CME E-mini Russell 2000 Index Futures December 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 1,575.3 1,584.3 9.0 0.6% 1,548.0
High 1,592.0 1,591.5 -0.5 0.0% 1,580.8
Low 1,563.9 1,531.3 -32.6 -2.1% 1,546.1
Close 1,589.0 1,545.3 -43.7 -2.8% 1,572.3
Range 28.1 60.2 32.1 114.2% 34.7
ATR 27.1 29.5 2.4 8.7% 0.0
Volume 348 1,292 944 271.3% 451
Daily Pivots for day following 03-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,736.6 1,701.2 1,578.4
R3 1,676.4 1,641.0 1,561.9
R2 1,616.2 1,616.2 1,556.3
R1 1,580.8 1,580.8 1,550.8 1,568.4
PP 1,556.0 1,556.0 1,556.0 1,549.9
S1 1,520.6 1,520.6 1,539.8 1,508.2
S2 1,495.8 1,495.8 1,534.3
S3 1,435.6 1,460.4 1,528.7
S4 1,375.4 1,400.2 1,512.2
Weekly Pivots for week ending 28-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,670.5 1,656.1 1,591.4
R3 1,635.8 1,621.4 1,581.8
R2 1,601.1 1,601.1 1,578.7
R1 1,586.7 1,586.7 1,575.5 1,593.9
PP 1,566.4 1,566.4 1,566.4 1,570.0
S1 1,552.0 1,552.0 1,569.1 1,559.2
S2 1,531.7 1,531.7 1,565.9
S3 1,497.0 1,517.3 1,562.8
S4 1,462.3 1,482.6 1,553.2
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,592.0 1,531.3 60.7 3.9% 34.5 2.2% 23% False True 424
10 1,592.0 1,531.3 60.7 3.9% 28.6 1.8% 23% False True 261
20 1,601.5 1,529.6 71.9 4.7% 26.6 1.7% 22% False False 201
40 1,601.5 1,372.2 229.3 14.8% 28.7 1.9% 75% False False 119
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 7.6
Widest range in 47 trading days
Fibonacci Retracements and Extensions
4.250 1,847.4
2.618 1,749.1
1.618 1,688.9
1.000 1,651.7
0.618 1,628.7
HIGH 1,591.5
0.618 1,568.5
0.500 1,561.4
0.382 1,554.3
LOW 1,531.3
0.618 1,494.1
1.000 1,471.1
1.618 1,433.9
2.618 1,373.7
4.250 1,275.5
Fisher Pivots for day following 03-Sep-2020
Pivot 1 day 3 day
R1 1,561.4 1,561.7
PP 1,556.0 1,556.2
S1 1,550.7 1,550.8

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

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