CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 01-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
31-Oct-2011 |
01-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0070 |
0.9992 |
-0.0078 |
-0.8% |
0.9893 |
| High |
1.0076 |
1.0014 |
-0.0062 |
-0.6% |
1.0097 |
| Low |
0.9960 |
0.9785 |
-0.0175 |
-1.8% |
0.9778 |
| Close |
1.0050 |
0.9820 |
-0.0230 |
-2.3% |
1.0053 |
| Range |
0.0116 |
0.0229 |
0.0113 |
97.4% |
0.0319 |
| ATR |
0.0133 |
0.0143 |
0.0009 |
7.1% |
0.0000 |
| Volume |
76,176 |
119,611 |
43,435 |
57.0% |
431,799 |
|
| Daily Pivots for day following 01-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0560 |
1.0419 |
0.9946 |
|
| R3 |
1.0331 |
1.0190 |
0.9883 |
|
| R2 |
1.0102 |
1.0102 |
0.9862 |
|
| R1 |
0.9961 |
0.9961 |
0.9841 |
0.9917 |
| PP |
0.9873 |
0.9873 |
0.9873 |
0.9851 |
| S1 |
0.9732 |
0.9732 |
0.9799 |
0.9688 |
| S2 |
0.9644 |
0.9644 |
0.9778 |
|
| S3 |
0.9415 |
0.9503 |
0.9757 |
|
| S4 |
0.9186 |
0.9274 |
0.9694 |
|
|
| 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 |
0.9785 |
0.0312 |
3.2% |
0.0146 |
1.5% |
11% |
False |
True |
89,356 |
| 10 |
1.0097 |
0.9745 |
0.0352 |
3.6% |
0.0139 |
1.4% |
21% |
False |
False |
89,120 |
| 20 |
1.0097 |
0.9442 |
0.0655 |
6.7% |
0.0139 |
1.4% |
58% |
False |
False |
88,924 |
| 40 |
1.0204 |
0.9367 |
0.0837 |
8.5% |
0.0134 |
1.4% |
54% |
False |
False |
86,468 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
9.1% |
0.0122 |
1.2% |
51% |
False |
False |
57,982 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0116 |
1.2% |
37% |
False |
False |
43,572 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0108 |
1.1% |
37% |
False |
False |
34,889 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0099 |
1.0% |
37% |
False |
False |
29,093 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0987 |
|
2.618 |
1.0614 |
|
1.618 |
1.0385 |
|
1.000 |
1.0243 |
|
0.618 |
1.0156 |
|
HIGH |
1.0014 |
|
0.618 |
0.9927 |
|
0.500 |
0.9900 |
|
0.382 |
0.9872 |
|
LOW |
0.9785 |
|
0.618 |
0.9643 |
|
1.000 |
0.9556 |
|
1.618 |
0.9414 |
|
2.618 |
0.9185 |
|
4.250 |
0.8812 |
|
|
| Fisher Pivots for day following 01-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9900 |
0.9940 |
| PP |
0.9873 |
0.9900 |
| S1 |
0.9847 |
0.9860 |
|