CME Canadian Dollar Future June 2012
| Trading Metrics calculated at close of trading on 21-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Mar-2012 |
21-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
1.0112 |
1.0067 |
-0.0045 |
-0.4% |
1.0074 |
| High |
1.0113 |
1.0107 |
-0.0006 |
-0.1% |
1.0100 |
| Low |
1.0011 |
1.0045 |
0.0034 |
0.3% |
1.0030 |
| Close |
1.0065 |
1.0055 |
-0.0010 |
-0.1% |
1.0066 |
| Range |
0.0102 |
0.0062 |
-0.0040 |
-39.2% |
0.0070 |
| ATR |
0.0065 |
0.0065 |
0.0000 |
-0.4% |
0.0000 |
| Volume |
88,078 |
64,523 |
-23,555 |
-26.7% |
203,634 |
|
| Daily Pivots for day following 21-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0255 |
1.0217 |
1.0089 |
|
| R3 |
1.0193 |
1.0155 |
1.0072 |
|
| R2 |
1.0131 |
1.0131 |
1.0066 |
|
| R1 |
1.0093 |
1.0093 |
1.0061 |
1.0081 |
| PP |
1.0069 |
1.0069 |
1.0069 |
1.0063 |
| S1 |
1.0031 |
1.0031 |
1.0049 |
1.0019 |
| S2 |
1.0007 |
1.0007 |
1.0044 |
|
| S3 |
0.9945 |
0.9969 |
1.0038 |
|
| S4 |
0.9883 |
0.9907 |
1.0021 |
|
|
| 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% |
0.0064 |
0.6% |
40% |
False |
False |
66,749 |
| 10 |
1.0122 |
0.9987 |
0.0135 |
1.3% |
0.0065 |
0.6% |
50% |
False |
False |
44,788 |
| 20 |
1.0133 |
0.9926 |
0.0207 |
2.1% |
0.0063 |
0.6% |
62% |
False |
False |
23,257 |
| 40 |
1.0133 |
0.9825 |
0.0308 |
3.1% |
0.0060 |
0.6% |
75% |
False |
False |
11,745 |
| 60 |
1.0133 |
0.9664 |
0.0469 |
4.7% |
0.0062 |
0.6% |
83% |
False |
False |
7,879 |
| 80 |
1.0133 |
0.9484 |
0.0649 |
6.5% |
0.0066 |
0.7% |
88% |
False |
False |
5,949 |
| 100 |
1.0133 |
0.9484 |
0.0649 |
6.5% |
0.0064 |
0.6% |
88% |
False |
False |
4,771 |
| 120 |
1.0133 |
0.9360 |
0.0773 |
7.7% |
0.0062 |
0.6% |
90% |
False |
False |
3,986 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0371 |
|
2.618 |
1.0269 |
|
1.618 |
1.0207 |
|
1.000 |
1.0169 |
|
0.618 |
1.0145 |
|
HIGH |
1.0107 |
|
0.618 |
1.0083 |
|
0.500 |
1.0076 |
|
0.382 |
1.0069 |
|
LOW |
1.0045 |
|
0.618 |
1.0007 |
|
1.000 |
0.9983 |
|
1.618 |
0.9945 |
|
2.618 |
0.9883 |
|
4.250 |
0.9782 |
|
|
| Fisher Pivots for day following 21-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0076 |
1.0067 |
| PP |
1.0069 |
1.0063 |
| S1 |
1.0062 |
1.0059 |
|