CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 16-Aug-2011
Day Change Summary
Previous Current
15-Aug-2011 16-Aug-2011 Change Change % Previous Week
Open 1.0102 1.0165 0.0063 0.6% 1.0150
High 1.0180 1.0170 -0.0010 -0.1% 1.0200
Low 1.0072 1.0108 0.0036 0.4% 0.9967
Close 1.0166 1.0146 -0.0020 -0.2% 1.0072
Range 0.0108 0.0062 -0.0046 -42.6% 0.0233
ATR 0.0110 0.0107 -0.0003 -3.1% 0.0000
Volume 342 324 -18 -5.3% 5,467
Daily Pivots for day following 16-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0327 1.0299 1.0180
R3 1.0265 1.0237 1.0163
R2 1.0203 1.0203 1.0157
R1 1.0175 1.0175 1.0152 1.0158
PP 1.0141 1.0141 1.0141 1.0133
S1 1.0113 1.0113 1.0140 1.0096
S2 1.0079 1.0079 1.0135
S3 1.0017 1.0051 1.0129
S4 0.9955 0.9989 1.0112
Weekly Pivots for week ending 12-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0779 1.0658 1.0200
R3 1.0546 1.0425 1.0136
R2 1.0313 1.0313 1.0115
R1 1.0192 1.0192 1.0093 1.0136
PP 1.0080 1.0080 1.0080 1.0052
S1 0.9959 0.9959 1.0051 0.9903
S2 0.9847 0.9847 1.0029
S3 0.9614 0.9726 1.0008
S4 0.9381 0.9493 0.9944
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0180 1.0009 0.0171 1.7% 0.0104 1.0% 80% False False 866
10 1.0420 0.9967 0.0453 4.5% 0.0131 1.3% 40% False False 847
20 1.0593 0.9967 0.0626 6.2% 0.0105 1.0% 29% False False 523
40 1.0593 0.9967 0.0626 6.2% 0.0094 0.9% 29% False False 366
60 1.0593 0.9967 0.0626 6.2% 0.0084 0.8% 29% False False 286
80 1.0593 0.9967 0.0626 6.2% 0.0078 0.8% 29% False False 230
100 1.0593 0.9967 0.0626 6.2% 0.0072 0.7% 29% False False 192
120 1.0593 0.9967 0.0626 6.2% 0.0067 0.7% 29% False False 169
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 0.0031
Narrowest range in 10 trading days
Fibonacci Retracements and Extensions
4.250 1.0434
2.618 1.0332
1.618 1.0270
1.000 1.0232
0.618 1.0208
HIGH 1.0170
0.618 1.0146
0.500 1.0139
0.382 1.0132
LOW 1.0108
0.618 1.0070
1.000 1.0046
1.618 1.0008
2.618 0.9946
4.250 0.9845
Fisher Pivots for day following 16-Aug-2011
Pivot 1 day 3 day
R1 1.0144 1.0137
PP 1.0141 1.0129
S1 1.0139 1.0120

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

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