CME Canadian Dollar Future March 2012
| Trading Metrics calculated at close of trading on 28-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
27-Sep-2011 |
28-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
0.9725 |
0.9773 |
0.0048 |
0.5% |
1.0140 |
| High |
0.9825 |
0.9773 |
-0.0052 |
-0.5% |
1.0151 |
| Low |
0.9714 |
0.9655 |
-0.0059 |
-0.6% |
0.9622 |
| Close |
0.9800 |
0.9690 |
-0.0110 |
-1.1% |
0.9660 |
| Range |
0.0111 |
0.0118 |
0.0007 |
6.3% |
0.0529 |
| ATR |
0.0107 |
0.0110 |
0.0003 |
2.5% |
0.0000 |
| Volume |
220 |
272 |
52 |
23.6% |
1,948 |
|
| Daily Pivots for day following 28-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0060 |
0.9993 |
0.9755 |
|
| R3 |
0.9942 |
0.9875 |
0.9722 |
|
| R2 |
0.9824 |
0.9824 |
0.9712 |
|
| R1 |
0.9757 |
0.9757 |
0.9701 |
0.9732 |
| PP |
0.9706 |
0.9706 |
0.9706 |
0.9693 |
| S1 |
0.9639 |
0.9639 |
0.9679 |
0.9614 |
| S2 |
0.9588 |
0.9588 |
0.9668 |
|
| S3 |
0.9470 |
0.9521 |
0.9658 |
|
| S4 |
0.9352 |
0.9403 |
0.9625 |
|
|
| 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 |
0.9885 |
0.9601 |
0.0284 |
2.9% |
0.0139 |
1.4% |
31% |
False |
False |
387 |
| 10 |
1.0187 |
0.9601 |
0.0586 |
6.0% |
0.0115 |
1.2% |
15% |
False |
False |
327 |
| 20 |
1.0245 |
0.9601 |
0.0644 |
6.6% |
0.0091 |
0.9% |
14% |
False |
False |
219 |
| 40 |
1.0390 |
0.9601 |
0.0789 |
8.1% |
0.0084 |
0.9% |
11% |
False |
False |
177 |
| 60 |
1.0544 |
0.9601 |
0.0943 |
9.7% |
0.0066 |
0.7% |
9% |
False |
False |
126 |
| 80 |
1.0544 |
0.9601 |
0.0943 |
9.7% |
0.0056 |
0.6% |
9% |
False |
False |
98 |
| 100 |
1.0544 |
0.9601 |
0.0943 |
9.7% |
0.0051 |
0.5% |
9% |
False |
False |
82 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0275 |
|
2.618 |
1.0082 |
|
1.618 |
0.9964 |
|
1.000 |
0.9891 |
|
0.618 |
0.9846 |
|
HIGH |
0.9773 |
|
0.618 |
0.9728 |
|
0.500 |
0.9714 |
|
0.382 |
0.9700 |
|
LOW |
0.9655 |
|
0.618 |
0.9582 |
|
1.000 |
0.9537 |
|
1.618 |
0.9464 |
|
2.618 |
0.9346 |
|
4.250 |
0.9154 |
|
|
| Fisher Pivots for day following 28-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
0.9714 |
0.9713 |
| PP |
0.9706 |
0.9705 |
| S1 |
0.9698 |
0.9698 |
|