CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 16-Jul-2020
Day Change Summary
Previous Current
15-Jul-2020 16-Jul-2020 Change Change % Previous Week
Open 1,432.2 1,479.8 47.6 3.3% 1,424.2
High 1,483.1 1,485.5 2.4 0.2% 1,466.4
Low 1,431.6 1,453.8 22.2 1.6% 1,373.6
Close 1,476.7 1,459.9 -16.8 -1.1% 1,419.6
Range 51.5 31.7 -19.8 -38.4% 92.8
ATR 51.7 50.3 -1.4 -2.8% 0.0
Volume 275,453 175,496 -99,957 -36.3% 922,675
Daily Pivots for day following 16-Jul-2020
Classic Woodie Camarilla DeMark
R4 1,561.5 1,542.4 1,477.3
R3 1,529.8 1,510.7 1,468.6
R2 1,498.1 1,498.1 1,465.7
R1 1,479.0 1,479.0 1,462.8 1,472.7
PP 1,466.4 1,466.4 1,466.4 1,463.3
S1 1,447.3 1,447.3 1,457.0 1,441.0
S2 1,434.7 1,434.7 1,454.1
S3 1,403.0 1,415.6 1,451.2
S4 1,371.3 1,383.9 1,442.5
Weekly Pivots for week ending 10-Jul-2020
Classic Woodie Camarilla DeMark
R4 1,698.3 1,651.7 1,470.6
R3 1,605.5 1,558.9 1,445.1
R2 1,512.7 1,512.7 1,436.6
R1 1,466.1 1,466.1 1,428.1 1,443.0
PP 1,419.9 1,419.9 1,419.9 1,408.3
S1 1,373.3 1,373.3 1,411.1 1,350.2
S2 1,327.1 1,327.1 1,402.6
S3 1,234.3 1,280.5 1,394.1
S4 1,141.5 1,187.7 1,368.6
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,485.5 1,373.6 111.9 7.7% 44.5 3.0% 77% True False 215,662
10 1,485.5 1,373.6 111.9 7.7% 44.4 3.0% 77% True False 199,461
20 1,485.5 1,359.6 125.9 8.6% 47.4 3.2% 80% True False 198,525
40 1,536.2 1,296.8 239.4 16.4% 52.3 3.6% 68% False False 131,728
60 1,536.2 1,173.1 363.1 24.9% 52.6 3.6% 79% False False 87,881
80 1,536.2 1,030.4 505.8 34.6% 54.3 3.7% 85% False False 65,964
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 10.9
Narrowest range in 38 trading days
Fibonacci Retracements and Extensions
4.250 1,620.2
2.618 1,568.5
1.618 1,536.8
1.000 1,517.2
0.618 1,505.1
HIGH 1,485.5
0.618 1,473.4
0.500 1,469.7
0.382 1,465.9
LOW 1,453.8
0.618 1,434.2
1.000 1,422.1
1.618 1,402.5
2.618 1,370.8
4.250 1,319.1
Fisher Pivots for day following 16-Jul-2020
Pivot 1 day 3 day
R1 1,469.7 1,452.6
PP 1,466.4 1,445.2
S1 1,463.2 1,437.9

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

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