CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 03-Sep-2020
Day Change Summary
Previous Current
02-Sep-2020 03-Sep-2020 Change Change % Previous Week
Open 1,579.2 1,591.0 11.8 0.7% 1,552.6
High 1,595.7 1,595.4 -0.3 0.0% 1,584.6
Low 1,567.2 1,534.7 -32.5 -2.1% 1,548.6
Close 1,592.5 1,549.5 -43.0 -2.7% 1,575.7
Range 28.5 60.7 32.2 113.0% 36.0
ATR 28.4 30.7 2.3 8.1% 0.0
Volume 144,353 265,159 120,806 83.7% 598,996
Daily Pivots for day following 03-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,742.0 1,706.4 1,582.9
R3 1,681.3 1,645.7 1,566.2
R2 1,620.6 1,620.6 1,560.6
R1 1,585.0 1,585.0 1,555.1 1,572.5
PP 1,559.9 1,559.9 1,559.9 1,553.6
S1 1,524.3 1,524.3 1,543.9 1,511.8
S2 1,499.2 1,499.2 1,538.4
S3 1,438.5 1,463.6 1,532.8
S4 1,377.8 1,402.9 1,516.1
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 1,595.7 1,534.7 61.0 3.9% 34.8 2.2% 24% False True 164,443
10 1,595.7 1,534.7 61.0 3.9% 29.3 1.9% 24% False True 144,871
20 1,605.7 1,531.3 74.4 4.8% 27.7 1.8% 24% False False 141,482
40 1,605.7 1,373.6 232.1 15.0% 30.7 2.0% 76% False False 156,325
60 1,605.7 1,314.5 291.2 18.8% 39.5 2.5% 81% False False 173,611
80 1,605.7 1,173.1 432.6 27.9% 42.4 2.7% 87% False False 130,564
100 1,605.7 1,148.0 457.7 29.5% 43.9 2.8% 88% False False 104,487
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 8.7
Widest range in 47 trading days
Fibonacci Retracements and Extensions
4.250 1,853.4
2.618 1,754.3
1.618 1,693.6
1.000 1,656.1
0.618 1,632.9
HIGH 1,595.4
0.618 1,572.2
0.500 1,565.1
0.382 1,557.9
LOW 1,534.7
0.618 1,497.2
1.000 1,474.0
1.618 1,436.5
2.618 1,375.8
4.250 1,276.7
Fisher Pivots for day following 03-Sep-2020
Pivot 1 day 3 day
R1 1,565.1 1,565.2
PP 1,559.9 1,560.0
S1 1,554.7 1,554.7

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

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