CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 03-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
02-Nov-2011 |
03-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9800 |
0.9863 |
0.0063 |
0.6% |
0.9893 |
| High |
0.9883 |
0.9935 |
0.0052 |
0.5% |
1.0097 |
| Low |
0.9771 |
0.9777 |
0.0006 |
0.1% |
0.9778 |
| Close |
0.9850 |
0.9911 |
0.0061 |
0.6% |
1.0053 |
| Range |
0.0112 |
0.0158 |
0.0046 |
41.1% |
0.0319 |
| ATR |
0.0140 |
0.0142 |
0.0001 |
0.9% |
0.0000 |
| Volume |
69,438 |
92,945 |
23,507 |
33.9% |
431,799 |
|
| Daily Pivots for day following 03-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0348 |
1.0288 |
0.9998 |
|
| R3 |
1.0190 |
1.0130 |
0.9954 |
|
| R2 |
1.0032 |
1.0032 |
0.9940 |
|
| R1 |
0.9972 |
0.9972 |
0.9925 |
1.0002 |
| PP |
0.9874 |
0.9874 |
0.9874 |
0.9890 |
| S1 |
0.9814 |
0.9814 |
0.9897 |
0.9844 |
| S2 |
0.9716 |
0.9716 |
0.9882 |
|
| S3 |
0.9558 |
0.9656 |
0.9868 |
|
| S4 |
0.9400 |
0.9498 |
0.9824 |
|
|
| 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 |
1.0094 |
0.9771 |
0.0323 |
3.3% |
0.0138 |
1.4% |
43% |
False |
False |
83,573 |
| 10 |
1.0097 |
0.9771 |
0.0326 |
3.3% |
0.0142 |
1.4% |
43% |
False |
False |
86,346 |
| 20 |
1.0097 |
0.9583 |
0.0514 |
5.2% |
0.0140 |
1.4% |
64% |
False |
False |
85,806 |
| 40 |
1.0204 |
0.9367 |
0.0837 |
8.4% |
0.0137 |
1.4% |
65% |
False |
False |
90,281 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
9.0% |
0.0120 |
1.2% |
61% |
False |
False |
60,635 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0116 |
1.2% |
44% |
False |
False |
45,594 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0110 |
1.1% |
44% |
False |
False |
36,511 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.4% |
0.0101 |
1.0% |
44% |
False |
False |
30,444 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0607 |
|
2.618 |
1.0349 |
|
1.618 |
1.0191 |
|
1.000 |
1.0093 |
|
0.618 |
1.0033 |
|
HIGH |
0.9935 |
|
0.618 |
0.9875 |
|
0.500 |
0.9856 |
|
0.382 |
0.9837 |
|
LOW |
0.9777 |
|
0.618 |
0.9679 |
|
1.000 |
0.9619 |
|
1.618 |
0.9521 |
|
2.618 |
0.9363 |
|
4.250 |
0.9106 |
|
|
| Fisher Pivots for day following 03-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9893 |
0.9905 |
| PP |
0.9874 |
0.9899 |
| S1 |
0.9856 |
0.9893 |
|