CME Canadian Dollar Future December 2011
| Trading Metrics calculated at close of trading on 30-Nov-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
29-Nov-2011 |
30-Nov-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9657 |
0.9700 |
0.0043 |
0.4% |
0.9724 |
| High |
0.9742 |
0.9874 |
0.0132 |
1.4% |
0.9726 |
| Low |
0.9644 |
0.9645 |
0.0001 |
0.0% |
0.9497 |
| Close |
0.9702 |
0.9801 |
0.0099 |
1.0% |
0.9523 |
| Range |
0.0098 |
0.0229 |
0.0131 |
133.7% |
0.0229 |
| ATR |
0.0120 |
0.0127 |
0.0008 |
6.5% |
0.0000 |
| Volume |
67,738 |
116,078 |
48,340 |
71.4% |
268,735 |
|
| Daily Pivots for day following 30-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0460 |
1.0360 |
0.9927 |
|
| R3 |
1.0231 |
1.0131 |
0.9864 |
|
| R2 |
1.0002 |
1.0002 |
0.9843 |
|
| R1 |
0.9902 |
0.9902 |
0.9822 |
0.9952 |
| PP |
0.9773 |
0.9773 |
0.9773 |
0.9799 |
| S1 |
0.9673 |
0.9673 |
0.9780 |
0.9723 |
| S2 |
0.9544 |
0.9544 |
0.9759 |
|
| S3 |
0.9315 |
0.9444 |
0.9738 |
|
| S4 |
0.9086 |
0.9215 |
0.9675 |
|
|
| Weekly Pivots for week ending 25-Nov-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0269 |
1.0125 |
0.9649 |
|
| R3 |
1.0040 |
0.9896 |
0.9586 |
|
| R2 |
0.9811 |
0.9811 |
0.9565 |
|
| R1 |
0.9667 |
0.9667 |
0.9544 |
0.9625 |
| PP |
0.9582 |
0.9582 |
0.9582 |
0.9561 |
| S1 |
0.9438 |
0.9438 |
0.9502 |
0.9396 |
| S2 |
0.9353 |
0.9353 |
0.9481 |
|
| S3 |
0.9124 |
0.9209 |
0.9460 |
|
| S4 |
0.8895 |
0.8980 |
0.9397 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
0.9874 |
0.9497 |
0.0377 |
3.8% |
0.0139 |
1.4% |
81% |
True |
False |
76,745 |
| 10 |
0.9874 |
0.9497 |
0.0377 |
3.8% |
0.0119 |
1.2% |
81% |
True |
False |
74,110 |
| 20 |
0.9935 |
0.9497 |
0.0438 |
4.5% |
0.0119 |
1.2% |
69% |
False |
False |
72,182 |
| 40 |
1.0097 |
0.9442 |
0.0655 |
6.7% |
0.0129 |
1.3% |
55% |
False |
False |
80,553 |
| 60 |
1.0204 |
0.9367 |
0.0837 |
8.5% |
0.0129 |
1.3% |
52% |
False |
False |
81,706 |
| 80 |
1.0257 |
0.9367 |
0.0890 |
9.1% |
0.0121 |
1.2% |
49% |
False |
False |
61,532 |
| 100 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0116 |
1.2% |
35% |
False |
False |
49,294 |
| 120 |
1.0593 |
0.9367 |
0.1226 |
12.5% |
0.0110 |
1.1% |
35% |
False |
False |
41,104 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0847 |
|
2.618 |
1.0474 |
|
1.618 |
1.0245 |
|
1.000 |
1.0103 |
|
0.618 |
1.0016 |
|
HIGH |
0.9874 |
|
0.618 |
0.9787 |
|
0.500 |
0.9760 |
|
0.382 |
0.9732 |
|
LOW |
0.9645 |
|
0.618 |
0.9503 |
|
1.000 |
0.9416 |
|
1.618 |
0.9274 |
|
2.618 |
0.9045 |
|
4.250 |
0.8672 |
|
|
| Fisher Pivots for day following 30-Nov-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9787 |
0.9767 |
| PP |
0.9773 |
0.9733 |
| S1 |
0.9760 |
0.9699 |
|