CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 15-Sep-2020
Day Change Summary
Previous Current
14-Sep-2020 15-Sep-2020 Change Change % Previous Week
Open 1,495.8 1,530.4 34.6 2.3% 1,526.2
High 1,535.8 1,549.1 13.3 0.9% 1,548.9
Low 1,494.9 1,529.4 34.5 2.3% 1,476.4
Close 1,532.3 1,536.2 3.9 0.3% 1,489.3
Range 40.9 19.7 -21.2 -51.8% 72.5
ATR 37.0 35.8 -1.2 -3.3% 0.0
Volume 296,206 226,446 -69,760 -23.6% 338,662
Daily Pivots for day following 15-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,597.3 1,586.5 1,547.0
R3 1,577.6 1,566.8 1,541.6
R2 1,557.9 1,557.9 1,539.8
R1 1,547.1 1,547.1 1,538.0 1,552.5
PP 1,538.2 1,538.2 1,538.2 1,541.0
S1 1,527.4 1,527.4 1,534.4 1,532.8
S2 1,518.5 1,518.5 1,532.6
S3 1,498.8 1,507.7 1,530.8
S4 1,479.1 1,488.0 1,525.4
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 1,549.1 1,476.4 72.7 4.7% 39.0 2.5% 82% True False 171,542
10 1,592.0 1,476.4 115.6 7.5% 44.3 2.9% 52% False False 86,496
20 1,592.0 1,476.4 115.6 7.5% 33.6 2.2% 52% False False 43,308
40 1,601.5 1,448.7 152.8 9.9% 30.7 2.0% 57% False False 21,686
60 1,601.5 1,357.5 244.0 15.9% 34.6 2.3% 73% False False 14,480
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 12.4
Narrowest range in 13 trading days
Fibonacci Retracements and Extensions
4.250 1,632.8
2.618 1,600.7
1.618 1,581.0
1.000 1,568.8
0.618 1,561.3
HIGH 1,549.1
0.618 1,541.6
0.500 1,539.3
0.382 1,536.9
LOW 1,529.4
0.618 1,517.2
1.000 1,509.7
1.618 1,497.5
2.618 1,477.8
4.250 1,445.7
Fisher Pivots for day following 15-Sep-2020
Pivot 1 day 3 day
R1 1,539.3 1,528.6
PP 1,538.2 1,521.0
S1 1,537.2 1,513.4

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

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