CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 28-Oct-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Oct-2011 |
28-Oct-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9938 |
1.0068 |
0.0130 |
1.3% |
0.9893 |
| High |
1.0097 |
1.0094 |
-0.0003 |
0.0% |
1.0097 |
| Low |
0.9924 |
1.0017 |
0.0093 |
0.9% |
0.9778 |
| Close |
1.0081 |
1.0053 |
-0.0028 |
-0.3% |
1.0053 |
| Range |
0.0173 |
0.0077 |
-0.0096 |
-55.5% |
0.0319 |
| ATR |
0.0139 |
0.0134 |
-0.0004 |
-3.2% |
0.0000 |
| Volume |
95,337 |
59,695 |
-35,642 |
-37.4% |
431,799 |
|
| Daily Pivots for day following 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0286 |
1.0246 |
1.0095 |
|
| R3 |
1.0209 |
1.0169 |
1.0074 |
|
| R2 |
1.0132 |
1.0132 |
1.0067 |
|
| R1 |
1.0092 |
1.0092 |
1.0060 |
1.0074 |
| PP |
1.0055 |
1.0055 |
1.0055 |
1.0045 |
| S1 |
1.0015 |
1.0015 |
1.0046 |
0.9997 |
| S2 |
0.9978 |
0.9978 |
1.0039 |
|
| S3 |
0.9901 |
0.9938 |
1.0032 |
|
| S4 |
0.9824 |
0.9861 |
1.0011 |
|
|
| Weekly Pivots for week ending 28-Oct-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0933 |
1.0812 |
1.0228 |
|
| R3 |
1.0614 |
1.0493 |
1.0141 |
|
| R2 |
1.0295 |
1.0295 |
1.0111 |
|
| R1 |
1.0174 |
1.0174 |
1.0082 |
1.0235 |
| PP |
0.9976 |
0.9976 |
0.9976 |
1.0006 |
| S1 |
0.9855 |
0.9855 |
1.0024 |
0.9916 |
| S2 |
0.9657 |
0.9657 |
0.9995 |
|
| S3 |
0.9338 |
0.9536 |
0.9965 |
|
| S4 |
0.9019 |
0.9217 |
0.9878 |
|
|
| 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% |
0.0137 |
1.4% |
86% |
False |
False |
86,359 |
| 10 |
1.0097 |
0.9727 |
0.0370 |
3.7% |
0.0138 |
1.4% |
88% |
False |
False |
87,759 |
| 20 |
1.0097 |
0.9367 |
0.0730 |
7.3% |
0.0134 |
1.3% |
94% |
False |
False |
91,445 |
| 40 |
1.0228 |
0.9367 |
0.0861 |
8.6% |
0.0130 |
1.3% |
80% |
False |
False |
81,689 |
| 60 |
1.0257 |
0.9367 |
0.0890 |
8.9% |
0.0120 |
1.2% |
77% |
False |
False |
54,761 |
| 80 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0113 |
1.1% |
56% |
False |
False |
41,130 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0106 |
1.1% |
56% |
False |
False |
32,932 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.2% |
0.0098 |
1.0% |
56% |
False |
False |
27,461 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0421 |
|
2.618 |
1.0296 |
|
1.618 |
1.0219 |
|
1.000 |
1.0171 |
|
0.618 |
1.0142 |
|
HIGH |
1.0094 |
|
0.618 |
1.0065 |
|
0.500 |
1.0056 |
|
0.382 |
1.0046 |
|
LOW |
1.0017 |
|
0.618 |
0.9969 |
|
1.000 |
0.9940 |
|
1.618 |
0.9892 |
|
2.618 |
0.9815 |
|
4.250 |
0.9690 |
|
|
| Fisher Pivots for day following 28-Oct-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0056 |
1.0021 |
| PP |
1.0055 |
0.9988 |
| S1 |
1.0054 |
0.9956 |
|