CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 20-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Dec-2011 |
20-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9604 |
0.9613 |
0.0009 |
0.1% |
0.9787 |
| High |
0.9657 |
0.9725 |
0.0068 |
0.7% |
0.9798 |
| Low |
0.9582 |
0.9608 |
0.0026 |
0.3% |
0.9573 |
| Close |
0.9630 |
0.9681 |
0.0051 |
0.5% |
0.9612 |
| Range |
0.0075 |
0.0117 |
0.0042 |
56.0% |
0.0225 |
| ATR |
0.0104 |
0.0105 |
0.0001 |
0.9% |
0.0000 |
| Volume |
42,254 |
59,038 |
16,784 |
39.7% |
184,353 |
|
| Daily Pivots for day following 20-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0022 |
0.9969 |
0.9745 |
|
| R3 |
0.9905 |
0.9852 |
0.9713 |
|
| R2 |
0.9788 |
0.9788 |
0.9702 |
|
| R1 |
0.9735 |
0.9735 |
0.9692 |
0.9762 |
| PP |
0.9671 |
0.9671 |
0.9671 |
0.9685 |
| S1 |
0.9618 |
0.9618 |
0.9670 |
0.9645 |
| S2 |
0.9554 |
0.9554 |
0.9660 |
|
| S3 |
0.9437 |
0.9501 |
0.9649 |
|
| S4 |
0.9320 |
0.9384 |
0.9617 |
|
|
| Weekly Pivots for week ending 16-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0336 |
1.0199 |
0.9736 |
|
| R3 |
1.0111 |
0.9974 |
0.9674 |
|
| R2 |
0.9886 |
0.9886 |
0.9653 |
|
| R1 |
0.9749 |
0.9749 |
0.9633 |
0.9705 |
| PP |
0.9661 |
0.9661 |
0.9661 |
0.9639 |
| S1 |
0.9524 |
0.9524 |
0.9591 |
0.9480 |
| S2 |
0.9436 |
0.9436 |
0.9571 |
|
| S3 |
0.9211 |
0.9299 |
0.9550 |
|
| S4 |
0.8986 |
0.9074 |
0.9488 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9725 |
0.9573 |
0.0152 |
1.6% |
0.0093 |
1.0% |
71% |
True |
False |
46,436 |
| 10 |
0.9923 |
0.9573 |
0.0350 |
3.6% |
0.0100 |
1.0% |
31% |
False |
False |
30,823 |
| 20 |
0.9923 |
0.9485 |
0.0438 |
4.5% |
0.0100 |
1.0% |
45% |
False |
False |
16,740 |
| 40 |
1.0075 |
0.9485 |
0.0590 |
6.1% |
0.0107 |
1.1% |
33% |
False |
False |
8,542 |
| 60 |
1.0075 |
0.9359 |
0.0716 |
7.4% |
0.0110 |
1.1% |
45% |
False |
False |
5,815 |
| 80 |
1.0245 |
0.9359 |
0.0886 |
9.2% |
0.0104 |
1.1% |
36% |
False |
False |
4,412 |
| 100 |
1.0398 |
0.9359 |
0.1039 |
10.7% |
0.0098 |
1.0% |
31% |
False |
False |
3,556 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
12.2% |
0.0087 |
0.9% |
27% |
False |
False |
2,967 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0222 |
|
2.618 |
1.0031 |
|
1.618 |
0.9914 |
|
1.000 |
0.9842 |
|
0.618 |
0.9797 |
|
HIGH |
0.9725 |
|
0.618 |
0.9680 |
|
0.500 |
0.9667 |
|
0.382 |
0.9653 |
|
LOW |
0.9608 |
|
0.618 |
0.9536 |
|
1.000 |
0.9491 |
|
1.618 |
0.9419 |
|
2.618 |
0.9302 |
|
4.250 |
0.9111 |
|
|
| Fisher Pivots for day following 20-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9676 |
0.9672 |
| PP |
0.9671 |
0.9663 |
| S1 |
0.9667 |
0.9654 |
|