CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 09-Sep-2020
Day Change Summary
Previous Current
08-Sep-2020 09-Sep-2020 Change Change % Previous Week
Open 1,532.9 1,495.4 -37.5 -2.4% 1,576.9
High 1,553.4 1,533.4 -20.0 -1.3% 1,595.7
Low 1,495.3 1,479.6 -15.7 -1.0% 1,498.1
Close 1,507.7 1,524.2 16.5 1.1% 1,531.4
Range 58.1 53.8 -4.3 -7.4% 97.6
ATR 35.5 36.8 1.3 3.7% 0.0
Volume 256,962 186,796 -70,166 -27.3% 954,560
Daily Pivots for day following 09-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,673.8 1,652.8 1,553.8
R3 1,620.0 1,599.0 1,539.0
R2 1,566.2 1,566.2 1,534.1
R1 1,545.2 1,545.2 1,529.1 1,555.7
PP 1,512.4 1,512.4 1,512.4 1,517.7
S1 1,491.4 1,491.4 1,519.3 1,501.9
S2 1,458.6 1,458.6 1,514.3
S3 1,404.8 1,437.6 1,509.4
S4 1,351.0 1,383.8 1,494.6
Weekly Pivots for week ending 04-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,834.5 1,780.6 1,585.1
R3 1,736.9 1,683.0 1,558.2
R2 1,639.3 1,639.3 1,549.3
R1 1,585.4 1,585.4 1,540.3 1,563.6
PP 1,541.7 1,541.7 1,541.7 1,530.8
S1 1,487.8 1,487.8 1,522.5 1,466.0
S2 1,444.1 1,444.1 1,513.5
S3 1,346.5 1,390.2 1,504.6
S4 1,248.9 1,292.6 1,477.7
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 1,479.6 116.1 7.6% 54.7 3.6% 38% False True 219,923
10 1,595.7 1,479.6 116.1 7.6% 39.9 2.6% 38% False True 175,913
20 1,596.9 1,479.6 117.3 7.7% 31.5 2.1% 38% False True 147,336
40 1,605.7 1,431.6 174.1 11.4% 31.8 2.1% 53% False False 157,894
60 1,605.7 1,359.6 246.1 16.1% 37.6 2.5% 67% False False 172,119
80 1,605.7 1,264.5 341.2 22.4% 42.5 2.8% 76% False False 139,180
100 1,605.7 1,164.5 441.2 28.9% 44.4 2.9% 82% False False 111,378
Crabel Price Patterns
NR True
NR4 True
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 11.9
Narrowest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,762.1
2.618 1,674.2
1.618 1,620.4
1.000 1,587.2
0.618 1,566.6
HIGH 1,533.4
0.618 1,512.8
0.500 1,506.5
0.382 1,500.2
LOW 1,479.6
0.618 1,446.4
1.000 1,425.8
1.618 1,392.6
2.618 1,338.8
4.250 1,251.0
Fisher Pivots for day following 09-Sep-2020
Pivot 1 day 3 day
R1 1,518.3 1,525.1
PP 1,512.4 1,524.8
S1 1,506.5 1,524.5

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

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