CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 29-Aug-2011
Day Change Summary
Previous Current
26-Aug-2011 29-Aug-2011 Change Change % Previous Week
Open 1.0104 1.0161 0.0057 0.6% 1.0068
High 1.0165 1.0241 0.0076 0.7% 1.0185
Low 1.0053 1.0159 0.0106 1.1% 1.0053
Close 1.0128 1.0194 0.0066 0.7% 1.0128
Range 0.0112 0.0082 -0.0030 -26.8% 0.0132
ATR 0.0099 0.0100 0.0001 1.0% 0.0000
Volume 381 1,103 722 189.5% 1,764
Daily Pivots for day following 29-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0444 1.0401 1.0239
R3 1.0362 1.0319 1.0217
R2 1.0280 1.0280 1.0209
R1 1.0237 1.0237 1.0202 1.0259
PP 1.0198 1.0198 1.0198 1.0209
S1 1.0155 1.0155 1.0186 1.0177
S2 1.0116 1.0116 1.0179
S3 1.0034 1.0073 1.0171
S4 0.9952 0.9991 1.0149
Weekly Pivots for week ending 26-Aug-2011
Classic Woodie Camarilla DeMark
R4 1.0518 1.0455 1.0201
R3 1.0386 1.0323 1.0164
R2 1.0254 1.0254 1.0152
R1 1.0191 1.0191 1.0140 1.0223
PP 1.0122 1.0122 1.0122 1.0138
S1 1.0059 1.0059 1.0116 1.0091
S2 0.9990 0.9990 1.0104
S3 0.9858 0.9927 1.0092
S4 0.9726 0.9795 1.0055
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0241 1.0053 0.0188 1.8% 0.0080 0.8% 75% True False 482
10 1.0241 1.0039 0.0202 2.0% 0.0086 0.8% 77% True False 508
20 1.0429 0.9967 0.0462 4.5% 0.0108 1.1% 49% False False 669
40 1.0593 0.9967 0.0626 6.1% 0.0096 0.9% 36% False False 443
60 1.0593 0.9967 0.0626 6.1% 0.0089 0.9% 36% False False 347
80 1.0593 0.9967 0.0626 6.1% 0.0082 0.8% 36% False False 284
100 1.0593 0.9967 0.0626 6.1% 0.0077 0.8% 36% False False 236
120 1.0593 0.9967 0.0626 6.1% 0.0072 0.7% 36% False False 204
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 0.0010
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1.0590
2.618 1.0456
1.618 1.0374
1.000 1.0323
0.618 1.0292
HIGH 1.0241
0.618 1.0210
0.500 1.0200
0.382 1.0190
LOW 1.0159
0.618 1.0108
1.000 1.0077
1.618 1.0026
2.618 0.9944
4.250 0.9811
Fisher Pivots for day following 29-Aug-2011
Pivot 1 day 3 day
R1 1.0200 1.0178
PP 1.0198 1.0163
S1 1.0196 1.0147

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

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