CME Canadian Dollar Future December 2011

Trading Metrics calculated at close of trading on 19-Oct-2011

Day Change Summary
	Previous	Current
	18-Oct-2011	19-Oct-2011	Change	Change %	Previous Week
Open	0.9760	0.9838	0.0078	0.8%	0.9618
High	0.9875	0.9901	0.0026	0.3%	0.9887
Low	0.9727	0.9773	0.0046	0.5%	0.9611
Close	0.9817	0.9796	-0.0021	-0.2%	0.9871
Range	0.0148	0.0128	-0.0020	-13.5%	0.0276
ATR	0.0138	0.0137	-0.0001	-0.5%	0.0000
Volume	103,391	82,397	-20,994	-20.3%	373,077

Daily Pivots for day following 19-Oct-2011
	Classic	Woodie	Camarilla	DeMark
R4	1.0207	1.0130	0.9866
R3	1.0079	1.0002	0.9831
R2	0.9951	0.9951	0.9819
R1	0.9874	0.9874	0.9808	0.9849
PP	0.9823	0.9823	0.9823	0.9811
S1	0.9746	0.9746	0.9784	0.9721
S2	0.9695	0.9695	0.9773
S3	0.9567	0.9618	0.9761
S4	0.9439	0.9490	0.9726

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	0.9941	0.9719	0.0222	2.3%	0.0140	1.4%	35%	False	False	84,089
10	0.9941	0.9523	0.0418	4.3%	0.0137	1.4%	65%	False	False	85,124
20	0.9941	0.9367	0.0574	5.9%	0.0146	1.5%	75%	False	False	106,272
40	1.0257	0.9367	0.0890	9.1%	0.0121	1.2%	48%	False	False	66,552
60	1.0587	0.9367	0.1220	12.5%	0.0117	1.2%	35%	False	False	44,570
80	1.0593	0.9367	0.1226	12.5%	0.0109	1.1%	35%	False	False	33,483
100	1.0593	0.9367	0.1226	12.5%	0.0101	1.0%	35%	False	False	26,815
120	1.0593	0.9367	0.1226	12.5%	0.0094	1.0%	35%	False	False	22,358

Crabel Price Patterns
NR	True
NR4	True
NR5	False
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	0.0034
Narrowest range in 4 trading days

Fibonacci Retracements and Extensions
4.250	1.0445
2.618	1.0236
1.618	1.0108
1.000	1.0029
0.618	0.9980
HIGH	0.9901
0.618	0.9852
0.500	0.9837
0.382	0.9822
LOW	0.9773
0.618	0.9694
1.000	0.9645
1.618	0.9566
2.618	0.9438
4.250	0.9229

Fisher Pivots for day following 19-Oct-2011
Pivot	1 day	3 day
R1	0.9837	0.9834
PP	0.9823	0.9821
S1	0.9810	0.9809

Download as Excel Spreadsheet

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

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