CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 14-Sep-2020
Day Change Summary
Previous Current
11-Sep-2020 14-Sep-2020 Change Change % Previous Week
Open 1,506.2 1,495.8 -10.4 -0.7% 1,526.2
High 1,519.5 1,535.8 16.3 1.1% 1,548.9
Low 1,477.7 1,494.9 17.2 1.2% 1,476.4
Close 1,489.3 1,532.3 43.0 2.9% 1,489.3
Range 41.8 40.9 -0.9 -2.2% 72.5
ATR 36.3 37.0 0.7 2.0% 0.0
Volume 261,023 296,206 35,183 13.5% 338,662
Daily Pivots for day following 14-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,643.7 1,628.9 1,554.8
R3 1,602.8 1,588.0 1,543.5
R2 1,561.9 1,561.9 1,539.8
R1 1,547.1 1,547.1 1,536.0 1,554.5
PP 1,521.0 1,521.0 1,521.0 1,524.7
S1 1,506.2 1,506.2 1,528.6 1,513.6
S2 1,480.1 1,480.1 1,524.8
S3 1,439.2 1,465.3 1,521.1
S4 1,398.3 1,424.4 1,509.8
Weekly Pivots for week ending 11-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,722.4 1,678.3 1,529.2
R3 1,649.9 1,605.8 1,509.2
R2 1,577.4 1,577.4 1,502.6
R1 1,533.3 1,533.3 1,495.9 1,519.1
PP 1,504.9 1,504.9 1,504.9 1,497.8
S1 1,460.8 1,460.8 1,482.7 1,446.6
S2 1,432.4 1,432.4 1,476.0
S3 1,359.9 1,388.3 1,469.4
S4 1,287.4 1,315.8 1,449.4
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,548.9 1,476.4 72.5 4.7% 46.5 3.0% 77% False False 126,973
10 1,592.0 1,476.4 115.6 7.5% 45.5 3.0% 48% False False 63,865
20 1,592.0 1,476.4 115.6 7.5% 33.3 2.2% 48% False False 31,988
40 1,601.5 1,448.7 152.8 10.0% 30.6 2.0% 55% False False 16,026
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 13.2
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,709.6
2.618 1,642.9
1.618 1,602.0
1.000 1,576.7
0.618 1,561.1
HIGH 1,535.8
0.618 1,520.2
0.500 1,515.4
0.382 1,510.5
LOW 1,494.9
0.618 1,469.6
1.000 1,454.0
1.618 1,428.7
2.618 1,387.8
4.250 1,321.1
Fisher Pivots for day following 14-Sep-2020
Pivot 1 day 3 day
R1 1,526.7 1,524.6
PP 1,521.0 1,516.8
S1 1,515.4 1,509.1

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

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