CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 01-Sep-2020
Day Change Summary
Previous Current
31-Aug-2020 01-Sep-2020 Change Change % Previous Week
Open 1,576.9 1,560.3 -16.6 -1.1% 1,552.6
High 1,589.8 1,580.9 -8.9 -0.6% 1,584.6
Low 1,558.1 1,549.8 -8.3 -0.5% 1,548.6
Close 1,561.3 1,578.5 17.2 1.1% 1,575.7
Range 31.7 31.1 -0.6 -1.9% 36.0
ATR 28.2 28.4 0.2 0.7% 0.0
Volume 160,957 137,745 -23,212 -14.4% 598,996
Daily Pivots for day following 01-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,663.0 1,651.9 1,595.6
R3 1,631.9 1,620.8 1,587.1
R2 1,600.8 1,600.8 1,584.2
R1 1,589.7 1,589.7 1,581.4 1,595.3
PP 1,569.7 1,569.7 1,569.7 1,572.5
S1 1,558.6 1,558.6 1,575.6 1,564.2
S2 1,538.6 1,538.6 1,572.8
S3 1,507.5 1,527.5 1,569.9
S4 1,476.4 1,496.4 1,561.4
Weekly Pivots for week ending 28-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,677.6 1,662.7 1,595.5
R3 1,641.6 1,626.7 1,585.6
R2 1,605.6 1,605.6 1,582.3
R1 1,590.7 1,590.7 1,579.0 1,598.2
PP 1,569.6 1,569.6 1,569.6 1,573.4
S1 1,554.7 1,554.7 1,572.4 1,562.2
S2 1,533.6 1,533.6 1,569.1
S3 1,497.6 1,518.7 1,565.8
S4 1,461.6 1,482.7 1,555.9
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,589.8 1,549.8 40.0 2.5% 25.0 1.6% 72% False True 131,903
10 1,589.8 1,541.3 48.5 3.1% 24.3 1.5% 77% False False 127,244
20 1,605.7 1,509.3 96.4 6.1% 25.9 1.6% 72% False False 136,802
40 1,605.7 1,373.6 232.1 14.7% 30.6 1.9% 88% False False 156,222
60 1,605.7 1,314.5 291.2 18.4% 39.9 2.5% 91% False False 167,010
80 1,605.7 1,173.1 432.6 27.4% 42.8 2.7% 94% False False 125,446
100 1,605.7 1,148.0 457.7 29.0% 44.0 2.8% 94% False False 100,398
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 7.7
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,713.1
2.618 1,662.3
1.618 1,631.2
1.000 1,612.0
0.618 1,600.1
HIGH 1,580.9
0.618 1,569.0
0.500 1,565.4
0.382 1,561.7
LOW 1,549.8
0.618 1,530.6
1.000 1,518.7
1.618 1,499.5
2.618 1,468.4
4.250 1,417.6
Fisher Pivots for day following 01-Sep-2020
Pivot 1 day 3 day
R1 1,574.1 1,575.6
PP 1,569.7 1,572.7
S1 1,565.4 1,569.8

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

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