CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 21-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Oct-2011 |
21-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9795 |
0.9829 |
0.0034 |
0.3% |
0.9878 |
| High |
0.9856 |
0.9920 |
0.0064 |
0.6% |
0.9941 |
| Low |
0.9745 |
0.9802 |
0.0057 |
0.6% |
0.9727 |
| Close |
0.9848 |
0.9893 |
0.0045 |
0.5% |
0.9893 |
| Range |
0.0111 |
0.0118 |
0.0007 |
6.3% |
0.0214 |
| ATR |
0.0135 |
0.0134 |
-0.0001 |
-0.9% |
0.0000 |
| Volume |
107,723 |
73,498 |
-34,225 |
-31.8% |
445,797 |
|
| Daily Pivots for day following 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0226 |
1.0177 |
0.9958 |
|
| R3 |
1.0108 |
1.0059 |
0.9925 |
|
| R2 |
0.9990 |
0.9990 |
0.9915 |
|
| R1 |
0.9941 |
0.9941 |
0.9904 |
0.9966 |
| PP |
0.9872 |
0.9872 |
0.9872 |
0.9884 |
| S1 |
0.9823 |
0.9823 |
0.9882 |
0.9848 |
| S2 |
0.9754 |
0.9754 |
0.9871 |
|
| S3 |
0.9636 |
0.9705 |
0.9861 |
|
| S4 |
0.9518 |
0.9587 |
0.9828 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0496 |
1.0408 |
1.0011 |
|
| R3 |
1.0282 |
1.0194 |
0.9952 |
|
| R2 |
1.0068 |
1.0068 |
0.9932 |
|
| R1 |
0.9980 |
0.9980 |
0.9913 |
1.0024 |
| PP |
0.9854 |
0.9854 |
0.9854 |
0.9876 |
| S1 |
0.9766 |
0.9766 |
0.9873 |
0.9810 |
| S2 |
0.9640 |
0.9640 |
0.9854 |
|
| S3 |
0.9426 |
0.9552 |
0.9834 |
|
| S4 |
0.9212 |
0.9338 |
0.9775 |
|
|
| 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% |
0.0139 |
1.4% |
78% |
False |
False |
89,159 |
| 10 |
0.9941 |
0.9611 |
0.0330 |
3.3% |
0.0132 |
1.3% |
85% |
False |
False |
81,887 |
| 20 |
0.9941 |
0.9367 |
0.0574 |
5.8% |
0.0136 |
1.4% |
92% |
False |
False |
98,870 |
| 40 |
1.0257 |
0.9367 |
0.0890 |
9.0% |
0.0123 |
1.2% |
59% |
False |
False |
71,067 |
| 60 |
1.0500 |
0.9367 |
0.1133 |
11.5% |
0.0118 |
1.2% |
46% |
False |
False |
47,584 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0109 |
1.1% |
43% |
False |
False |
35,744 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0102 |
1.0% |
43% |
False |
False |
28,623 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0095 |
1.0% |
43% |
False |
False |
23,867 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0422 |
|
2.618 |
1.0229 |
|
1.618 |
1.0111 |
|
1.000 |
1.0038 |
|
0.618 |
0.9993 |
|
HIGH |
0.9920 |
|
0.618 |
0.9875 |
|
0.500 |
0.9861 |
|
0.382 |
0.9847 |
|
LOW |
0.9802 |
|
0.618 |
0.9729 |
|
1.000 |
0.9684 |
|
1.618 |
0.9611 |
|
2.618 |
0.9493 |
|
4.250 |
0.9301 |
|
|
| Fisher Pivots for day following 21-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9882 |
0.9873 |
| PP |
0.9872 |
0.9853 |
| S1 |
0.9861 |
0.9833 |
|