CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 20-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
19-Sep-2011 |
20-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0173 |
1.0082 |
-0.0091 |
-0.9% |
1.0000 |
| High |
1.0183 |
1.0100 |
-0.0083 |
-0.8% |
1.0204 |
| Low |
1.0057 |
1.0031 |
-0.0026 |
-0.3% |
0.9951 |
| Close |
1.0071 |
1.0068 |
-0.0003 |
0.0% |
1.0188 |
| Range |
0.0126 |
0.0069 |
-0.0057 |
-45.2% |
0.0253 |
| ATR |
0.0100 |
0.0098 |
-0.0002 |
-2.2% |
0.0000 |
| Volume |
83,967 |
79,337 |
-4,630 |
-5.5% |
218,856 |
|
| Daily Pivots for day following 20-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0273 |
1.0240 |
1.0106 |
|
| R3 |
1.0204 |
1.0171 |
1.0087 |
|
| R2 |
1.0135 |
1.0135 |
1.0081 |
|
| R1 |
1.0102 |
1.0102 |
1.0074 |
1.0084 |
| PP |
1.0066 |
1.0066 |
1.0066 |
1.0058 |
| S1 |
1.0033 |
1.0033 |
1.0062 |
1.0015 |
| S2 |
0.9997 |
0.9997 |
1.0055 |
|
| S3 |
0.9928 |
0.9964 |
1.0049 |
|
| S4 |
0.9859 |
0.9895 |
1.0030 |
|
|
| 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 |
1.0031 |
0.0173 |
1.7% |
0.0099 |
1.0% |
21% |
False |
True |
68,028 |
| 10 |
1.0204 |
0.9951 |
0.0253 |
2.5% |
0.0099 |
1.0% |
46% |
False |
False |
40,419 |
| 20 |
1.0257 |
0.9951 |
0.0306 |
3.0% |
0.0090 |
0.9% |
38% |
False |
False |
20,832 |
| 40 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0100 |
1.0% |
18% |
False |
False |
10,715 |
| 60 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0094 |
0.9% |
18% |
False |
False |
7,217 |
| 80 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0088 |
0.9% |
18% |
False |
False |
5,448 |
| 100 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0082 |
0.8% |
18% |
False |
False |
4,373 |
| 120 |
1.0593 |
0.9951 |
0.0642 |
6.4% |
0.0077 |
0.8% |
18% |
False |
False |
3,651 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0393 |
|
2.618 |
1.0281 |
|
1.618 |
1.0212 |
|
1.000 |
1.0169 |
|
0.618 |
1.0143 |
|
HIGH |
1.0100 |
|
0.618 |
1.0074 |
|
0.500 |
1.0066 |
|
0.382 |
1.0057 |
|
LOW |
1.0031 |
|
0.618 |
0.9988 |
|
1.000 |
0.9962 |
|
1.618 |
0.9919 |
|
2.618 |
0.9850 |
|
4.250 |
0.9738 |
|
|
| Fisher Pivots for day following 20-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0067 |
1.0118 |
| PP |
1.0066 |
1.0101 |
| S1 |
1.0066 |
1.0085 |
|