CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 04-Jan-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
03-Jan-2012 |
04-Jan-2012 |
Change |
Change % |
Previous Week |
| Open |
0.9848 |
0.9868 |
0.0020 |
0.2% |
0.9780 |
| High |
0.9908 |
0.9875 |
-0.0033 |
-0.3% |
0.9858 |
| Low |
0.9848 |
0.9824 |
-0.0024 |
-0.2% |
0.9721 |
| Close |
0.9883 |
0.9854 |
-0.0029 |
-0.3% |
0.9821 |
| Range |
0.0060 |
0.0051 |
-0.0009 |
-15.0% |
0.0137 |
| ATR |
0.0091 |
0.0089 |
-0.0002 |
-2.5% |
0.0000 |
| Volume |
46,836 |
54,267 |
7,431 |
15.9% |
123,954 |
|
| Daily Pivots for day following 04-Jan-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0004 |
0.9980 |
0.9882 |
|
| R3 |
0.9953 |
0.9929 |
0.9868 |
|
| R2 |
0.9902 |
0.9902 |
0.9863 |
|
| R1 |
0.9878 |
0.9878 |
0.9859 |
0.9865 |
| PP |
0.9851 |
0.9851 |
0.9851 |
0.9844 |
| S1 |
0.9827 |
0.9827 |
0.9849 |
0.9814 |
| S2 |
0.9800 |
0.9800 |
0.9845 |
|
| S3 |
0.9749 |
0.9776 |
0.9840 |
|
| S4 |
0.9698 |
0.9725 |
0.9826 |
|
|
| Weekly Pivots for week ending 30-Dec-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0211 |
1.0153 |
0.9896 |
|
| R3 |
1.0074 |
1.0016 |
0.9859 |
|
| R2 |
0.9937 |
0.9937 |
0.9846 |
|
| R1 |
0.9879 |
0.9879 |
0.9834 |
0.9908 |
| PP |
0.9800 |
0.9800 |
0.9800 |
0.9815 |
| S1 |
0.9742 |
0.9742 |
0.9808 |
0.9771 |
| S2 |
0.9663 |
0.9663 |
0.9796 |
|
| S3 |
0.9526 |
0.9605 |
0.9783 |
|
| S4 |
0.9389 |
0.9468 |
0.9746 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9908 |
0.9721 |
0.0187 |
1.9% |
0.0071 |
0.7% |
71% |
False |
False |
42,133 |
| 10 |
0.9908 |
0.9608 |
0.0300 |
3.0% |
0.0073 |
0.7% |
82% |
False |
False |
42,214 |
| 20 |
0.9923 |
0.9573 |
0.0350 |
3.6% |
0.0086 |
0.9% |
80% |
False |
False |
33,688 |
| 40 |
0.9923 |
0.9485 |
0.0438 |
4.4% |
0.0091 |
0.9% |
84% |
False |
False |
17,541 |
| 60 |
1.0075 |
0.9485 |
0.0590 |
6.0% |
0.0102 |
1.0% |
63% |
False |
False |
11,817 |
| 80 |
1.0187 |
0.9359 |
0.0828 |
8.4% |
0.0105 |
1.1% |
60% |
False |
False |
8,944 |
| 100 |
1.0245 |
0.9359 |
0.0886 |
9.0% |
0.0095 |
1.0% |
56% |
False |
False |
7,172 |
| 120 |
1.0544 |
0.9359 |
0.1185 |
12.0% |
0.0088 |
0.9% |
42% |
False |
False |
5,991 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0092 |
|
2.618 |
1.0009 |
|
1.618 |
0.9958 |
|
1.000 |
0.9926 |
|
0.618 |
0.9907 |
|
HIGH |
0.9875 |
|
0.618 |
0.9856 |
|
0.500 |
0.9850 |
|
0.382 |
0.9843 |
|
LOW |
0.9824 |
|
0.618 |
0.9792 |
|
1.000 |
0.9773 |
|
1.618 |
0.9741 |
|
2.618 |
0.9690 |
|
4.250 |
0.9607 |
|
|
| Fisher Pivots for day following 04-Jan-2012 |
| Pivot |
1 day |
3 day |
| R1 |
0.9853 |
0.9849 |
| PP |
0.9851 |
0.9843 |
| S1 |
0.9850 |
0.9838 |
|