CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 04-Nov-2020
Day Change Summary
Previous Current
03-Nov-2020 04-Nov-2020 Change Change % Previous Week
Open 1,565.1 1,616.0 50.9 3.3% 1,634.7
High 1,620.1 1,640.4 20.3 1.3% 1,634.7
Low 1,564.4 1,546.9 -17.5 -1.1% 1,520.3
Close 1,611.0 1,611.6 0.6 0.0% 1,536.8
Range 55.7 93.5 37.8 67.9% 114.4
ATR 39.4 43.3 3.9 9.8% 0.0
Volume 170,266 282,145 111,879 65.7% 917,826
Daily Pivots for day following 04-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,880.1 1,839.4 1,663.0
R3 1,786.6 1,745.9 1,637.3
R2 1,693.1 1,693.1 1,628.7
R1 1,652.4 1,652.4 1,620.2 1,626.0
PP 1,599.6 1,599.6 1,599.6 1,586.5
S1 1,558.9 1,558.9 1,603.0 1,532.5
S2 1,506.1 1,506.1 1,594.5
S3 1,412.6 1,465.4 1,585.9
S4 1,319.1 1,371.9 1,560.2
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 1,640.4 1,520.3 120.1 7.5% 54.6 3.4% 76% True False 203,738
10 1,641.7 1,520.3 121.4 7.5% 47.1 2.9% 75% False False 180,574
20 1,651.7 1,520.3 131.4 8.2% 37.8 2.3% 69% False False 170,384
40 1,651.7 1,426.2 225.5 14.0% 40.1 2.5% 82% False False 182,346
60 1,651.7 1,426.2 225.5 14.0% 36.9 2.3% 82% False False 121,902
80 1,651.7 1,426.2 225.5 14.0% 35.0 2.2% 82% False False 91,438
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 10.9
Widest range in 97 trading days
Fibonacci Retracements and Extensions
4.250 2,037.8
2.618 1,885.2
1.618 1,791.7
1.000 1,733.9
0.618 1,698.2
HIGH 1,640.4
0.618 1,604.7
0.500 1,593.7
0.382 1,582.6
LOW 1,546.9
0.618 1,489.1
1.000 1,453.4
1.618 1,395.6
2.618 1,302.1
4.250 1,149.5
Fisher Pivots for day following 04-Nov-2020
Pivot 1 day 3 day
R1 1,605.6 1,602.1
PP 1,599.6 1,592.7
S1 1,593.7 1,583.2

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

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