CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 03-Nov-2020
Day Change Summary
Previous Current
02-Nov-2020 03-Nov-2020 Change Change % Previous Week
Open 1,537.0 1,565.1 28.1 1.8% 1,634.7
High 1,568.2 1,620.1 51.9 3.3% 1,634.7
Low 1,526.0 1,564.4 38.4 2.5% 1,520.3
Close 1,564.7 1,611.0 46.3 3.0% 1,536.8
Range 42.2 55.7 13.5 32.0% 114.4
ATR 38.2 39.4 1.3 3.3% 0.0
Volume 162,027 170,266 8,239 5.1% 917,826
Daily Pivots for day following 03-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,765.6 1,744.0 1,641.6
R3 1,709.9 1,688.3 1,626.3
R2 1,654.2 1,654.2 1,621.2
R1 1,632.6 1,632.6 1,616.1 1,643.4
PP 1,598.5 1,598.5 1,598.5 1,603.9
S1 1,576.9 1,576.9 1,605.9 1,587.7
S2 1,542.8 1,542.8 1,600.8
S3 1,487.1 1,521.2 1,595.7
S4 1,431.4 1,465.5 1,580.4
Weekly Pivots for week ending 30-Oct-2020
Classic Woodie Camarilla DeMark
R4 1,907.1 1,836.4 1,599.7
R3 1,792.7 1,722.0 1,568.3
R2 1,678.3 1,678.3 1,557.8
R1 1,607.6 1,607.6 1,547.3 1,585.8
PP 1,563.9 1,563.9 1,563.9 1,553.0
S1 1,493.2 1,493.2 1,526.3 1,471.4
S2 1,449.5 1,449.5 1,515.8
S3 1,335.1 1,378.8 1,505.3
S4 1,220.7 1,264.4 1,473.9
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,620.1 1,520.3 99.8 6.2% 44.3 2.8% 91% True False 189,781
10 1,641.7 1,520.3 121.4 7.5% 40.6 2.5% 75% False False 167,652
20 1,651.7 1,520.3 131.4 8.2% 35.6 2.2% 69% False False 165,960
40 1,651.7 1,426.2 225.5 14.0% 39.1 2.4% 82% False False 175,572
60 1,651.7 1,426.2 225.5 14.0% 36.0 2.2% 82% False False 117,203
80 1,651.7 1,387.8 263.9 16.4% 34.2 2.1% 85% False False 87,912
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 9.8
Widest range in 31 trading days
Fibonacci Retracements and Extensions
4.250 1,856.8
2.618 1,765.9
1.618 1,710.2
1.000 1,675.8
0.618 1,654.5
HIGH 1,620.1
0.618 1,598.8
0.500 1,592.3
0.382 1,585.7
LOW 1,564.4
0.618 1,530.0
1.000 1,508.7
1.618 1,474.3
2.618 1,418.6
4.250 1,327.7
Fisher Pivots for day following 03-Nov-2020
Pivot 1 day 3 day
R1 1,604.8 1,597.4
PP 1,598.5 1,583.8
S1 1,592.3 1,570.2

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

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