CME Canadian Dollar Future December 2011


Trading Metrics calculated at close of trading on 20-Oct-2011
Day Change Summary
Previous Current
19-Oct-2011 20-Oct-2011 Change Change % Previous Week
Open 0.9838 0.9795 -0.0043 -0.4% 0.9618
High 0.9901 0.9856 -0.0045 -0.5% 0.9887
Low 0.9773 0.9745 -0.0028 -0.3% 0.9611
Close 0.9796 0.9848 0.0052 0.5% 0.9871
Range 0.0128 0.0111 -0.0017 -13.3% 0.0276
ATR 0.0137 0.0135 -0.0002 -1.4% 0.0000
Volume 82,397 107,723 25,326 30.7% 373,077
Daily Pivots for day following 20-Oct-2011
Classic Woodie Camarilla DeMark
R4 1.0149 1.0110 0.9909
R3 1.0038 0.9999 0.9879
R2 0.9927 0.9927 0.9868
R1 0.9888 0.9888 0.9858 0.9908
PP 0.9816 0.9816 0.9816 0.9826
S1 0.9777 0.9777 0.9838 0.9797
S2 0.9705 0.9705 0.9828
S3 0.9594 0.9666 0.9817
S4 0.9483 0.9555 0.9787
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 0.9727 0.0214 2.2% 0.0141 1.4% 57% False False 89,536
10 0.9941 0.9583 0.0358 3.6% 0.0138 1.4% 74% False False 85,267
20 0.9941 0.9367 0.0574 5.8% 0.0136 1.4% 84% False False 102,502
40 1.0257 0.9367 0.0890 9.0% 0.0122 1.2% 54% False False 69,237
60 1.0535 0.9367 0.1168 11.9% 0.0117 1.2% 41% False False 46,361
80 1.0593 0.9367 0.1226 12.4% 0.0109 1.1% 39% False False 34,826
100 1.0593 0.9367 0.1226 12.4% 0.0101 1.0% 39% False False 27,892
120 1.0593 0.9367 0.1226 12.4% 0.0094 1.0% 39% False False 23,255
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 0.0036
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1.0328
2.618 1.0147
1.618 1.0036
1.000 0.9967
0.618 0.9925
HIGH 0.9856
0.618 0.9814
0.500 0.9801
0.382 0.9787
LOW 0.9745
0.618 0.9676
1.000 0.9634
1.618 0.9565
2.618 0.9454
4.250 0.9273
Fisher Pivots for day following 20-Oct-2011
Pivot 1 day 3 day
R1 0.9832 0.9837
PP 0.9816 0.9825
S1 0.9801 0.9814

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

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