CME Canadian Dollar Future December 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 1.0000 1.0058 0.0058 0.6% 1.0120
High 1.0066 1.0132 0.0066 0.7% 1.0150
Low 0.9951 1.0004 0.0053 0.5% 1.0000
Close 1.0009 1.0116 0.0107 1.1% 1.0007
Range 0.0115 0.0128 0.0013 11.3% 0.0150
ATR 0.0095 0.0097 0.0002 2.5% 0.0000
Volume 17,725 24,293 6,568 37.1% 25,185
Daily Pivots for day following 13-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0468 1.0420 1.0186
R3 1.0340 1.0292 1.0151
R2 1.0212 1.0212 1.0139
R1 1.0164 1.0164 1.0128 1.0188
PP 1.0084 1.0084 1.0084 1.0096
S1 1.0036 1.0036 1.0104 1.0060
S2 0.9956 0.9956 1.0093
S3 0.9828 0.9908 1.0081
S4 0.9700 0.9780 1.0046
Weekly Pivots for week ending 09-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0502 1.0405 1.0090
R3 1.0352 1.0255 1.0048
R2 1.0202 1.0202 1.0035
R1 1.0105 1.0105 1.0021 1.0079
PP 1.0052 1.0052 1.0052 1.0039
S1 0.9955 0.9955 0.9993 0.9929
S2 0.9902 0.9902 0.9980
S3 0.9752 0.9805 0.9966
S4 0.9602 0.9655 0.9925
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0150 0.9951 0.0199 2.0% 0.0100 1.0% 83% False False 12,810
10 1.0257 0.9951 0.0306 3.0% 0.0091 0.9% 54% False False 7,410
20 1.0257 0.9951 0.0306 3.0% 0.0088 0.9% 54% False False 3,959
40 1.0593 0.9951 0.0642 6.3% 0.0097 1.0% 26% False False 2,237
60 1.0593 0.9951 0.0642 6.3% 0.0092 0.9% 26% False False 1,559
80 1.0593 0.9951 0.0642 6.3% 0.0085 0.8% 26% False False 1,201
100 1.0593 0.9951 0.0642 6.3% 0.0080 0.8% 26% False False 973
120 1.0593 0.9951 0.0642 6.3% 0.0074 0.7% 26% False False 819
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 0.0020
Widest range in 17 trading days
Fibonacci Retracements and Extensions
4.250 1.0676
2.618 1.0467
1.618 1.0339
1.000 1.0260
0.618 1.0211
HIGH 1.0132
0.618 1.0083
0.500 1.0068
0.382 1.0053
LOW 1.0004
0.618 0.9925
1.000 0.9876
1.618 0.9797
2.618 0.9669
4.250 0.9460
Fisher Pivots for day following 13-Sep-2011
Pivot 1 day 3 day
R1 1.0100 1.0091
PP 1.0084 1.0066
S1 1.0068 1.0042

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

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