CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 27-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Oct-2011 |
27-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9831 |
0.9938 |
0.0107 |
1.1% |
0.9878 |
| High |
0.9951 |
1.0097 |
0.0146 |
1.5% |
0.9941 |
| Low |
0.9814 |
0.9924 |
0.0110 |
1.1% |
0.9727 |
| Close |
0.9924 |
1.0081 |
0.0157 |
1.6% |
0.9893 |
| Range |
0.0137 |
0.0173 |
0.0036 |
26.3% |
0.0214 |
| ATR |
0.0136 |
0.0139 |
0.0003 |
1.9% |
0.0000 |
| Volume |
95,965 |
95,337 |
-628 |
-0.7% |
445,797 |
|
| Daily Pivots for day following 27-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0553 |
1.0490 |
1.0176 |
|
| R3 |
1.0380 |
1.0317 |
1.0129 |
|
| R2 |
1.0207 |
1.0207 |
1.0113 |
|
| R1 |
1.0144 |
1.0144 |
1.0097 |
1.0176 |
| PP |
1.0034 |
1.0034 |
1.0034 |
1.0050 |
| S1 |
0.9971 |
0.9971 |
1.0065 |
1.0003 |
| S2 |
0.9861 |
0.9861 |
1.0049 |
|
| S3 |
0.9688 |
0.9798 |
1.0033 |
|
| S4 |
0.9515 |
0.9625 |
0.9986 |
|
|
| Weekly Pivots for week ending 21-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0496 |
1.0408 |
1.0011 |
|
| R3 |
1.0282 |
1.0194 |
0.9952 |
|
| R2 |
1.0068 |
1.0068 |
0.9932 |
|
| R1 |
0.9980 |
0.9980 |
0.9913 |
1.0024 |
| PP |
0.9854 |
0.9854 |
0.9854 |
0.9876 |
| S1 |
0.9766 |
0.9766 |
0.9873 |
0.9810 |
| S2 |
0.9640 |
0.9640 |
0.9854 |
|
| S3 |
0.9426 |
0.9552 |
0.9834 |
|
| S4 |
0.9212 |
0.9338 |
0.9775 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0097 |
0.9778 |
0.0319 |
3.2% |
0.0145 |
1.4% |
95% |
True |
False |
89,120 |
| 10 |
1.0097 |
0.9727 |
0.0370 |
3.7% |
0.0143 |
1.4% |
96% |
True |
False |
89,328 |
| 20 |
1.0097 |
0.9367 |
0.0730 |
7.2% |
0.0137 |
1.4% |
98% |
True |
False |
94,444 |
| 40 |
1.0246 |
0.9367 |
0.0879 |
8.7% |
0.0130 |
1.3% |
81% |
False |
False |
80,241 |
| 60 |
1.0378 |
0.9367 |
0.1011 |
10.0% |
0.0122 |
1.2% |
71% |
False |
False |
53,773 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0114 |
1.1% |
58% |
False |
False |
40,385 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0106 |
1.0% |
58% |
False |
False |
32,338 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0097 |
1.0% |
58% |
False |
False |
26,964 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0832 |
|
2.618 |
1.0550 |
|
1.618 |
1.0377 |
|
1.000 |
1.0270 |
|
0.618 |
1.0204 |
|
HIGH |
1.0097 |
|
0.618 |
1.0031 |
|
0.500 |
1.0011 |
|
0.382 |
0.9990 |
|
LOW |
0.9924 |
|
0.618 |
0.9817 |
|
1.000 |
0.9751 |
|
1.618 |
0.9644 |
|
2.618 |
0.9471 |
|
4.250 |
0.9189 |
|
|
| Fisher Pivots for day following 27-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0058 |
1.0033 |
| PP |
1.0034 |
0.9985 |
| S1 |
1.0011 |
0.9938 |
|