CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 28-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
25-Nov-2011 |
28-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9528 |
0.9542 |
0.0014 |
0.1% |
0.9700 |
| High |
0.9508 |
0.9680 |
0.0172 |
1.8% |
0.9700 |
| Low |
0.9485 |
0.9542 |
0.0057 |
0.6% |
0.9485 |
| Close |
0.9508 |
0.9626 |
0.0118 |
1.2% |
0.9508 |
| Range |
0.0023 |
0.0138 |
0.0115 |
500.0% |
0.0215 |
| ATR |
0.0106 |
0.0110 |
0.0005 |
4.5% |
0.0000 |
| Volume |
2,277 |
1,654 |
-623 |
-27.4% |
3,534 |
|
| Daily Pivots for day following 28-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0030 |
0.9966 |
0.9702 |
|
| R3 |
0.9892 |
0.9828 |
0.9664 |
|
| R2 |
0.9754 |
0.9754 |
0.9651 |
|
| R1 |
0.9690 |
0.9690 |
0.9639 |
0.9722 |
| PP |
0.9616 |
0.9616 |
0.9616 |
0.9632 |
| S1 |
0.9552 |
0.9552 |
0.9613 |
0.9584 |
| S2 |
0.9478 |
0.9478 |
0.9601 |
|
| S3 |
0.9340 |
0.9414 |
0.9588 |
|
| S4 |
0.9202 |
0.9276 |
0.9550 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0209 |
1.0074 |
0.9626 |
|
| R3 |
0.9994 |
0.9859 |
0.9567 |
|
| R2 |
0.9779 |
0.9779 |
0.9547 |
|
| R1 |
0.9644 |
0.9644 |
0.9528 |
0.9604 |
| PP |
0.9564 |
0.9564 |
0.9564 |
0.9545 |
| S1 |
0.9429 |
0.9429 |
0.9488 |
0.9389 |
| S2 |
0.9349 |
0.9349 |
0.9469 |
|
| S3 |
0.9134 |
0.9214 |
0.9449 |
|
| S4 |
0.8919 |
0.8999 |
0.9390 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9700 |
0.9485 |
0.0215 |
2.2% |
0.0087 |
0.9% |
66% |
False |
False |
1,037 |
| 10 |
0.9885 |
0.9485 |
0.0400 |
4.2% |
0.0086 |
0.9% |
35% |
False |
False |
743 |
| 20 |
1.0043 |
0.9485 |
0.0558 |
5.8% |
0.0104 |
1.1% |
25% |
False |
False |
516 |
| 40 |
1.0075 |
0.9359 |
0.0716 |
7.4% |
0.0111 |
1.2% |
37% |
False |
False |
444 |
| 60 |
1.0187 |
0.9359 |
0.0828 |
8.6% |
0.0106 |
1.1% |
32% |
False |
False |
382 |
| 80 |
1.0245 |
0.9359 |
0.0886 |
9.2% |
0.0098 |
1.0% |
30% |
False |
False |
320 |
| 100 |
1.0544 |
0.9359 |
0.1185 |
12.3% |
0.0086 |
0.9% |
23% |
False |
False |
261 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
12.3% |
0.0076 |
0.8% |
23% |
False |
False |
220 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0267 |
|
2.618 |
1.0041 |
|
1.618 |
0.9903 |
|
1.000 |
0.9818 |
|
0.618 |
0.9765 |
|
HIGH |
0.9680 |
|
0.618 |
0.9627 |
|
0.500 |
0.9611 |
|
0.382 |
0.9595 |
|
LOW |
0.9542 |
|
0.618 |
0.9457 |
|
1.000 |
0.9404 |
|
1.618 |
0.9319 |
|
2.618 |
0.9181 |
|
4.250 |
0.8956 |
|
|
| Fisher Pivots for day following 28-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9621 |
0.9612 |
| PP |
0.9616 |
0.9597 |
| S1 |
0.9611 |
0.9583 |
|