CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 24-Aug-2020
Day Change Summary
Previous Current
21-Aug-2020 24-Aug-2020 Change Change % Previous Week
Open 1,561.3 1,552.6 -8.7 -0.6% 1,575.2
High 1,569.1 1,568.7 -0.4 0.0% 1,589.6
Low 1,541.3 1,548.6 7.3 0.5% 1,541.3
Close 1,548.6 1,566.5 17.9 1.2% 1,548.6
Range 27.8 20.1 -7.7 -27.7% 48.3
ATR 30.4 29.7 -0.7 -2.4% 0.0
Volume 141,504 110,594 -30,910 -21.8% 548,993
Daily Pivots for day following 24-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,621.6 1,614.1 1,577.6
R3 1,601.5 1,594.0 1,572.0
R2 1,581.4 1,581.4 1,570.2
R1 1,573.9 1,573.9 1,568.3 1,577.7
PP 1,561.3 1,561.3 1,561.3 1,563.1
S1 1,553.8 1,553.8 1,564.7 1,557.6
S2 1,541.2 1,541.2 1,562.8
S3 1,521.1 1,533.7 1,561.0
S4 1,501.0 1,513.6 1,555.4
Weekly Pivots for week ending 21-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,704.7 1,675.0 1,575.2
R3 1,656.4 1,626.7 1,561.9
R2 1,608.1 1,608.1 1,557.5
R1 1,578.4 1,578.4 1,553.0 1,569.1
PP 1,559.8 1,559.8 1,559.8 1,555.2
S1 1,530.1 1,530.1 1,544.2 1,520.8
S2 1,511.5 1,511.5 1,539.7
S3 1,463.2 1,481.8 1,535.3
S4 1,414.9 1,433.5 1,522.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,589.6 1,541.3 48.3 3.1% 22.9 1.5% 52% False False 116,555
10 1,605.7 1,541.3 64.4 4.1% 23.9 1.5% 39% False False 127,571
20 1,605.7 1,451.1 154.6 9.9% 28.0 1.8% 75% False False 145,728
40 1,605.7 1,359.6 246.1 15.7% 33.5 2.1% 84% False False 165,792
60 1,605.7 1,314.5 291.2 18.6% 41.9 2.7% 87% False False 154,082
80 1,605.7 1,173.1 432.6 27.6% 44.0 2.8% 91% False False 115,609
100 1,605.7 1,030.4 575.3 36.7% 46.4 3.0% 93% False False 92,551
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.1
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,654.1
2.618 1,621.3
1.618 1,601.2
1.000 1,588.8
0.618 1,581.1
HIGH 1,568.7
0.618 1,561.0
0.500 1,558.7
0.382 1,556.3
LOW 1,548.6
0.618 1,536.2
1.000 1,528.5
1.618 1,516.1
2.618 1,496.0
4.250 1,463.2
Fisher Pivots for day following 24-Aug-2020
Pivot 1 day 3 day
R1 1,563.9 1,563.0
PP 1,561.3 1,559.5
S1 1,558.7 1,556.1

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

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