CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 28-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Oct-2011 |
28-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9935 |
1.0055 |
0.0120 |
1.2% |
0.9900 |
| High |
1.0075 |
1.0056 |
-0.0019 |
-0.2% |
1.0075 |
| Low |
0.9935 |
1.0000 |
0.0065 |
0.7% |
0.9765 |
| Close |
1.0061 |
1.0033 |
-0.0028 |
-0.3% |
1.0033 |
| Range |
0.0140 |
0.0056 |
-0.0084 |
-60.0% |
0.0310 |
| ATR |
0.0128 |
0.0123 |
-0.0005 |
-3.7% |
0.0000 |
| Volume |
156 |
814 |
658 |
421.8% |
2,064 |
|
| Daily Pivots for day following 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0198 |
1.0171 |
1.0064 |
|
| R3 |
1.0142 |
1.0115 |
1.0048 |
|
| R2 |
1.0086 |
1.0086 |
1.0043 |
|
| R1 |
1.0059 |
1.0059 |
1.0038 |
1.0045 |
| PP |
1.0030 |
1.0030 |
1.0030 |
1.0022 |
| S1 |
1.0003 |
1.0003 |
1.0028 |
0.9989 |
| S2 |
0.9974 |
0.9974 |
1.0023 |
|
| S3 |
0.9918 |
0.9947 |
1.0018 |
|
| S4 |
0.9862 |
0.9891 |
1.0002 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0888 |
1.0770 |
1.0204 |
|
| R3 |
1.0578 |
1.0460 |
1.0118 |
|
| R2 |
1.0268 |
1.0268 |
1.0090 |
|
| R1 |
1.0150 |
1.0150 |
1.0061 |
1.0209 |
| PP |
0.9958 |
0.9958 |
0.9958 |
0.9987 |
| S1 |
0.9840 |
0.9840 |
1.0005 |
0.9899 |
| S2 |
0.9648 |
0.9648 |
0.9976 |
|
| S3 |
0.9338 |
0.9530 |
0.9948 |
|
| S4 |
0.9028 |
0.9220 |
0.9863 |
|
|
| 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% |
0.0117 |
1.2% |
86% |
False |
False |
412 |
| 10 |
1.0075 |
0.9714 |
0.0361 |
3.6% |
0.0121 |
1.2% |
88% |
False |
False |
363 |
| 20 |
1.0075 |
0.9359 |
0.0716 |
7.1% |
0.0118 |
1.2% |
94% |
False |
False |
372 |
| 40 |
1.0187 |
0.9359 |
0.0828 |
8.3% |
0.0108 |
1.1% |
81% |
False |
False |
315 |
| 60 |
1.0245 |
0.9359 |
0.0886 |
8.8% |
0.0096 |
1.0% |
76% |
False |
False |
255 |
| 80 |
1.0544 |
0.9359 |
0.1185 |
11.8% |
0.0081 |
0.8% |
57% |
False |
False |
198 |
| 100 |
1.0544 |
0.9359 |
0.1185 |
11.8% |
0.0071 |
0.7% |
57% |
False |
False |
161 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
11.8% |
0.0063 |
0.6% |
57% |
False |
False |
137 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0294 |
|
2.618 |
1.0203 |
|
1.618 |
1.0147 |
|
1.000 |
1.0112 |
|
0.618 |
1.0091 |
|
HIGH |
1.0056 |
|
0.618 |
1.0035 |
|
0.500 |
1.0028 |
|
0.382 |
1.0021 |
|
LOW |
1.0000 |
|
0.618 |
0.9965 |
|
1.000 |
0.9944 |
|
1.618 |
0.9909 |
|
2.618 |
0.9853 |
|
4.250 |
0.9762 |
|
|
| Fisher Pivots for day following 28-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0031 |
1.0001 |
| PP |
1.0030 |
0.9969 |
| S1 |
1.0028 |
0.9937 |
|