CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 26-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Sep-2011 |
26-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9696 |
0.9700 |
0.0004 |
0.0% |
1.0140 |
| High |
0.9729 |
0.9714 |
-0.0015 |
-0.2% |
1.0151 |
| Low |
0.9640 |
0.9601 |
-0.0039 |
-0.4% |
0.9622 |
| Close |
0.9660 |
0.9651 |
-0.0009 |
-0.1% |
0.9660 |
| Range |
0.0089 |
0.0113 |
0.0024 |
27.0% |
0.0529 |
| ATR |
0.0101 |
0.0102 |
0.0001 |
0.8% |
0.0000 |
| Volume |
714 |
261 |
-453 |
-63.4% |
1,948 |
|
| Daily Pivots for day following 26-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
0.9994 |
0.9936 |
0.9713 |
|
| R3 |
0.9881 |
0.9823 |
0.9682 |
|
| R2 |
0.9768 |
0.9768 |
0.9672 |
|
| R1 |
0.9710 |
0.9710 |
0.9661 |
0.9683 |
| PP |
0.9655 |
0.9655 |
0.9655 |
0.9642 |
| S1 |
0.9597 |
0.9597 |
0.9641 |
0.9570 |
| S2 |
0.9542 |
0.9542 |
0.9630 |
|
| S3 |
0.9429 |
0.9484 |
0.9620 |
|
| S4 |
0.9316 |
0.9371 |
0.9589 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1398 |
1.1058 |
0.9951 |
|
| R3 |
1.0869 |
1.0529 |
0.9805 |
|
| R2 |
1.0340 |
1.0340 |
0.9757 |
|
| R1 |
1.0000 |
1.0000 |
0.9708 |
0.9906 |
| PP |
0.9811 |
0.9811 |
0.9811 |
0.9764 |
| S1 |
0.9471 |
0.9471 |
0.9612 |
0.9377 |
| S2 |
0.9282 |
0.9282 |
0.9563 |
|
| S3 |
0.8753 |
0.8942 |
0.9515 |
|
| S4 |
0.8224 |
0.8413 |
0.9369 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0069 |
0.9601 |
0.0468 |
4.8% |
0.0130 |
1.3% |
11% |
False |
True |
412 |
| 10 |
1.0187 |
0.9601 |
0.0586 |
6.1% |
0.0111 |
1.2% |
9% |
False |
True |
333 |
| 20 |
1.0245 |
0.9601 |
0.0644 |
6.7% |
0.0085 |
0.9% |
8% |
False |
True |
202 |
| 40 |
1.0398 |
0.9601 |
0.0797 |
8.3% |
0.0079 |
0.8% |
6% |
False |
True |
167 |
| 60 |
1.0544 |
0.9601 |
0.0943 |
9.8% |
0.0064 |
0.7% |
5% |
False |
True |
118 |
| 80 |
1.0544 |
0.9601 |
0.0943 |
9.8% |
0.0054 |
0.6% |
5% |
False |
True |
92 |
| 100 |
1.0544 |
0.9601 |
0.0943 |
9.8% |
0.0049 |
0.5% |
5% |
False |
True |
78 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0194 |
|
2.618 |
1.0010 |
|
1.618 |
0.9897 |
|
1.000 |
0.9827 |
|
0.618 |
0.9784 |
|
HIGH |
0.9714 |
|
0.618 |
0.9671 |
|
0.500 |
0.9658 |
|
0.382 |
0.9644 |
|
LOW |
0.9601 |
|
0.618 |
0.9531 |
|
1.000 |
0.9488 |
|
1.618 |
0.9418 |
|
2.618 |
0.9305 |
|
4.250 |
0.9121 |
|
|
| Fisher Pivots for day following 26-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9658 |
0.9743 |
| PP |
0.9655 |
0.9712 |
| S1 |
0.9653 |
0.9682 |
|