CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 24-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
21-Oct-2011 |
24-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9829 |
0.9893 |
0.0064 |
0.7% |
0.9878 |
| High |
0.9920 |
0.9965 |
0.0045 |
0.5% |
0.9941 |
| Low |
0.9802 |
0.9887 |
0.0085 |
0.9% |
0.9727 |
| Close |
0.9893 |
0.9937 |
0.0044 |
0.4% |
0.9893 |
| Range |
0.0118 |
0.0078 |
-0.0040 |
-33.9% |
0.0214 |
| ATR |
0.0134 |
0.0130 |
-0.0004 |
-3.0% |
0.0000 |
| Volume |
73,498 |
65,785 |
-7,713 |
-10.5% |
445,797 |
|
| Daily Pivots for day following 24-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0164 |
1.0128 |
0.9980 |
|
| R3 |
1.0086 |
1.0050 |
0.9958 |
|
| R2 |
1.0008 |
1.0008 |
0.9951 |
|
| R1 |
0.9972 |
0.9972 |
0.9944 |
0.9990 |
| PP |
0.9930 |
0.9930 |
0.9930 |
0.9939 |
| S1 |
0.9894 |
0.9894 |
0.9930 |
0.9912 |
| S2 |
0.9852 |
0.9852 |
0.9923 |
|
| S3 |
0.9774 |
0.9816 |
0.9916 |
|
| S4 |
0.9696 |
0.9738 |
0.9894 |
|
|
| 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 |
0.9965 |
0.9727 |
0.0238 |
2.4% |
0.0117 |
1.2% |
88% |
True |
False |
86,558 |
| 10 |
0.9965 |
0.9656 |
0.0309 |
3.1% |
0.0127 |
1.3% |
91% |
True |
False |
83,527 |
| 20 |
0.9965 |
0.9367 |
0.0598 |
6.0% |
0.0134 |
1.3% |
95% |
True |
False |
95,669 |
| 40 |
1.0257 |
0.9367 |
0.0890 |
9.0% |
0.0122 |
1.2% |
64% |
False |
False |
72,702 |
| 60 |
1.0500 |
0.9367 |
0.1133 |
11.4% |
0.0118 |
1.2% |
50% |
False |
False |
48,676 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.3% |
0.0109 |
1.1% |
46% |
False |
False |
36,562 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.3% |
0.0102 |
1.0% |
46% |
False |
False |
29,280 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.3% |
0.0095 |
1.0% |
46% |
False |
False |
24,414 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0297 |
|
2.618 |
1.0169 |
|
1.618 |
1.0091 |
|
1.000 |
1.0043 |
|
0.618 |
1.0013 |
|
HIGH |
0.9965 |
|
0.618 |
0.9935 |
|
0.500 |
0.9926 |
|
0.382 |
0.9917 |
|
LOW |
0.9887 |
|
0.618 |
0.9839 |
|
1.000 |
0.9809 |
|
1.618 |
0.9761 |
|
2.618 |
0.9683 |
|
4.250 |
0.9556 |
|
|
| Fisher Pivots for day following 24-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9933 |
0.9910 |
| PP |
0.9930 |
0.9882 |
| S1 |
0.9926 |
0.9855 |
|