CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 16-Sep-2020
Day Change Summary
Previous Current
15-Sep-2020 16-Sep-2020 Change Change % Previous Week
Open 1,530.4 1,536.5 6.1 0.4% 1,526.2
High 1,549.1 1,569.6 20.5 1.3% 1,548.9
Low 1,529.4 1,532.7 3.3 0.2% 1,476.4
Close 1,536.2 1,550.7 14.5 0.9% 1,489.3
Range 19.7 36.9 17.2 87.3% 72.5
ATR 35.8 35.9 0.1 0.2% 0.0
Volume 226,446 171,286 -55,160 -24.4% 338,662
Daily Pivots for day following 16-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,661.7 1,643.1 1,571.0
R3 1,624.8 1,606.2 1,560.8
R2 1,587.9 1,587.9 1,557.5
R1 1,569.3 1,569.3 1,554.1 1,578.6
PP 1,551.0 1,551.0 1,551.0 1,555.7
S1 1,532.4 1,532.4 1,547.3 1,541.7
S2 1,514.1 1,514.1 1,543.9
S3 1,477.2 1,495.5 1,540.6
S4 1,440.3 1,458.6 1,530.4
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 1,569.6 1,477.7 91.9 5.9% 35.8 2.3% 79% True False 203,562
10 1,592.0 1,476.4 115.6 7.5% 44.9 2.9% 64% False False 103,596
20 1,592.0 1,476.4 115.6 7.5% 34.2 2.2% 64% False False 51,866
40 1,601.5 1,448.7 152.8 9.9% 31.0 2.0% 67% False False 25,968
60 1,601.5 1,357.5 244.0 15.7% 34.4 2.2% 79% False False 17,331
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
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 12.0
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,726.4
2.618 1,666.2
1.618 1,629.3
1.000 1,606.5
0.618 1,592.4
HIGH 1,569.6
0.618 1,555.5
0.500 1,551.2
0.382 1,546.8
LOW 1,532.7
0.618 1,509.9
1.000 1,495.8
1.618 1,473.0
2.618 1,436.1
4.250 1,375.9
Fisher Pivots for day following 16-Sep-2020
Pivot 1 day 3 day
R1 1,551.2 1,544.6
PP 1,551.0 1,538.4
S1 1,550.9 1,532.3

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

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