CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 31-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
28-Oct-2011 |
31-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0068 |
1.0070 |
0.0002 |
0.0% |
0.9893 |
| High |
1.0094 |
1.0076 |
-0.0018 |
-0.2% |
1.0097 |
| Low |
1.0017 |
0.9960 |
-0.0057 |
-0.6% |
0.9778 |
| Close |
1.0053 |
1.0050 |
-0.0003 |
0.0% |
1.0053 |
| Range |
0.0077 |
0.0116 |
0.0039 |
50.6% |
0.0319 |
| ATR |
0.0134 |
0.0133 |
-0.0001 |
-1.0% |
0.0000 |
| Volume |
59,695 |
76,176 |
16,481 |
27.6% |
431,799 |
|
| Daily Pivots for day following 31-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0377 |
1.0329 |
1.0114 |
|
| R3 |
1.0261 |
1.0213 |
1.0082 |
|
| R2 |
1.0145 |
1.0145 |
1.0071 |
|
| R1 |
1.0097 |
1.0097 |
1.0061 |
1.0063 |
| PP |
1.0029 |
1.0029 |
1.0029 |
1.0012 |
| S1 |
0.9981 |
0.9981 |
1.0039 |
0.9947 |
| S2 |
0.9913 |
0.9913 |
1.0029 |
|
| S3 |
0.9797 |
0.9865 |
1.0018 |
|
| S4 |
0.9681 |
0.9749 |
0.9986 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0933 |
1.0812 |
1.0228 |
|
| R3 |
1.0614 |
1.0493 |
1.0141 |
|
| R2 |
1.0295 |
1.0295 |
1.0111 |
|
| R1 |
1.0174 |
1.0174 |
1.0082 |
1.0235 |
| PP |
0.9976 |
0.9976 |
0.9976 |
1.0006 |
| S1 |
0.9855 |
0.9855 |
1.0024 |
0.9916 |
| S2 |
0.9657 |
0.9657 |
0.9995 |
|
| S3 |
0.9338 |
0.9536 |
0.9965 |
|
| S4 |
0.9019 |
0.9217 |
0.9878 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0097 |
0.9778 |
0.0319 |
3.2% |
0.0144 |
1.4% |
85% |
False |
False |
88,438 |
| 10 |
1.0097 |
0.9727 |
0.0370 |
3.7% |
0.0130 |
1.3% |
87% |
False |
False |
87,498 |
| 20 |
1.0097 |
0.9367 |
0.0730 |
7.3% |
0.0134 |
1.3% |
94% |
False |
False |
89,763 |
| 40 |
1.0204 |
0.9367 |
0.0837 |
8.3% |
0.0131 |
1.3% |
82% |
False |
False |
83,556 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
8.9% |
0.0120 |
1.2% |
77% |
False |
False |
56,001 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0114 |
1.1% |
56% |
False |
False |
42,079 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0107 |
1.1% |
56% |
False |
False |
33,694 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0098 |
1.0% |
56% |
False |
False |
28,096 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0569 |
|
2.618 |
1.0380 |
|
1.618 |
1.0264 |
|
1.000 |
1.0192 |
|
0.618 |
1.0148 |
|
HIGH |
1.0076 |
|
0.618 |
1.0032 |
|
0.500 |
1.0018 |
|
0.382 |
1.0004 |
|
LOW |
0.9960 |
|
0.618 |
0.9888 |
|
1.000 |
0.9844 |
|
1.618 |
0.9772 |
|
2.618 |
0.9656 |
|
4.250 |
0.9467 |
|
|
| Fisher Pivots for day following 31-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0039 |
1.0037 |
| PP |
1.0029 |
1.0024 |
| S1 |
1.0018 |
1.0011 |
|