CME Canadian Dollar Future December 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 |
1.0124 |
1.0081 |
-0.0043 |
-0.4% |
1.0120 |
| High |
1.0136 |
1.0151 |
0.0015 |
0.1% |
1.0150 |
| Low |
1.0040 |
1.0031 |
-0.0009 |
-0.1% |
1.0000 |
| Close |
1.0082 |
1.0143 |
0.0061 |
0.6% |
1.0007 |
| Range |
0.0096 |
0.0120 |
0.0024 |
25.0% |
0.0150 |
| ATR |
0.0097 |
0.0098 |
0.0002 |
1.7% |
0.0000 |
| Volume |
38,634 |
63,049 |
24,415 |
63.2% |
25,185 |
|
| Daily Pivots for day following 15-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0468 |
1.0426 |
1.0209 |
|
| R3 |
1.0348 |
1.0306 |
1.0176 |
|
| R2 |
1.0228 |
1.0228 |
1.0165 |
|
| R1 |
1.0186 |
1.0186 |
1.0154 |
1.0207 |
| PP |
1.0108 |
1.0108 |
1.0108 |
1.0119 |
| S1 |
1.0066 |
1.0066 |
1.0132 |
1.0087 |
| S2 |
0.9988 |
0.9988 |
1.0121 |
|
| S3 |
0.9868 |
0.9946 |
1.0110 |
|
| S4 |
0.9748 |
0.9826 |
1.0077 |
|
|
| 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 |
1.0151 |
0.9951 |
0.0200 |
2.0% |
0.0114 |
1.1% |
96% |
True |
False |
31,175 |
| 10 |
1.0246 |
0.9951 |
0.0295 |
2.9% |
0.0099 |
1.0% |
65% |
False |
False |
17,212 |
| 20 |
1.0257 |
0.9951 |
0.0306 |
3.0% |
0.0092 |
0.9% |
63% |
False |
False |
9,019 |
| 40 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0099 |
1.0% |
30% |
False |
False |
4,770 |
| 60 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0093 |
0.9% |
30% |
False |
False |
3,252 |
| 80 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0086 |
0.8% |
30% |
False |
False |
2,470 |
| 100 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0081 |
0.8% |
30% |
False |
False |
1,989 |
| 120 |
1.0593 |
0.9951 |
0.0642 |
6.3% |
0.0076 |
0.7% |
30% |
False |
False |
1,664 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0661 |
|
2.618 |
1.0465 |
|
1.618 |
1.0345 |
|
1.000 |
1.0271 |
|
0.618 |
1.0225 |
|
HIGH |
1.0151 |
|
0.618 |
1.0105 |
|
0.500 |
1.0091 |
|
0.382 |
1.0077 |
|
LOW |
1.0031 |
|
0.618 |
0.9957 |
|
1.000 |
0.9911 |
|
1.618 |
0.9837 |
|
2.618 |
0.9717 |
|
4.250 |
0.9521 |
|
|
| Fisher Pivots for day following 15-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0126 |
1.0121 |
| PP |
1.0108 |
1.0099 |
| S1 |
1.0091 |
1.0078 |
|