CME Canadian Dollar Future June 2012
| Trading Metrics calculated at close of trading on 26-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
23-Mar-2012 |
26-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
0.9985 |
0.9995 |
0.0010 |
0.1% |
1.0068 |
| High |
1.0010 |
1.0075 |
0.0065 |
0.6% |
1.0122 |
| Low |
0.9946 |
0.9982 |
0.0036 |
0.4% |
0.9946 |
| Close |
0.9997 |
1.0058 |
0.0061 |
0.6% |
0.9997 |
| Range |
0.0064 |
0.0093 |
0.0029 |
45.3% |
0.0176 |
| ATR |
0.0067 |
0.0069 |
0.0002 |
2.7% |
0.0000 |
| Volume |
89,986 |
77,243 |
-12,743 |
-14.2% |
409,265 |
|
| Daily Pivots for day following 26-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0317 |
1.0281 |
1.0109 |
|
| R3 |
1.0224 |
1.0188 |
1.0084 |
|
| R2 |
1.0131 |
1.0131 |
1.0075 |
|
| R1 |
1.0095 |
1.0095 |
1.0067 |
1.0113 |
| PP |
1.0038 |
1.0038 |
1.0038 |
1.0048 |
| S1 |
1.0002 |
1.0002 |
1.0049 |
1.0020 |
| S2 |
0.9945 |
0.9945 |
1.0041 |
|
| S3 |
0.9852 |
0.9909 |
1.0032 |
|
| S4 |
0.9759 |
0.9816 |
1.0007 |
|
|
| Weekly Pivots for week ending 23-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0550 |
1.0449 |
1.0094 |
|
| R3 |
1.0374 |
1.0273 |
1.0045 |
|
| R2 |
1.0198 |
1.0198 |
1.0029 |
|
| R1 |
1.0097 |
1.0097 |
1.0013 |
1.0060 |
| PP |
1.0022 |
1.0022 |
1.0022 |
1.0003 |
| S1 |
0.9921 |
0.9921 |
0.9981 |
0.9884 |
| S2 |
0.9846 |
0.9846 |
0.9965 |
|
| S3 |
0.9670 |
0.9745 |
0.9949 |
|
| S4 |
0.9494 |
0.9569 |
0.9900 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0113 |
0.9946 |
0.0167 |
1.7% |
0.0084 |
0.8% |
67% |
False |
False |
83,147 |
| 10 |
1.0122 |
0.9946 |
0.0176 |
1.7% |
0.0069 |
0.7% |
64% |
False |
False |
67,530 |
| 20 |
1.0133 |
0.9946 |
0.0187 |
1.9% |
0.0068 |
0.7% |
60% |
False |
False |
36,329 |
| 40 |
1.0133 |
0.9900 |
0.0233 |
2.3% |
0.0062 |
0.6% |
68% |
False |
False |
18,302 |
| 60 |
1.0133 |
0.9664 |
0.0469 |
4.7% |
0.0064 |
0.6% |
84% |
False |
False |
12,261 |
| 80 |
1.0133 |
0.9570 |
0.0563 |
5.6% |
0.0067 |
0.7% |
87% |
False |
False |
9,226 |
| 100 |
1.0133 |
0.9484 |
0.0649 |
6.5% |
0.0065 |
0.6% |
88% |
False |
False |
7,401 |
| 120 |
1.0133 |
0.9360 |
0.0773 |
7.7% |
0.0063 |
0.6% |
90% |
False |
False |
6,177 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0470 |
|
2.618 |
1.0318 |
|
1.618 |
1.0225 |
|
1.000 |
1.0168 |
|
0.618 |
1.0132 |
|
HIGH |
1.0075 |
|
0.618 |
1.0039 |
|
0.500 |
1.0029 |
|
0.382 |
1.0018 |
|
LOW |
0.9982 |
|
0.618 |
0.9925 |
|
1.000 |
0.9889 |
|
1.618 |
0.9832 |
|
2.618 |
0.9739 |
|
4.250 |
0.9587 |
|
|
| Fisher Pivots for day following 26-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0048 |
1.0042 |
| PP |
1.0038 |
1.0026 |
| S1 |
1.0029 |
1.0011 |
|