CME Australian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 21-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Sep-2011 |
21-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0104 |
1.0157 |
0.0053 |
0.5% |
1.0316 |
| High |
1.0202 |
1.0183 |
-0.0019 |
-0.2% |
1.0319 |
| Low |
1.0041 |
0.9925 |
-0.0116 |
-1.2% |
1.0066 |
| Close |
1.0165 |
1.0024 |
-0.0141 |
-1.4% |
1.0265 |
| Range |
0.0161 |
0.0258 |
0.0097 |
60.2% |
0.0253 |
| ATR |
0.0144 |
0.0152 |
0.0008 |
5.6% |
0.0000 |
| Volume |
117,708 |
148,096 |
30,388 |
25.8% |
275,040 |
|
| Daily Pivots for day following 21-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0818 |
1.0679 |
1.0166 |
|
| R3 |
1.0560 |
1.0421 |
1.0095 |
|
| R2 |
1.0302 |
1.0302 |
1.0071 |
|
| R1 |
1.0163 |
1.0163 |
1.0048 |
1.0104 |
| PP |
1.0044 |
1.0044 |
1.0044 |
1.0014 |
| S1 |
0.9905 |
0.9905 |
1.0000 |
0.9846 |
| S2 |
0.9786 |
0.9786 |
0.9977 |
|
| S3 |
0.9528 |
0.9647 |
0.9953 |
|
| S4 |
0.9270 |
0.9389 |
0.9882 |
|
|
| Weekly Pivots for week ending 16-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0976 |
1.0873 |
1.0404 |
|
| R3 |
1.0723 |
1.0620 |
1.0335 |
|
| R2 |
1.0470 |
1.0470 |
1.0311 |
|
| R1 |
1.0367 |
1.0367 |
1.0288 |
1.0292 |
| PP |
1.0217 |
1.0217 |
1.0217 |
1.0179 |
| S1 |
1.0114 |
1.0114 |
1.0242 |
1.0039 |
| S2 |
0.9964 |
0.9964 |
1.0219 |
|
| S3 |
0.9711 |
0.9861 |
1.0195 |
|
| S4 |
0.9458 |
0.9608 |
1.0126 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0285 |
0.9925 |
0.0360 |
3.6% |
0.0167 |
1.7% |
28% |
False |
True |
111,317 |
| 10 |
1.0533 |
0.9925 |
0.0608 |
6.1% |
0.0163 |
1.6% |
16% |
False |
True |
67,732 |
| 20 |
1.0630 |
0.9925 |
0.0705 |
7.0% |
0.0135 |
1.3% |
14% |
False |
True |
35,230 |
| 40 |
1.0875 |
0.9795 |
0.1080 |
10.8% |
0.0145 |
1.4% |
21% |
False |
False |
17,710 |
| 60 |
1.0875 |
0.9795 |
0.1080 |
10.8% |
0.0125 |
1.2% |
21% |
False |
False |
11,836 |
| 80 |
1.0875 |
0.9795 |
0.1080 |
10.8% |
0.0106 |
1.1% |
21% |
False |
False |
8,888 |
| 100 |
1.0875 |
0.9795 |
0.1080 |
10.8% |
0.0085 |
0.9% |
21% |
False |
False |
7,112 |
| 120 |
1.0875 |
0.9795 |
0.1080 |
10.8% |
0.0071 |
0.7% |
21% |
False |
False |
5,927 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.1280 |
|
2.618 |
1.0858 |
|
1.618 |
1.0600 |
|
1.000 |
1.0441 |
|
0.618 |
1.0342 |
|
HIGH |
1.0183 |
|
0.618 |
1.0084 |
|
0.500 |
1.0054 |
|
0.382 |
1.0024 |
|
LOW |
0.9925 |
|
0.618 |
0.9766 |
|
1.000 |
0.9667 |
|
1.618 |
0.9508 |
|
2.618 |
0.9250 |
|
4.250 |
0.8829 |
|
|
| Fisher Pivots for day following 21-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0054 |
1.0065 |
| PP |
1.0044 |
1.0051 |
| S1 |
1.0034 |
1.0038 |
|