CME Canadian Dollar Future June 2012
| Trading Metrics calculated at close of trading on 20-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Mar-2012 |
20-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0068 |
1.0112 |
0.0044 |
0.4% |
1.0074 |
| High |
1.0122 |
1.0113 |
-0.0009 |
-0.1% |
1.0100 |
| Low |
1.0050 |
1.0011 |
-0.0039 |
-0.4% |
1.0030 |
| Close |
1.0115 |
1.0065 |
-0.0050 |
-0.5% |
1.0066 |
| Range |
0.0072 |
0.0102 |
0.0030 |
41.7% |
0.0070 |
| ATR |
0.0062 |
0.0065 |
0.0003 |
4.7% |
0.0000 |
| Volume |
70,771 |
88,078 |
17,307 |
24.5% |
203,634 |
|
| Daily Pivots for day following 20-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0369 |
1.0319 |
1.0121 |
|
| R3 |
1.0267 |
1.0217 |
1.0093 |
|
| R2 |
1.0165 |
1.0165 |
1.0084 |
|
| R1 |
1.0115 |
1.0115 |
1.0074 |
1.0089 |
| PP |
1.0063 |
1.0063 |
1.0063 |
1.0050 |
| S1 |
1.0013 |
1.0013 |
1.0056 |
0.9987 |
| S2 |
0.9961 |
0.9961 |
1.0046 |
|
| S3 |
0.9859 |
0.9911 |
1.0037 |
|
| S4 |
0.9757 |
0.9809 |
1.0009 |
|
|
| Weekly Pivots for week ending 16-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0275 |
1.0241 |
1.0105 |
|
| R3 |
1.0205 |
1.0171 |
1.0085 |
|
| R2 |
1.0135 |
1.0135 |
1.0079 |
|
| R1 |
1.0101 |
1.0101 |
1.0072 |
1.0083 |
| PP |
1.0065 |
1.0065 |
1.0065 |
1.0057 |
| S1 |
1.0031 |
1.0031 |
1.0060 |
1.0013 |
| S2 |
0.9995 |
0.9995 |
1.0053 |
|
| S3 |
0.9925 |
0.9961 |
1.0047 |
|
| S4 |
0.9855 |
0.9891 |
1.0028 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0122 |
1.0011 |
0.0111 |
1.1% |
0.0065 |
0.6% |
49% |
False |
True |
62,709 |
| 10 |
1.0122 |
0.9952 |
0.0170 |
1.7% |
0.0064 |
0.6% |
66% |
False |
False |
38,887 |
| 20 |
1.0133 |
0.9926 |
0.0207 |
2.1% |
0.0063 |
0.6% |
67% |
False |
False |
20,058 |
| 40 |
1.0133 |
0.9825 |
0.0308 |
3.1% |
0.0060 |
0.6% |
78% |
False |
False |
10,138 |
| 60 |
1.0133 |
0.9664 |
0.0469 |
4.7% |
0.0063 |
0.6% |
86% |
False |
False |
6,806 |
| 80 |
1.0133 |
0.9484 |
0.0649 |
6.4% |
0.0066 |
0.7% |
90% |
False |
False |
5,143 |
| 100 |
1.0133 |
0.9484 |
0.0649 |
6.4% |
0.0065 |
0.6% |
90% |
False |
False |
4,126 |
| 120 |
1.0133 |
0.9360 |
0.0773 |
7.7% |
0.0062 |
0.6% |
91% |
False |
False |
3,449 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0547 |
|
2.618 |
1.0380 |
|
1.618 |
1.0278 |
|
1.000 |
1.0215 |
|
0.618 |
1.0176 |
|
HIGH |
1.0113 |
|
0.618 |
1.0074 |
|
0.500 |
1.0062 |
|
0.382 |
1.0050 |
|
LOW |
1.0011 |
|
0.618 |
0.9948 |
|
1.000 |
0.9909 |
|
1.618 |
0.9846 |
|
2.618 |
0.9744 |
|
4.250 |
0.9578 |
|
|
| Fisher Pivots for day following 20-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0064 |
1.0067 |
| PP |
1.0063 |
1.0066 |
| S1 |
1.0062 |
1.0066 |
|