CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 04-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Nov-2011 |
04-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9863 |
0.9908 |
0.0045 |
0.5% |
1.0070 |
| High |
0.9935 |
0.9920 |
-0.0015 |
-0.2% |
1.0076 |
| Low |
0.9777 |
0.9766 |
-0.0011 |
-0.1% |
0.9766 |
| Close |
0.9911 |
0.9821 |
-0.0090 |
-0.9% |
0.9821 |
| Range |
0.0158 |
0.0154 |
-0.0004 |
-2.5% |
0.0310 |
| ATR |
0.0142 |
0.0143 |
0.0001 |
0.6% |
0.0000 |
| Volume |
92,945 |
79,389 |
-13,556 |
-14.6% |
437,559 |
|
| Daily Pivots for day following 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0298 |
1.0213 |
0.9906 |
|
| R3 |
1.0144 |
1.0059 |
0.9863 |
|
| R2 |
0.9990 |
0.9990 |
0.9849 |
|
| R1 |
0.9905 |
0.9905 |
0.9835 |
0.9871 |
| PP |
0.9836 |
0.9836 |
0.9836 |
0.9818 |
| S1 |
0.9751 |
0.9751 |
0.9807 |
0.9717 |
| S2 |
0.9682 |
0.9682 |
0.9793 |
|
| S3 |
0.9528 |
0.9597 |
0.9779 |
|
| S4 |
0.9374 |
0.9443 |
0.9736 |
|
|
| Weekly Pivots for week ending 04-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0818 |
1.0629 |
0.9992 |
|
| R3 |
1.0508 |
1.0319 |
0.9906 |
|
| R2 |
1.0198 |
1.0198 |
0.9878 |
|
| R1 |
1.0009 |
1.0009 |
0.9849 |
0.9949 |
| PP |
0.9888 |
0.9888 |
0.9888 |
0.9857 |
| S1 |
0.9699 |
0.9699 |
0.9793 |
0.9639 |
| S2 |
0.9578 |
0.9578 |
0.9764 |
|
| S3 |
0.9268 |
0.9389 |
0.9736 |
|
| S4 |
0.8958 |
0.9079 |
0.9651 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0076 |
0.9766 |
0.0310 |
3.2% |
0.0154 |
1.6% |
18% |
False |
True |
87,511 |
| 10 |
1.0097 |
0.9766 |
0.0331 |
3.4% |
0.0145 |
1.5% |
17% |
False |
True |
86,935 |
| 20 |
1.0097 |
0.9611 |
0.0486 |
4.9% |
0.0139 |
1.4% |
43% |
False |
False |
84,411 |
| 40 |
1.0204 |
0.9367 |
0.0837 |
8.5% |
0.0138 |
1.4% |
54% |
False |
False |
91,961 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
9.1% |
0.0120 |
1.2% |
51% |
False |
False |
61,944 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0117 |
1.2% |
37% |
False |
False |
46,583 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0110 |
1.1% |
37% |
False |
False |
37,304 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0101 |
1.0% |
37% |
False |
False |
31,106 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0575 |
|
2.618 |
1.0323 |
|
1.618 |
1.0169 |
|
1.000 |
1.0074 |
|
0.618 |
1.0015 |
|
HIGH |
0.9920 |
|
0.618 |
0.9861 |
|
0.500 |
0.9843 |
|
0.382 |
0.9825 |
|
LOW |
0.9766 |
|
0.618 |
0.9671 |
|
1.000 |
0.9612 |
|
1.618 |
0.9517 |
|
2.618 |
0.9363 |
|
4.250 |
0.9112 |
|
|
| Fisher Pivots for day following 04-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9843 |
0.9851 |
| PP |
0.9836 |
0.9841 |
| S1 |
0.9828 |
0.9831 |
|