CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 23-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
22-Nov-2011 |
23-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9618 |
0.9627 |
0.0009 |
0.1% |
0.9881 |
| High |
0.9659 |
0.9633 |
-0.0026 |
-0.3% |
0.9903 |
| Low |
0.9597 |
0.9520 |
-0.0077 |
-0.8% |
0.9699 |
| Close |
0.9635 |
0.9535 |
-0.0100 |
-1.0% |
0.9733 |
| Range |
0.0062 |
0.0113 |
0.0051 |
82.3% |
0.0204 |
| ATR |
0.0121 |
0.0120 |
0.0000 |
-0.3% |
0.0000 |
| Volume |
63,935 |
74,636 |
10,701 |
16.7% |
331,789 |
|
| Daily Pivots for day following 23-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
0.9902 |
0.9831 |
0.9597 |
|
| R3 |
0.9789 |
0.9718 |
0.9566 |
|
| R2 |
0.9676 |
0.9676 |
0.9556 |
|
| R1 |
0.9605 |
0.9605 |
0.9545 |
0.9584 |
| PP |
0.9563 |
0.9563 |
0.9563 |
0.9552 |
| S1 |
0.9492 |
0.9492 |
0.9525 |
0.9471 |
| S2 |
0.9450 |
0.9450 |
0.9514 |
|
| S3 |
0.9337 |
0.9379 |
0.9504 |
|
| S4 |
0.9224 |
0.9266 |
0.9473 |
|
|
| Weekly Pivots for week ending 18-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0390 |
1.0266 |
0.9845 |
|
| R3 |
1.0186 |
1.0062 |
0.9789 |
|
| R2 |
0.9982 |
0.9982 |
0.9770 |
|
| R1 |
0.9858 |
0.9858 |
0.9752 |
0.9818 |
| PP |
0.9778 |
0.9778 |
0.9778 |
0.9759 |
| S1 |
0.9654 |
0.9654 |
0.9714 |
0.9614 |
| S2 |
0.9574 |
0.9574 |
0.9696 |
|
| S3 |
0.9370 |
0.9450 |
0.9677 |
|
| S4 |
0.9166 |
0.9246 |
0.9621 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9800 |
0.9520 |
0.0280 |
2.9% |
0.0100 |
1.1% |
5% |
False |
True |
71,247 |
| 10 |
0.9903 |
0.9520 |
0.0383 |
4.0% |
0.0104 |
1.1% |
4% |
False |
True |
67,915 |
| 20 |
1.0097 |
0.9520 |
0.0577 |
6.1% |
0.0120 |
1.3% |
3% |
False |
True |
74,269 |
| 40 |
1.0097 |
0.9367 |
0.0730 |
7.7% |
0.0128 |
1.3% |
23% |
False |
False |
84,843 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
9.3% |
0.0125 |
1.3% |
19% |
False |
False |
76,694 |
| 80 |
1.0420 |
0.9367 |
0.1053 |
11.0% |
0.0121 |
1.3% |
16% |
False |
False |
57,707 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.9% |
0.0114 |
1.2% |
14% |
False |
False |
46,209 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.9% |
0.0107 |
1.1% |
14% |
False |
False |
38,533 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0113 |
|
2.618 |
0.9929 |
|
1.618 |
0.9816 |
|
1.000 |
0.9746 |
|
0.618 |
0.9703 |
|
HIGH |
0.9633 |
|
0.618 |
0.9590 |
|
0.500 |
0.9577 |
|
0.382 |
0.9563 |
|
LOW |
0.9520 |
|
0.618 |
0.9450 |
|
1.000 |
0.9407 |
|
1.618 |
0.9337 |
|
2.618 |
0.9224 |
|
4.250 |
0.9040 |
|
|
| Fisher Pivots for day following 23-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9577 |
0.9623 |
| PP |
0.9563 |
0.9594 |
| S1 |
0.9549 |
0.9564 |
|