CME Canadian Dollar Future June 2012
| Trading Metrics calculated at close of trading on 27-Mar-2012 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
26-Mar-2012 |
27-Mar-2012 |
Change |
Change % |
Previous Week |
| Open |
0.9995 |
1.0072 |
0.0077 |
0.8% |
1.0068 |
| High |
1.0075 |
1.0083 |
0.0008 |
0.1% |
1.0122 |
| Low |
0.9982 |
1.0026 |
0.0044 |
0.4% |
0.9946 |
| Close |
1.0058 |
1.0040 |
-0.0018 |
-0.2% |
0.9997 |
| Range |
0.0093 |
0.0057 |
-0.0036 |
-38.7% |
0.0176 |
| ATR |
0.0069 |
0.0068 |
-0.0001 |
-1.2% |
0.0000 |
| Volume |
77,243 |
60,693 |
-16,550 |
-21.4% |
409,265 |
|
| Daily Pivots for day following 27-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0221 |
1.0187 |
1.0071 |
|
| R3 |
1.0164 |
1.0130 |
1.0056 |
|
| R2 |
1.0107 |
1.0107 |
1.0050 |
|
| R1 |
1.0073 |
1.0073 |
1.0045 |
1.0062 |
| PP |
1.0050 |
1.0050 |
1.0050 |
1.0044 |
| S1 |
1.0016 |
1.0016 |
1.0035 |
1.0005 |
| S2 |
0.9993 |
0.9993 |
1.0030 |
|
| S3 |
0.9936 |
0.9959 |
1.0024 |
|
| S4 |
0.9879 |
0.9902 |
1.0009 |
|
|
| Weekly Pivots for week ending 23-Mar-2012 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0550 |
1.0449 |
1.0094 |
|
| R3 |
1.0374 |
1.0273 |
1.0045 |
|
| R2 |
1.0198 |
1.0198 |
1.0029 |
|
| R1 |
1.0097 |
1.0097 |
1.0013 |
1.0060 |
| PP |
1.0022 |
1.0022 |
1.0022 |
1.0003 |
| S1 |
0.9921 |
0.9921 |
0.9981 |
0.9884 |
| S2 |
0.9846 |
0.9846 |
0.9965 |
|
| S3 |
0.9670 |
0.9745 |
0.9949 |
|
| S4 |
0.9494 |
0.9569 |
0.9900 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0107 |
0.9946 |
0.0161 |
1.6% |
0.0075 |
0.7% |
58% |
False |
False |
77,670 |
| 10 |
1.0122 |
0.9946 |
0.0176 |
1.8% |
0.0070 |
0.7% |
53% |
False |
False |
70,190 |
| 20 |
1.0133 |
0.9946 |
0.0187 |
1.9% |
0.0069 |
0.7% |
50% |
False |
False |
39,319 |
| 40 |
1.0133 |
0.9923 |
0.0210 |
2.1% |
0.0062 |
0.6% |
56% |
False |
False |
19,817 |
| 60 |
1.0133 |
0.9664 |
0.0469 |
4.7% |
0.0064 |
0.6% |
80% |
False |
False |
13,270 |
| 80 |
1.0133 |
0.9570 |
0.0563 |
5.6% |
0.0065 |
0.7% |
83% |
False |
False |
9,983 |
| 100 |
1.0133 |
0.9484 |
0.0649 |
6.5% |
0.0064 |
0.6% |
86% |
False |
False |
8,008 |
| 120 |
1.0133 |
0.9484 |
0.0649 |
6.5% |
0.0063 |
0.6% |
86% |
False |
False |
6,683 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0325 |
|
2.618 |
1.0232 |
|
1.618 |
1.0175 |
|
1.000 |
1.0140 |
|
0.618 |
1.0118 |
|
HIGH |
1.0083 |
|
0.618 |
1.0061 |
|
0.500 |
1.0055 |
|
0.382 |
1.0048 |
|
LOW |
1.0026 |
|
0.618 |
0.9991 |
|
1.000 |
0.9969 |
|
1.618 |
0.9934 |
|
2.618 |
0.9877 |
|
4.250 |
0.9784 |
|
|
| Fisher Pivots for day following 27-Mar-2012 |
| Pivot |
1 day |
3 day |
| R1 |
1.0055 |
1.0032 |
| PP |
1.0050 |
1.0023 |
| S1 |
1.0045 |
1.0015 |
|