CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 05-Oct-2020
Day Change Summary
Previous Current
02-Oct-2020 05-Oct-2020 Change Change % Previous Week
Open 1,526.3 1,544.8 18.5 1.2% 1,468.5
High 1,542.4 1,579.9 37.5 2.4% 1,542.4
Low 1,490.7 1,536.9 46.2 3.1% 1,468.5
Close 1,534.0 1,576.1 42.1 2.7% 1,534.0
Range 51.7 43.0 -8.7 -16.8% 73.9
ATR 40.0 40.4 0.4 1.1% 0.0
Volume 210,629 146,780 -63,849 -30.3% 899,580
Daily Pivots for day following 05-Oct-2020
Classic Woodie Camarilla DeMark
R4 1,693.3 1,677.7 1,599.8
R3 1,650.3 1,634.7 1,587.9
R2 1,607.3 1,607.3 1,584.0
R1 1,591.7 1,591.7 1,580.0 1,599.5
PP 1,564.3 1,564.3 1,564.3 1,568.2
S1 1,548.7 1,548.7 1,572.2 1,556.5
S2 1,521.3 1,521.3 1,568.2
S3 1,478.3 1,505.7 1,564.3
S4 1,435.3 1,462.7 1,552.5
Weekly Pivots for week ending 02-Oct-2020
Classic Woodie Camarilla DeMark
R4 1,736.7 1,709.2 1,574.6
R3 1,662.8 1,635.3 1,554.3
R2 1,588.9 1,588.9 1,547.5
R1 1,561.4 1,561.4 1,540.8 1,575.2
PP 1,515.0 1,515.0 1,515.0 1,521.8
S1 1,487.5 1,487.5 1,527.2 1,501.3
S2 1,441.1 1,441.1 1,520.5
S3 1,367.2 1,413.6 1,513.7
S4 1,293.3 1,339.7 1,493.4
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,579.9 1,485.8 94.1 6.0% 38.9 2.5% 96% True False 178,415
10 1,579.9 1,426.2 153.7 9.8% 41.0 2.6% 98% True False 177,223
20 1,579.9 1,426.2 153.7 9.8% 42.6 2.7% 98% True False 171,267
40 1,601.5 1,426.2 175.3 11.1% 35.5 2.3% 86% False False 85,776
60 1,601.5 1,387.8 213.7 13.6% 33.7 2.1% 88% False False 57,197
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 11.6
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,762.7
2.618 1,692.5
1.618 1,649.5
1.000 1,622.9
0.618 1,606.5
HIGH 1,579.9
0.618 1,563.5
0.500 1,558.4
0.382 1,553.3
LOW 1,536.9
0.618 1,510.3
1.000 1,493.9
1.618 1,467.3
2.618 1,424.3
4.250 1,354.2
Fisher Pivots for day following 05-Oct-2020
Pivot 1 day 3 day
R1 1,570.2 1,562.5
PP 1,564.3 1,548.9
S1 1,558.4 1,535.3

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

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