CME Canadian Dollar Future March 2011


Trading Metrics calculated at close of trading on 03-Jan-2011
Day Change Summary
Previous Current
31-Dec-2010 03-Jan-2011 Change Change % Previous Week
Open 0.9986 1.0050 0.0064 0.6% 0.9900
High 1.0061 1.0097 0.0036 0.4% 1.0061
Low 0.9977 1.0036 0.0059 0.6% 0.9875
Close 1.0044 1.0067 0.0023 0.2% 1.0044
Range 0.0084 0.0061 -0.0023 -27.4% 0.0186
ATR 0.0082 0.0080 -0.0001 -1.8% 0.0000
Volume 28,955 47,744 18,789 64.9% 200,773
Daily Pivots for day following 03-Jan-2011
Classic Woodie Camarilla DeMark
R4 1.0250 1.0219 1.0101
R3 1.0189 1.0158 1.0084
R2 1.0128 1.0128 1.0078
R1 1.0097 1.0097 1.0073 1.0113
PP 1.0067 1.0067 1.0067 1.0074
S1 1.0036 1.0036 1.0061 1.0052
S2 1.0006 1.0006 1.0056
S3 0.9945 0.9975 1.0050
S4 0.9884 0.9914 1.0033
Weekly Pivots for week ending 31-Dec-2010
Classic Woodie Camarilla DeMark
R4 1.0551 1.0484 1.0146
R3 1.0365 1.0298 1.0095
R2 1.0179 1.0179 1.0078
R1 1.0112 1.0112 1.0061 1.0146
PP 0.9993 0.9993 0.9993 1.0010
S1 0.9926 0.9926 1.0027 0.9960
S2 0.9807 0.9807 1.0010
S3 0.9621 0.9740 0.9993
S4 0.9435 0.9554 0.9942
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0097 0.9914 0.0183 1.8% 0.0070 0.7% 84% True False 40,378
10 1.0097 0.9766 0.0331 3.3% 0.0074 0.7% 91% True False 45,049
20 1.0097 0.9766 0.0331 3.3% 0.0075 0.7% 91% True False 48,546
40 1.0097 0.9701 0.0396 3.9% 0.0087 0.9% 92% True False 24,844
60 1.0097 0.9605 0.0492 4.9% 0.0089 0.9% 94% True False 16,662
80 1.0097 0.9600 0.0497 4.9% 0.0087 0.9% 94% True False 12,541
100 1.0097 0.9338 0.0759 7.5% 0.0082 0.8% 96% True False 10,052
120 1.0097 0.9338 0.0759 7.5% 0.0076 0.8% 96% True False 8,380
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0018
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.0356
2.618 1.0257
1.618 1.0196
1.000 1.0158
0.618 1.0135
HIGH 1.0097
0.618 1.0074
0.500 1.0067
0.382 1.0059
LOW 1.0036
0.618 0.9998
1.000 0.9975
1.618 0.9937
2.618 0.9876
4.250 0.9777
Fisher Pivots for day following 03-Jan-2011
Pivot 1 day 3 day
R1 1.0067 1.0055
PP 1.0067 1.0043
S1 1.0067 1.0031

These figures are updated between 7pm and 10pm EST after a trading day.

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