CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 22-Sep-2020
Day Change Summary
Previous Current
21-Sep-2020 22-Sep-2020 Change Change % Previous Week
Open 1,534.8 1,479.6 -55.2 -3.6% 1,495.8
High 1,538.5 1,493.4 -45.1 -2.9% 1,569.6
Low 1,462.9 1,465.6 2.7 0.2% 1,494.9
Close 1,482.8 1,488.8 6.0 0.4% 1,535.6
Range 75.6 27.8 -47.8 -63.2% 74.7
ATR 39.1 38.3 -0.8 -2.1% 0.0
Volume 238,670 153,103 -85,567 -35.9% 1,075,793
Daily Pivots for day following 22-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,566.0 1,555.2 1,504.1
R3 1,538.2 1,527.4 1,496.4
R2 1,510.4 1,510.4 1,493.9
R1 1,499.6 1,499.6 1,491.3 1,505.0
PP 1,482.6 1,482.6 1,482.6 1,485.3
S1 1,471.8 1,471.8 1,486.3 1,477.2
S2 1,454.8 1,454.8 1,483.7
S3 1,427.0 1,444.0 1,481.2
S4 1,399.2 1,416.2 1,473.5
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% 43.6 2.9% 24% False False 188,982
10 1,569.6 1,462.9 106.7 7.2% 41.3 2.8% 24% False False 180,262
20 1,592.0 1,462.9 129.1 8.7% 39.1 2.6% 20% False False 90,519
40 1,601.5 1,448.7 152.8 10.3% 32.7 2.2% 26% False False 45,305
60 1,601.5 1,357.5 244.0 16.4% 33.8 2.3% 54% False False 30,220
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 9.1
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,611.6
2.618 1,566.2
1.618 1,538.4
1.000 1,521.2
0.618 1,510.6
HIGH 1,493.4
0.618 1,482.8
0.500 1,479.5
0.382 1,476.2
LOW 1,465.6
0.618 1,448.4
1.000 1,437.8
1.618 1,420.6
2.618 1,392.8
4.250 1,347.5
Fisher Pivots for day following 22-Sep-2020
Pivot 1 day 3 day
R1 1,485.7 1,508.0
PP 1,482.6 1,501.6
S1 1,479.5 1,495.2

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

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