CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 17-Jul-2020
Day Change Summary
Previous Current
16-Jul-2020 17-Jul-2020 Change Change % Previous Week
Open 1,479.8 1,464.2 -15.6 -1.1% 1,423.0
High 1,485.5 1,481.6 -3.9 -0.3% 1,485.5
Low 1,453.8 1,459.5 5.7 0.4% 1,390.3
Close 1,459.9 1,469.2 9.3 0.6% 1,469.2
Range 31.7 22.1 -9.6 -30.3% 95.2
ATR 50.3 48.2 -2.0 -4.0% 0.0
Volume 175,496 147,648 -27,848 -15.9% 1,047,153
Daily Pivots for day following 17-Jul-2020
Classic Woodie Camarilla DeMark
R4 1,536.4 1,524.9 1,481.4
R3 1,514.3 1,502.8 1,475.3
R2 1,492.2 1,492.2 1,473.3
R1 1,480.7 1,480.7 1,471.2 1,486.5
PP 1,470.1 1,470.1 1,470.1 1,473.0
S1 1,458.6 1,458.6 1,467.2 1,464.4
S2 1,448.0 1,448.0 1,465.1
S3 1,425.9 1,436.5 1,463.1
S4 1,403.8 1,414.4 1,457.0
Weekly Pivots for week ending 17-Jul-2020
Classic Woodie Camarilla DeMark
R4 1,733.9 1,696.8 1,521.6
R3 1,638.7 1,601.6 1,495.4
R2 1,543.5 1,543.5 1,486.7
R1 1,506.4 1,506.4 1,477.9 1,525.0
PP 1,448.3 1,448.3 1,448.3 1,457.6
S1 1,411.2 1,411.2 1,460.5 1,429.8
S2 1,353.1 1,353.1 1,451.7
S3 1,257.9 1,316.0 1,443.0
S4 1,162.7 1,220.8 1,416.8
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 1,390.3 95.2 6.5% 38.9 2.6% 83% False False 209,430
10 1,485.5 1,373.6 111.9 7.6% 42.5 2.9% 85% False False 196,982
20 1,485.5 1,359.6 125.9 8.6% 46.6 3.2% 87% False False 197,336
40 1,536.2 1,314.5 221.7 15.1% 51.5 3.5% 70% False False 135,411
60 1,536.2 1,173.1 363.1 24.7% 52.4 3.6% 82% False False 90,341
80 1,536.2 1,030.4 505.8 34.4% 53.9 3.7% 87% False False 67,809
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 10.8
Narrowest range in 82 trading days
Fibonacci Retracements and Extensions
4.250 1,575.5
2.618 1,539.5
1.618 1,517.4
1.000 1,503.7
0.618 1,495.3
HIGH 1,481.6
0.618 1,473.2
0.500 1,470.6
0.382 1,467.9
LOW 1,459.5
0.618 1,445.8
1.000 1,437.4
1.618 1,423.7
2.618 1,401.6
4.250 1,365.6
Fisher Pivots for day following 17-Jul-2020
Pivot 1 day 3 day
R1 1,470.6 1,465.7
PP 1,470.1 1,462.1
S1 1,469.7 1,458.6

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

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