CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 06-Nov-2020
Day Change Summary
Previous Current
05-Nov-2020 06-Nov-2020 Change Change % Previous Week
Open 1,617.4 1,658.8 41.4 2.6% 1,537.0
High 1,663.6 1,669.0 5.4 0.3% 1,669.0
Low 1,597.9 1,637.2 39.3 2.5% 1,526.0
Close 1,658.5 1,643.1 -15.4 -0.9% 1,643.1
Range 65.7 31.8 -33.9 -51.6% 143.0
ATR 44.9 44.0 -0.9 -2.1% 0.0
Volume 184,572 163,806 -20,766 -11.3% 962,816
Daily Pivots for day following 06-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,745.2 1,725.9 1,660.6
R3 1,713.4 1,694.1 1,651.8
R2 1,681.6 1,681.6 1,648.9
R1 1,662.3 1,662.3 1,646.0 1,656.1
PP 1,649.8 1,649.8 1,649.8 1,646.6
S1 1,630.5 1,630.5 1,640.2 1,624.3
S2 1,618.0 1,618.0 1,637.3
S3 1,586.2 1,598.7 1,634.4
S4 1,554.4 1,566.9 1,625.6
Weekly Pivots for week ending 06-Nov-2020
Classic Woodie Camarilla DeMark
R4 2,041.7 1,985.4 1,721.8
R3 1,898.7 1,842.4 1,682.4
R2 1,755.7 1,755.7 1,669.3
R1 1,699.4 1,699.4 1,656.2 1,727.6
PP 1,612.7 1,612.7 1,612.7 1,626.8
S1 1,556.4 1,556.4 1,630.0 1,584.6
S2 1,469.7 1,469.7 1,616.9
S3 1,326.7 1,413.4 1,603.8
S4 1,183.7 1,270.4 1,564.5
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,669.0 1,526.0 143.0 8.7% 57.8 3.5% 82% True False 192,563
10 1,669.0 1,520.3 148.7 9.0% 50.1 3.0% 83% True False 188,064
20 1,669.0 1,520.3 148.7 9.0% 40.6 2.5% 83% True False 170,276
40 1,669.0 1,426.2 242.8 14.8% 40.5 2.5% 89% True False 182,959
60 1,669.0 1,426.2 242.8 14.8% 37.9 2.3% 89% True False 127,704
80 1,669.0 1,426.2 242.8 14.8% 35.3 2.1% 89% True False 95,790
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 10 trading days
Fibonacci Retracements and Extensions
4.250 1,804.2
2.618 1,752.3
1.618 1,720.5
1.000 1,700.8
0.618 1,688.7
HIGH 1,669.0
0.618 1,656.9
0.500 1,653.1
0.382 1,649.3
LOW 1,637.2
0.618 1,617.5
1.000 1,605.4
1.618 1,585.7
2.618 1,553.9
4.250 1,502.1
Fisher Pivots for day following 06-Nov-2020
Pivot 1 day 3 day
R1 1,653.1 1,631.4
PP 1,649.8 1,619.7
S1 1,646.4 1,608.0

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

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