CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 21-Sep-2020
Day Change Summary
Previous Current
18-Sep-2020 21-Sep-2020 Change Change % Previous Week
Open 1,536.4 1,534.8 -1.6 -0.1% 1,495.8
High 1,553.1 1,538.5 -14.6 -0.9% 1,569.6
Low 1,511.5 1,462.9 -48.6 -3.2% 1,494.9
Close 1,535.6 1,482.8 -52.8 -3.4% 1,535.6
Range 41.6 75.6 34.0 81.7% 74.7
ATR 36.3 39.1 2.8 7.7% 0.0
Volume 190,278 238,670 48,392 25.4% 1,075,793
Daily Pivots for day following 21-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,721.5 1,677.8 1,524.4
R3 1,645.9 1,602.2 1,503.6
R2 1,570.3 1,570.3 1,496.7
R1 1,526.6 1,526.6 1,489.7 1,510.7
PP 1,494.7 1,494.7 1,494.7 1,486.8
S1 1,451.0 1,451.0 1,475.9 1,435.1
S2 1,419.1 1,419.1 1,468.9
S3 1,343.5 1,375.4 1,462.0
S4 1,267.9 1,299.8 1,441.2
Weekly Pivots for week ending 18-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,757.5 1,721.2 1,576.7
R3 1,682.8 1,646.5 1,556.1
R2 1,608.1 1,608.1 1,549.3
R1 1,571.8 1,571.8 1,542.4 1,590.0
PP 1,533.4 1,533.4 1,533.4 1,542.4
S1 1,497.1 1,497.1 1,528.8 1,515.3
S2 1,458.7 1,458.7 1,521.9
S3 1,384.0 1,422.4 1,515.1
S4 1,309.3 1,347.7 1,494.5
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 1,462.9 106.7 7.2% 42.0 2.8% 19% False True 203,651
10 1,569.6 1,462.9 106.7 7.2% 44.3 3.0% 19% False True 165,312
20 1,592.0 1,462.9 129.1 8.7% 38.7 2.6% 15% False True 82,868
40 1,601.5 1,448.7 152.8 10.3% 32.6 2.2% 22% False False 41,477
60 1,601.5 1,357.5 244.0 16.5% 34.0 2.3% 51% False False 27,669
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 9.9
Widest range in 65 trading days
Fibonacci Retracements and Extensions
4.250 1,859.8
2.618 1,736.4
1.618 1,660.8
1.000 1,614.1
0.618 1,585.2
HIGH 1,538.5
0.618 1,509.6
0.500 1,500.7
0.382 1,491.8
LOW 1,462.9
0.618 1,416.2
1.000 1,387.3
1.618 1,340.6
2.618 1,265.0
4.250 1,141.6
Fisher Pivots for day following 21-Sep-2020
Pivot 1 day 3 day
R1 1,500.7 1,508.5
PP 1,494.7 1,499.9
S1 1,488.8 1,491.4

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

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