CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 22-May-2020
Day Change Summary
Previous Current
21-May-2020 22-May-2020 Change Change % Previous Week
Open 1,329.8 1,344.8 15.0 1.1% 1,269.7
High 1,352.6 1,354.3 1.7 0.1% 1,354.3
Low 1,326.0 1,315.1 -10.9 -0.8% 1,264.5
Close 1,340.0 1,351.6 11.6 0.9% 1,351.6
Range 26.6 39.2 12.6 47.4% 89.8
ATR 56.2 54.9 -1.2 -2.2% 0.0
Volume 62 88 26 41.9% 983
Daily Pivots for day following 22-May-2020
Classic Woodie Camarilla DeMark
R4 1,457.9 1,444.0 1,373.2
R3 1,418.7 1,404.8 1,362.4
R2 1,379.5 1,379.5 1,358.8
R1 1,365.6 1,365.6 1,355.2 1,372.6
PP 1,340.3 1,340.3 1,340.3 1,343.8
S1 1,326.4 1,326.4 1,348.0 1,333.4
S2 1,301.1 1,301.1 1,344.4
S3 1,261.9 1,287.2 1,340.8
S4 1,222.7 1,248.0 1,330.0
Weekly Pivots for week ending 22-May-2020
Classic Woodie Camarilla DeMark
R4 1,592.9 1,562.0 1,401.0
R3 1,503.1 1,472.2 1,376.3
R2 1,413.3 1,413.3 1,368.1
R1 1,382.4 1,382.4 1,359.8 1,397.9
PP 1,323.5 1,323.5 1,323.5 1,331.2
S1 1,292.6 1,292.6 1,343.4 1,308.1
S2 1,233.7 1,233.7 1,335.1
S3 1,143.9 1,202.8 1,326.9
S4 1,054.1 1,113.0 1,302.2
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,354.3 1,264.5 89.8 6.6% 47.0 3.5% 97% True False 196
10 1,354.3 1,173.1 181.2 13.4% 53.0 3.9% 99% True False 182
20 1,371.5 1,173.1 198.4 14.7% 52.8 3.9% 90% False False 148
40 1,371.5 1,030.4 341.1 25.2% 53.3 3.9% 94% False False 211
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR True
3BNR False
4BNR True
8BNR False
Bear Hook False
Bull Hook False
Stretch 12.0
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,520.9
2.618 1,456.9
1.618 1,417.7
1.000 1,393.5
0.618 1,378.5
HIGH 1,354.3
0.618 1,339.3
0.500 1,334.7
0.382 1,330.1
LOW 1,315.1
0.618 1,290.9
1.000 1,275.9
1.618 1,251.7
2.618 1,212.5
4.250 1,148.5
Fisher Pivots for day following 22-May-2020
Pivot 1 day 3 day
R1 1,346.0 1,342.9
PP 1,340.3 1,334.2
S1 1,334.7 1,325.6

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These figures are updated between 7pm and 10pm EST after a trading day.

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