CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 16-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Nov-2011 |
16-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9829 |
0.9787 |
-0.0042 |
-0.4% |
0.9830 |
| High |
0.9836 |
0.9823 |
-0.0013 |
-0.1% |
0.9914 |
| Low |
0.9735 |
0.9711 |
-0.0024 |
-0.2% |
0.9733 |
| Close |
0.9796 |
0.9800 |
0.0004 |
0.0% |
0.9869 |
| Range |
0.0101 |
0.0112 |
0.0011 |
10.9% |
0.0181 |
| ATR |
0.0129 |
0.0128 |
-0.0001 |
-1.0% |
0.0000 |
| Volume |
62,342 |
75,782 |
13,440 |
21.6% |
352,080 |
|
| Daily Pivots for day following 16-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0114 |
1.0069 |
0.9862 |
|
| R3 |
1.0002 |
0.9957 |
0.9831 |
|
| R2 |
0.9890 |
0.9890 |
0.9821 |
|
| R1 |
0.9845 |
0.9845 |
0.9810 |
0.9868 |
| PP |
0.9778 |
0.9778 |
0.9778 |
0.9789 |
| S1 |
0.9733 |
0.9733 |
0.9790 |
0.9756 |
| S2 |
0.9666 |
0.9666 |
0.9779 |
|
| S3 |
0.9554 |
0.9621 |
0.9769 |
|
| S4 |
0.9442 |
0.9509 |
0.9738 |
|
|
| Weekly Pivots for week ending 11-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0382 |
1.0306 |
0.9969 |
|
| R3 |
1.0201 |
1.0125 |
0.9919 |
|
| R2 |
1.0020 |
1.0020 |
0.9902 |
|
| R1 |
0.9944 |
0.9944 |
0.9886 |
0.9982 |
| PP |
0.9839 |
0.9839 |
0.9839 |
0.9858 |
| S1 |
0.9763 |
0.9763 |
0.9852 |
0.9801 |
| S2 |
0.9658 |
0.9658 |
0.9836 |
|
| S3 |
0.9477 |
0.9582 |
0.9819 |
|
| S4 |
0.9296 |
0.9401 |
0.9769 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9903 |
0.9711 |
0.0192 |
2.0% |
0.0108 |
1.1% |
46% |
False |
True |
64,584 |
| 10 |
0.9935 |
0.9711 |
0.0224 |
2.3% |
0.0119 |
1.2% |
40% |
False |
True |
70,889 |
| 20 |
1.0097 |
0.9711 |
0.0386 |
3.9% |
0.0128 |
1.3% |
23% |
False |
True |
79,356 |
| 40 |
1.0097 |
0.9367 |
0.0730 |
7.4% |
0.0137 |
1.4% |
59% |
False |
False |
92,814 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
9.1% |
0.0123 |
1.3% |
49% |
False |
False |
70,820 |
| 80 |
1.0587 |
0.9367 |
0.1220 |
12.4% |
0.0120 |
1.2% |
35% |
False |
False |
53,267 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0112 |
1.1% |
35% |
False |
False |
42,657 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0106 |
1.1% |
35% |
False |
False |
35,572 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0299 |
|
2.618 |
1.0116 |
|
1.618 |
1.0004 |
|
1.000 |
0.9935 |
|
0.618 |
0.9892 |
|
HIGH |
0.9823 |
|
0.618 |
0.9780 |
|
0.500 |
0.9767 |
|
0.382 |
0.9754 |
|
LOW |
0.9711 |
|
0.618 |
0.9642 |
|
1.000 |
0.9599 |
|
1.618 |
0.9530 |
|
2.618 |
0.9418 |
|
4.250 |
0.9235 |
|
|
| Fisher Pivots for day following 16-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9789 |
0.9807 |
| PP |
0.9778 |
0.9805 |
| S1 |
0.9767 |
0.9802 |
|