CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 14-Oct-2011
Day Change Summary
Previous Current
13-Oct-2011 14-Oct-2011 Change Change % Previous Week
Open 0.9802 0.9782 -0.0020 -0.2% 0.9618
High 0.9823 0.9887 0.0064 0.7% 0.9887
Low 0.9719 0.9756 0.0037 0.4% 0.9611
Close 0.9802 0.9871 0.0069 0.7% 0.9871
Range 0.0104 0.0131 0.0027 26.0% 0.0276
ATR 0.0133 0.0133 0.0000 -0.1% 0.0000
Volume 80,486 75,384 -5,102 -6.3% 373,077
Daily Pivots for day following 14-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.0231 1.0182 0.9943
R3 1.0100 1.0051 0.9907
R2 0.9969 0.9969 0.9895
R1 0.9920 0.9920 0.9883 0.9945
PP 0.9838 0.9838 0.9838 0.9850
S1 0.9789 0.9789 0.9859 0.9814
S2 0.9707 0.9707 0.9847
S3 0.9576 0.9658 0.9835
S4 0.9445 0.9527 0.9799
Weekly Pivots for week ending 14-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.0618 1.0520 1.0023
R3 1.0342 1.0244 0.9947
R2 1.0066 1.0066 0.9922
R1 0.9968 0.9968 0.9896 1.0017
PP 0.9790 0.9790 0.9790 0.9814
S1 0.9692 0.9692 0.9846 0.9741
S2 0.9514 0.9514 0.9820
S3 0.9238 0.9416 0.9795
S4 0.8962 0.9140 0.9719
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 0.9887 0.9611 0.0276 2.8% 0.0126 1.3% 94% True False 74,615
10 0.9887 0.9367 0.0520 5.3% 0.0130 1.3% 97% True False 95,130
20 1.0183 0.9367 0.0816 8.3% 0.0141 1.4% 62% False False 107,223
40 1.0257 0.9367 0.0890 9.0% 0.0115 1.2% 57% False False 59,985
60 1.0593 0.9367 0.1226 12.4% 0.0114 1.2% 41% False False 40,171
80 1.0593 0.9367 0.1226 12.4% 0.0106 1.1% 41% False False 30,182
100 1.0593 0.9367 0.1226 12.4% 0.0098 1.0% 41% False False 24,171
120 1.0593 0.9367 0.1226 12.4% 0.0092 0.9% 41% False False 20,154
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 0.0028
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1.0444
2.618 1.0230
1.618 1.0099
1.000 1.0018
0.618 0.9968
HIGH 0.9887
0.618 0.9837
0.500 0.9822
0.382 0.9806
LOW 0.9756
0.618 0.9675
1.000 0.9625
1.618 0.9544
2.618 0.9413
4.250 0.9199
Fisher Pivots for day following 14-Oct-2011
Pivot 1 day 3 day
R1 0.9855 0.9840
PP 0.9838 0.9808
S1 0.9822 0.9777

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

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