CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 16-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
15-Dec-2011 |
16-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9621 |
0.9666 |
0.0045 |
0.5% |
0.9802 |
| High |
0.9689 |
0.9710 |
0.0021 |
0.2% |
0.9818 |
| Low |
0.9610 |
0.9610 |
0.0000 |
0.0% |
0.9592 |
| Close |
0.9653 |
0.9631 |
-0.0022 |
-0.2% |
0.9631 |
| Range |
0.0079 |
0.0100 |
0.0021 |
26.6% |
0.0226 |
| ATR |
0.0113 |
0.0112 |
-0.0001 |
-0.8% |
0.0000 |
| Volume |
57,130 |
9,981 |
-47,149 |
-82.5% |
307,483 |
|
| Daily Pivots for day following 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
0.9950 |
0.9891 |
0.9686 |
|
| R3 |
0.9850 |
0.9791 |
0.9659 |
|
| R2 |
0.9750 |
0.9750 |
0.9649 |
|
| R1 |
0.9691 |
0.9691 |
0.9640 |
0.9671 |
| PP |
0.9650 |
0.9650 |
0.9650 |
0.9640 |
| S1 |
0.9591 |
0.9591 |
0.9622 |
0.9571 |
| S2 |
0.9550 |
0.9550 |
0.9613 |
|
| S3 |
0.9450 |
0.9491 |
0.9604 |
|
| S4 |
0.9350 |
0.9391 |
0.9576 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0358 |
1.0221 |
0.9755 |
|
| R3 |
1.0132 |
0.9995 |
0.9693 |
|
| R2 |
0.9906 |
0.9906 |
0.9672 |
|
| R1 |
0.9769 |
0.9769 |
0.9652 |
0.9725 |
| PP |
0.9680 |
0.9680 |
0.9680 |
0.9658 |
| S1 |
0.9543 |
0.9543 |
0.9610 |
0.9499 |
| S2 |
0.9454 |
0.9454 |
0.9590 |
|
| S3 |
0.9228 |
0.9317 |
0.9569 |
|
| S4 |
0.9002 |
0.9091 |
0.9507 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9818 |
0.9592 |
0.0226 |
2.3% |
0.0097 |
1.0% |
17% |
False |
False |
61,496 |
| 10 |
0.9945 |
0.9592 |
0.0353 |
3.7% |
0.0101 |
1.1% |
11% |
False |
False |
66,698 |
| 20 |
0.9945 |
0.9497 |
0.0448 |
4.7% |
0.0110 |
1.1% |
30% |
False |
False |
70,729 |
| 40 |
1.0097 |
0.9497 |
0.0600 |
6.2% |
0.0119 |
1.2% |
22% |
False |
False |
74,384 |
| 60 |
1.0097 |
0.9367 |
0.0730 |
7.6% |
0.0125 |
1.3% |
36% |
False |
False |
83,757 |
| 80 |
1.0257 |
0.9367 |
0.0890 |
9.2% |
0.0120 |
1.2% |
30% |
False |
False |
71,810 |
| 100 |
1.0535 |
0.9367 |
0.1168 |
12.1% |
0.0118 |
1.2% |
23% |
False |
False |
57,570 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.7% |
0.0112 |
1.2% |
22% |
False |
False |
48,012 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0135 |
|
2.618 |
0.9972 |
|
1.618 |
0.9872 |
|
1.000 |
0.9810 |
|
0.618 |
0.9772 |
|
HIGH |
0.9710 |
|
0.618 |
0.9672 |
|
0.500 |
0.9660 |
|
0.382 |
0.9648 |
|
LOW |
0.9610 |
|
0.618 |
0.9548 |
|
1.000 |
0.9510 |
|
1.618 |
0.9448 |
|
2.618 |
0.9348 |
|
4.250 |
0.9185 |
|
|
| Fisher Pivots for day following 16-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9660 |
0.9651 |
| PP |
0.9650 |
0.9644 |
| S1 |
0.9641 |
0.9638 |
|