CME Canadian Dollar Future September 2011


Trading Metrics calculated at close of trading on 15-Sep-2011
Day Change Summary
Previous Current
14-Sep-2011 15-Sep-2011 Change Change % Previous Week
Open 1.0137 1.0097 -0.0040 -0.4% 1.0138
High 1.0155 1.0172 0.0017 0.2% 1.0170
Low 1.0058 1.0049 -0.0009 -0.1% 1.0019
Close 1.0101 1.0163 0.0062 0.6% 1.0025
Range 0.0097 0.0123 0.0026 26.8% 0.0151
ATR 0.0103 0.0104 0.0001 1.4% 0.0000
Volume 106,386 66,793 -39,593 -37.2% 395,582
Daily Pivots for day following 15-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0497 1.0453 1.0231
R3 1.0374 1.0330 1.0197
R2 1.0251 1.0251 1.0186
R1 1.0207 1.0207 1.0174 1.0229
PP 1.0128 1.0128 1.0128 1.0139
S1 1.0084 1.0084 1.0152 1.0106
S2 1.0005 1.0005 1.0140
S3 0.9882 0.9961 1.0129
S4 0.9759 0.9838 1.0095
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 1.0172 0.9967 0.0205 2.0% 0.0115 1.1% 96% True False 99,639
10 1.0267 0.9967 0.0300 3.0% 0.0102 1.0% 65% False False 94,435
20 1.0278 0.9967 0.0311 3.1% 0.0098 1.0% 63% False False 88,166
40 1.0617 0.9967 0.0650 6.4% 0.0109 1.1% 30% False False 97,775
60 1.0617 0.9967 0.0650 6.4% 0.0105 1.0% 30% False False 91,447
80 1.0617 0.9967 0.0650 6.4% 0.0101 1.0% 30% False False 79,216
100 1.0617 0.9967 0.0650 6.4% 0.0099 1.0% 30% False False 63,458
120 1.0617 0.9967 0.0650 6.4% 0.0093 0.9% 30% False False 52,908
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0026
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.0695
2.618 1.0494
1.618 1.0371
1.000 1.0295
0.618 1.0248
HIGH 1.0172
0.618 1.0125
0.500 1.0111
0.382 1.0096
LOW 1.0049
0.618 0.9973
1.000 0.9926
1.618 0.9850
2.618 0.9727
4.250 0.9526
Fisher Pivots for day following 15-Sep-2011
Pivot 1 day 3 day
R1 1.0146 1.0141
PP 1.0128 1.0119
S1 1.0111 1.0097

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

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