CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9800 |
0.9935 |
0.0135 |
1.4% |
0.9875 |
| High |
0.9930 |
1.0075 |
0.0145 |
1.5% |
0.9915 |
| Low |
0.9799 |
0.9935 |
0.0136 |
1.4% |
0.9714 |
| Close |
0.9906 |
1.0061 |
0.0155 |
1.6% |
0.9875 |
| Range |
0.0131 |
0.0140 |
0.0009 |
6.9% |
0.0201 |
| ATR |
0.0124 |
0.0128 |
0.0003 |
2.6% |
0.0000 |
| Volume |
462 |
156 |
-306 |
-66.2% |
1,572 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0444 |
1.0392 |
1.0138 |
|
| R3 |
1.0304 |
1.0252 |
1.0100 |
|
| R2 |
1.0164 |
1.0164 |
1.0087 |
|
| R1 |
1.0112 |
1.0112 |
1.0074 |
1.0138 |
| PP |
1.0024 |
1.0024 |
1.0024 |
1.0037 |
| S1 |
0.9972 |
0.9972 |
1.0048 |
0.9998 |
| S2 |
0.9884 |
0.9884 |
1.0035 |
|
| S3 |
0.9744 |
0.9832 |
1.0023 |
|
| S4 |
0.9604 |
0.9692 |
0.9984 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0438 |
1.0357 |
0.9986 |
|
| R3 |
1.0237 |
1.0156 |
0.9930 |
|
| R2 |
1.0036 |
1.0036 |
0.9912 |
|
| R1 |
0.9955 |
0.9955 |
0.9893 |
0.9976 |
| PP |
0.9835 |
0.9835 |
0.9835 |
0.9845 |
| S1 |
0.9754 |
0.9754 |
0.9857 |
0.9775 |
| S2 |
0.9634 |
0.9634 |
0.9838 |
|
| S3 |
0.9433 |
0.9553 |
0.9820 |
|
| S4 |
0.9232 |
0.9352 |
0.9764 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0075 |
0.9765 |
0.0310 |
3.1% |
0.0125 |
1.2% |
95% |
True |
False |
272 |
| 10 |
1.0075 |
0.9714 |
0.0361 |
3.6% |
0.0126 |
1.3% |
96% |
True |
False |
320 |
| 20 |
1.0075 |
0.9359 |
0.0716 |
7.1% |
0.0121 |
1.2% |
98% |
True |
False |
353 |
| 40 |
1.0223 |
0.9359 |
0.0864 |
8.6% |
0.0107 |
1.1% |
81% |
False |
False |
295 |
| 60 |
1.0310 |
0.9359 |
0.0951 |
9.5% |
0.0098 |
1.0% |
74% |
False |
False |
242 |
| 80 |
1.0544 |
0.9359 |
0.1185 |
11.8% |
0.0081 |
0.8% |
59% |
False |
False |
187 |
| 100 |
1.0544 |
0.9359 |
0.1185 |
11.8% |
0.0070 |
0.7% |
59% |
False |
False |
153 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
11.8% |
0.0063 |
0.6% |
59% |
False |
False |
131 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0670 |
|
2.618 |
1.0442 |
|
1.618 |
1.0302 |
|
1.000 |
1.0215 |
|
0.618 |
1.0162 |
|
HIGH |
1.0075 |
|
0.618 |
1.0022 |
|
0.500 |
1.0005 |
|
0.382 |
0.9988 |
|
LOW |
0.9935 |
|
0.618 |
0.9848 |
|
1.000 |
0.9795 |
|
1.618 |
0.9708 |
|
2.618 |
0.9568 |
|
4.250 |
0.9340 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0042 |
1.0014 |
| PP |
1.0024 |
0.9967 |
| S1 |
1.0005 |
0.9920 |
|