CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 15-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
14-Dec-2011 |
15-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9674 |
0.9621 |
-0.0053 |
-0.5% |
0.9814 |
| High |
0.9687 |
0.9689 |
0.0002 |
0.0% |
0.9945 |
| Low |
0.9592 |
0.9610 |
0.0018 |
0.2% |
0.9742 |
| Close |
0.9610 |
0.9653 |
0.0043 |
0.4% |
0.9818 |
| Range |
0.0095 |
0.0079 |
-0.0016 |
-16.8% |
0.0203 |
| ATR |
0.0115 |
0.0113 |
-0.0003 |
-2.2% |
0.0000 |
| Volume |
78,091 |
57,130 |
-20,961 |
-26.8% |
359,504 |
|
| Daily Pivots for day following 15-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
0.9888 |
0.9849 |
0.9696 |
|
| R3 |
0.9809 |
0.9770 |
0.9675 |
|
| R2 |
0.9730 |
0.9730 |
0.9667 |
|
| R1 |
0.9691 |
0.9691 |
0.9660 |
0.9711 |
| PP |
0.9651 |
0.9651 |
0.9651 |
0.9660 |
| S1 |
0.9612 |
0.9612 |
0.9646 |
0.9632 |
| S2 |
0.9572 |
0.9572 |
0.9639 |
|
| S3 |
0.9493 |
0.9533 |
0.9631 |
|
| S4 |
0.9414 |
0.9454 |
0.9610 |
|
|
| Weekly Pivots for week ending 09-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0444 |
1.0334 |
0.9930 |
|
| R3 |
1.0241 |
1.0131 |
0.9874 |
|
| R2 |
1.0038 |
1.0038 |
0.9855 |
|
| R1 |
0.9928 |
0.9928 |
0.9837 |
0.9983 |
| PP |
0.9835 |
0.9835 |
0.9835 |
0.9863 |
| S1 |
0.9725 |
0.9725 |
0.9799 |
0.9780 |
| S2 |
0.9632 |
0.9632 |
0.9781 |
|
| S3 |
0.9429 |
0.9522 |
0.9762 |
|
| S4 |
0.9226 |
0.9319 |
0.9706 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9831 |
0.9592 |
0.0239 |
2.5% |
0.0095 |
1.0% |
26% |
False |
False |
74,463 |
| 10 |
0.9945 |
0.9592 |
0.0353 |
3.7% |
0.0103 |
1.1% |
17% |
False |
False |
73,180 |
| 20 |
0.9945 |
0.9497 |
0.0448 |
4.6% |
0.0110 |
1.1% |
35% |
False |
False |
74,299 |
| 40 |
1.0097 |
0.9497 |
0.0600 |
6.2% |
0.0119 |
1.2% |
26% |
False |
False |
76,827 |
| 60 |
1.0097 |
0.9367 |
0.0730 |
7.6% |
0.0128 |
1.3% |
39% |
False |
False |
86,642 |
| 80 |
1.0257 |
0.9367 |
0.0890 |
9.2% |
0.0120 |
1.2% |
32% |
False |
False |
71,690 |
| 100 |
1.0587 |
0.9367 |
0.1220 |
12.6% |
0.0118 |
1.2% |
23% |
False |
False |
57,473 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.7% |
0.0112 |
1.2% |
23% |
False |
False |
47,931 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0025 |
|
2.618 |
0.9896 |
|
1.618 |
0.9817 |
|
1.000 |
0.9768 |
|
0.618 |
0.9738 |
|
HIGH |
0.9689 |
|
0.618 |
0.9659 |
|
0.500 |
0.9650 |
|
0.382 |
0.9640 |
|
LOW |
0.9610 |
|
0.618 |
0.9561 |
|
1.000 |
0.9531 |
|
1.618 |
0.9482 |
|
2.618 |
0.9403 |
|
4.250 |
0.9274 |
|
|
| Fisher Pivots for day following 15-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9652 |
0.9683 |
| PP |
0.9651 |
0.9673 |
| S1 |
0.9650 |
0.9663 |
|