CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 27-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Sep-2011 |
27-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9700 |
0.9725 |
0.0025 |
0.3% |
1.0140 |
| High |
0.9714 |
0.9825 |
0.0111 |
1.1% |
1.0151 |
| Low |
0.9601 |
0.9714 |
0.0113 |
1.2% |
0.9622 |
| Close |
0.9651 |
0.9800 |
0.0149 |
1.5% |
0.9660 |
| Range |
0.0113 |
0.0111 |
-0.0002 |
-1.8% |
0.0529 |
| ATR |
0.0102 |
0.0107 |
0.0005 |
5.0% |
0.0000 |
| Volume |
261 |
220 |
-41 |
-15.7% |
1,948 |
|
| Daily Pivots for day following 27-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0113 |
1.0067 |
0.9861 |
|
| R3 |
1.0002 |
0.9956 |
0.9831 |
|
| R2 |
0.9891 |
0.9891 |
0.9820 |
|
| R1 |
0.9845 |
0.9845 |
0.9810 |
0.9868 |
| PP |
0.9780 |
0.9780 |
0.9780 |
0.9791 |
| S1 |
0.9734 |
0.9734 |
0.9790 |
0.9757 |
| S2 |
0.9669 |
0.9669 |
0.9780 |
|
| S3 |
0.9558 |
0.9623 |
0.9769 |
|
| S4 |
0.9447 |
0.9512 |
0.9739 |
|
|
| Weekly Pivots for week ending 23-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1398 |
1.1058 |
0.9951 |
|
| R3 |
1.0869 |
1.0529 |
0.9805 |
|
| R2 |
1.0340 |
1.0340 |
0.9757 |
|
| R1 |
1.0000 |
1.0000 |
0.9708 |
0.9906 |
| PP |
0.9811 |
0.9811 |
0.9811 |
0.9764 |
| S1 |
0.9471 |
0.9471 |
0.9612 |
0.9377 |
| S2 |
0.9282 |
0.9282 |
0.9563 |
|
| S3 |
0.8753 |
0.8942 |
0.9515 |
|
| S4 |
0.8224 |
0.8413 |
0.9369 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0026 |
0.9601 |
0.0425 |
4.3% |
0.0143 |
1.5% |
47% |
False |
False |
388 |
| 10 |
1.0187 |
0.9601 |
0.0586 |
6.0% |
0.0111 |
1.1% |
34% |
False |
False |
314 |
| 20 |
1.0245 |
0.9601 |
0.0644 |
6.6% |
0.0088 |
0.9% |
31% |
False |
False |
209 |
| 40 |
1.0390 |
0.9601 |
0.0789 |
8.1% |
0.0082 |
0.8% |
25% |
False |
False |
171 |
| 60 |
1.0544 |
0.9601 |
0.0943 |
9.6% |
0.0065 |
0.7% |
21% |
False |
False |
122 |
| 80 |
1.0544 |
0.9601 |
0.0943 |
9.6% |
0.0054 |
0.6% |
21% |
False |
False |
95 |
| 100 |
1.0544 |
0.9601 |
0.0943 |
9.6% |
0.0049 |
0.5% |
21% |
False |
False |
80 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0297 |
|
2.618 |
1.0116 |
|
1.618 |
1.0005 |
|
1.000 |
0.9936 |
|
0.618 |
0.9894 |
|
HIGH |
0.9825 |
|
0.618 |
0.9783 |
|
0.500 |
0.9770 |
|
0.382 |
0.9756 |
|
LOW |
0.9714 |
|
0.618 |
0.9645 |
|
1.000 |
0.9603 |
|
1.618 |
0.9534 |
|
2.618 |
0.9423 |
|
4.250 |
0.9242 |
|
|
| Fisher Pivots for day following 27-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9790 |
0.9771 |
| PP |
0.9780 |
0.9742 |
| S1 |
0.9770 |
0.9713 |
|