| 40 |
1.0257 |
0.9367 |
0.0890 |
9.0% |
0.0122 |
1.2% |
54% |
False |
False |
69,237 |
| 60 |
1.0535 |
0.9367 |
0.1168 |
11.9% |
0.0117 |
1.2% |
41% |
False |
False |
46,361 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0109 |
1.1% |
39% |
False |
False |
34,826 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0101 |
1.0% |
39% |
False |
False |
27,892 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0094 |
1.0% |
39% |
False |
False |
23,255 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0328 |
|
2.618 |
1.0147 |
|
1.618 |
1.0036 |
|
1.000 |
0.9967 |
|
0.618 |
0.9925 |
|
HIGH |
0.9856 |
|
0.618 |
0.9814 |
|
0.500 |
0.9801 |
|
0.382 |
0.9787 |
|
LOW |
0.9745 |
|
0.618 |
0.9676 |
|
1.000 |
0.9634 |
|
1.618 |
0.9565 |
|
2.618 |
0.9454 |
|
4.250 |
0.9273 |
|
|
| Fisher Pivots for day following 20-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9832 |
0.9837 |
| PP |
0.9816 |
0.9825 |
| S1 |
0.9801 |
0.9814 |
|