CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 27-Dec-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Dec-2011 |
27-Dec-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9778 |
0.9780 |
0.0002 |
0.0% |
0.9604 |
| High |
0.9805 |
0.9807 |
0.0002 |
0.0% |
0.9805 |
| Low |
0.9771 |
0.9758 |
-0.0013 |
-0.1% |
0.9582 |
| Close |
0.9802 |
0.9805 |
0.0003 |
0.0% |
0.9802 |
| Range |
0.0034 |
0.0049 |
0.0015 |
44.1% |
0.0223 |
| ATR |
0.0097 |
0.0094 |
-0.0003 |
-3.6% |
0.0000 |
| Volume |
27,678 |
14,392 |
-13,286 |
-48.0% |
239,339 |
|
| Daily Pivots for day following 27-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
0.9937 |
0.9920 |
0.9832 |
|
| R3 |
0.9888 |
0.9871 |
0.9818 |
|
| R2 |
0.9839 |
0.9839 |
0.9814 |
|
| R1 |
0.9822 |
0.9822 |
0.9809 |
0.9831 |
| PP |
0.9790 |
0.9790 |
0.9790 |
0.9794 |
| S1 |
0.9773 |
0.9773 |
0.9801 |
0.9782 |
| S2 |
0.9741 |
0.9741 |
0.9796 |
|
| S3 |
0.9692 |
0.9724 |
0.9792 |
|
| S4 |
0.9643 |
0.9675 |
0.9778 |
|
|
| Weekly Pivots for week ending 23-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0399 |
1.0323 |
0.9925 |
|
| R3 |
1.0176 |
1.0100 |
0.9863 |
|
| R2 |
0.9953 |
0.9953 |
0.9843 |
|
| R1 |
0.9877 |
0.9877 |
0.9822 |
0.9915 |
| PP |
0.9730 |
0.9730 |
0.9730 |
0.9749 |
| S1 |
0.9654 |
0.9654 |
0.9782 |
0.9692 |
| S2 |
0.9507 |
0.9507 |
0.9761 |
|
| S3 |
0.9284 |
0.9431 |
0.9741 |
|
| S4 |
0.9061 |
0.9208 |
0.9679 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9807 |
0.9608 |
0.0199 |
2.0% |
0.0074 |
0.8% |
99% |
True |
False |
42,295 |
| 10 |
0.9807 |
0.9573 |
0.0234 |
2.4% |
0.0083 |
0.8% |
99% |
True |
False |
42,093 |
| 20 |
0.9923 |
0.9573 |
0.0350 |
3.6% |
0.0097 |
1.0% |
66% |
False |
False |
24,114 |
| 40 |
1.0043 |
0.9485 |
0.0558 |
5.7% |
0.0100 |
1.0% |
57% |
False |
False |
12,315 |
| 60 |
1.0075 |
0.9359 |
0.0716 |
7.3% |
0.0106 |
1.1% |
62% |
False |
False |
8,334 |
| 80 |
1.0187 |
0.9359 |
0.0828 |
8.4% |
0.0104 |
1.1% |
54% |
False |
False |
6,315 |
| 100 |
1.0245 |
0.9359 |
0.0886 |
9.0% |
0.0098 |
1.0% |
50% |
False |
False |
5,079 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
12.1% |
0.0087 |
0.9% |
38% |
False |
False |
4,237 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0015 |
|
2.618 |
0.9935 |
|
1.618 |
0.9886 |
|
1.000 |
0.9856 |
|
0.618 |
0.9837 |
|
HIGH |
0.9807 |
|
0.618 |
0.9788 |
|
0.500 |
0.9783 |
|
0.382 |
0.9777 |
|
LOW |
0.9758 |
|
0.618 |
0.9728 |
|
1.000 |
0.9709 |
|
1.618 |
0.9679 |
|
2.618 |
0.9630 |
|
4.250 |
0.9550 |
|
|
| Fisher Pivots for day following 27-Dec-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9798 |
0.9789 |
| PP |
0.9790 |
0.9773 |
| S1 |
0.9783 |
0.9758 |
|