CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 21-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Dec-2011 |
21-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9613 |
0.9687 |
0.0074 |
0.8% |
0.9787 |
| High |
0.9725 |
0.9776 |
0.0051 |
0.5% |
0.9798 |
| Low |
0.9608 |
0.9681 |
0.0073 |
0.8% |
0.9573 |
| Close |
0.9681 |
0.9711 |
0.0030 |
0.3% |
0.9612 |
| Range |
0.0117 |
0.0095 |
-0.0022 |
-18.8% |
0.0225 |
| ATR |
0.0105 |
0.0104 |
-0.0001 |
-0.7% |
0.0000 |
| Volume |
59,038 |
65,672 |
6,634 |
11.2% |
184,353 |
|
| Daily Pivots for day following 21-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0008 |
0.9954 |
0.9763 |
|
| R3 |
0.9913 |
0.9859 |
0.9737 |
|
| R2 |
0.9818 |
0.9818 |
0.9728 |
|
| R1 |
0.9764 |
0.9764 |
0.9720 |
0.9791 |
| PP |
0.9723 |
0.9723 |
0.9723 |
0.9736 |
| S1 |
0.9669 |
0.9669 |
0.9702 |
0.9696 |
| S2 |
0.9628 |
0.9628 |
0.9694 |
|
| S3 |
0.9533 |
0.9574 |
0.9685 |
|
| S4 |
0.9438 |
0.9479 |
0.9659 |
|
|
| 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 |
0.9776 |
0.9582 |
0.0194 |
2.0% |
0.0094 |
1.0% |
66% |
True |
False |
52,456 |
| 10 |
0.9923 |
0.9573 |
0.0350 |
3.6% |
0.0103 |
1.1% |
39% |
False |
False |
36,562 |
| 20 |
0.9923 |
0.9485 |
0.0438 |
4.5% |
0.0102 |
1.0% |
52% |
False |
False |
19,993 |
| 40 |
1.0075 |
0.9485 |
0.0590 |
6.1% |
0.0105 |
1.1% |
38% |
False |
False |
10,181 |
| 60 |
1.0075 |
0.9359 |
0.0716 |
7.4% |
0.0110 |
1.1% |
49% |
False |
False |
6,906 |
| 80 |
1.0245 |
0.9359 |
0.0886 |
9.1% |
0.0104 |
1.1% |
40% |
False |
False |
5,232 |
| 100 |
1.0390 |
0.9359 |
0.1031 |
10.6% |
0.0099 |
1.0% |
34% |
False |
False |
4,212 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
12.2% |
0.0087 |
0.9% |
30% |
False |
False |
3,514 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0180 |
|
2.618 |
1.0025 |
|
1.618 |
0.9930 |
|
1.000 |
0.9871 |
|
0.618 |
0.9835 |
|
HIGH |
0.9776 |
|
0.618 |
0.9740 |
|
0.500 |
0.9729 |
|
0.382 |
0.9717 |
|
LOW |
0.9681 |
|
0.618 |
0.9622 |
|
1.000 |
0.9586 |
|
1.618 |
0.9527 |
|
2.618 |
0.9432 |
|
4.250 |
0.9277 |
|
|
| Fisher Pivots for day following 21-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9729 |
0.9700 |
| PP |
0.9723 |
0.9690 |
| S1 |
0.9717 |
0.9679 |
|