CME Canadian Dollar Future September 2011


Trading Metrics calculated at close of trading on 13-Sep-2011
Day Change Summary
Previous Current
12-Sep-2011 13-Sep-2011 Change Change % Previous Week
Open 1.0028 1.0070 0.0042 0.4% 1.0138
High 1.0083 1.0150 0.0067 0.7% 1.0170
Low 0.9967 1.0021 0.0054 0.5% 1.0019
Close 1.0027 1.0134 0.0107 1.1% 1.0025
Range 0.0116 0.0129 0.0013 11.2% 0.0151
ATR 0.0101 0.0103 0.0002 2.0% 0.0000
Volume 115,795 106,890 -8,905 -7.7% 395,582
Daily Pivots for day following 13-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0489 1.0440 1.0205
R3 1.0360 1.0311 1.0169
R2 1.0231 1.0231 1.0158
R1 1.0182 1.0182 1.0146 1.0207
PP 1.0102 1.0102 1.0102 1.0114
S1 1.0053 1.0053 1.0122 1.0078
S2 0.9973 0.9973 1.0110
S3 0.9844 0.9924 1.0099
S4 0.9715 0.9795 1.0063
Weekly Pivots for week ending 09-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0524 1.0426 1.0108
R3 1.0373 1.0275 1.0067
R2 1.0222 1.0222 1.0053
R1 1.0124 1.0124 1.0039 1.0098
PP 1.0071 1.0071 1.0071 1.0058
S1 0.9973 0.9973 1.0011 0.9947
S2 0.9920 0.9920 0.9997
S3 0.9769 0.9822 0.9983
S4 0.9618 0.9671 0.9942
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0170 0.9967 0.0203 2.0% 0.0102 1.0% 82% False False 95,589
10 1.0278 0.9967 0.0311 3.1% 0.0094 0.9% 54% False False 91,287
20 1.0278 0.9967 0.0311 3.1% 0.0095 0.9% 54% False False 86,523
40 1.0617 0.9967 0.0650 6.4% 0.0108 1.1% 26% False False 97,325
60 1.0617 0.9967 0.0650 6.4% 0.0104 1.0% 26% False False 90,812
80 1.0617 0.9967 0.0650 6.4% 0.0100 1.0% 26% False False 77,068
100 1.0617 0.9967 0.0650 6.4% 0.0098 1.0% 26% False False 61,731
120 1.0617 0.9967 0.0650 6.4% 0.0093 0.9% 26% False False 51,466
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0022
Widest range in 17 trading days
Fibonacci Retracements and Extensions
4.250 1.0698
2.618 1.0488
1.618 1.0359
1.000 1.0279
0.618 1.0230
HIGH 1.0150
0.618 1.0101
0.500 1.0086
0.382 1.0070
LOW 1.0021
0.618 0.9941
1.000 0.9892
1.618 0.9812
2.618 0.9683
4.250 0.9473
Fisher Pivots for day following 13-Sep-2011
Pivot 1 day 3 day
R1 1.0118 1.0109
PP 1.0102 1.0084
S1 1.0086 1.0059

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

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