CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 16-Sep-2011
Day Change Summary
Previous Current
15-Sep-2011 16-Sep-2011 Change Change % Previous Week
Open 1.0081 1.0148 0.0067 0.7% 1.0000
High 1.0151 1.0204 0.0053 0.5% 1.0204
Low 1.0031 1.0121 0.0090 0.9% 0.9951
Close 1.0143 1.0188 0.0045 0.4% 1.0188
Range 0.0120 0.0083 -0.0037 -30.8% 0.0253
ATR 0.0098 0.0097 -0.0001 -1.1% 0.0000
Volume 63,049 75,155 12,106 19.2% 218,856
Daily Pivots for day following 16-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0420 1.0387 1.0234
R3 1.0337 1.0304 1.0211
R2 1.0254 1.0254 1.0203
R1 1.0221 1.0221 1.0196 1.0238
PP 1.0171 1.0171 1.0171 1.0179
S1 1.0138 1.0138 1.0180 1.0155
S2 1.0088 1.0088 1.0173
S3 1.0005 1.0055 1.0165
S4 0.9922 0.9972 1.0142
Weekly Pivots for week ending 16-Sep-2011
Classic Woodie Camarilla DeMark
R4 1.0873 1.0784 1.0327
R3 1.0620 1.0531 1.0258
R2 1.0367 1.0367 1.0234
R1 1.0278 1.0278 1.0211 1.0323
PP 1.0114 1.0114 1.0114 1.0137
S1 1.0025 1.0025 1.0165 1.0070
S2 0.9861 0.9861 1.0142
S3 0.9608 0.9772 1.0118
S4 0.9355 0.9519 1.0049
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1.0204 0.9951 0.0253 2.5% 0.0108 1.1% 94% True False 43,771
10 1.0228 0.9951 0.0277 2.7% 0.0101 1.0% 86% False False 24,552
20 1.0257 0.9951 0.0306 3.0% 0.0089 0.9% 77% False False 12,748
40 1.0593 0.9951 0.0642 6.3% 0.0100 1.0% 37% False False 6,645
60 1.0593 0.9951 0.0642 6.3% 0.0094 0.9% 37% False False 4,502
80 1.0593 0.9951 0.0642 6.3% 0.0087 0.9% 37% False False 3,408
100 1.0593 0.9951 0.0642 6.3% 0.0082 0.8% 37% False False 2,740
120 1.0593 0.9951 0.0642 6.3% 0.0076 0.7% 37% False False 2,290
Crabel Price Patterns
NR True
NR4 True
NR5 True
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 0.0025
Narrowest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1.0557
2.618 1.0421
1.618 1.0338
1.000 1.0287
0.618 1.0255
HIGH 1.0204
0.618 1.0172
0.500 1.0163
0.382 1.0153
LOW 1.0121
0.618 1.0070
1.000 1.0038
1.618 0.9987
2.618 0.9904
4.250 0.9768
Fisher Pivots for day following 16-Sep-2011
Pivot 1 day 3 day
R1 1.0180 1.0165
PP 1.0171 1.0141
S1 1.0163 1.0118

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

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