CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 11-Nov-2020
Day Change Summary
Previous Current
10-Nov-2020 11-Nov-2020 Change Change % Previous Week
Open 1,706.4 1,735.8 29.4 1.7% 1,537.0
High 1,750.0 1,747.8 -2.2 -0.1% 1,669.0
Low 1,693.1 1,717.1 24.0 1.4% 1,526.0
Close 1,734.2 1,735.2 1.0 0.1% 1,643.1
Range 56.9 30.7 -26.2 -46.0% 143.0
ATR 53.4 51.8 -1.6 -3.0% 0.0
Volume 211,066 137,312 -73,754 -34.9% 962,816
Daily Pivots for day following 11-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,825.5 1,811.0 1,752.1
R3 1,794.8 1,780.3 1,743.6
R2 1,764.1 1,764.1 1,740.8
R1 1,749.6 1,749.6 1,738.0 1,741.5
PP 1,733.4 1,733.4 1,733.4 1,729.3
S1 1,718.9 1,718.9 1,732.4 1,710.8
S2 1,702.7 1,702.7 1,729.6
S3 1,672.0 1,688.2 1,726.8
S4 1,641.3 1,657.5 1,718.3
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 1,815.3 1,597.9 217.4 12.5% 70.4 4.1% 63% False False 194,905
10 1,815.3 1,520.3 295.0 17.0% 62.5 3.6% 73% False False 199,321
20 1,815.3 1,520.3 295.0 17.0% 49.3 2.8% 73% False False 176,804
40 1,815.3 1,426.2 389.1 22.4% 44.4 2.6% 79% False False 181,264
60 1,815.3 1,426.2 389.1 22.4% 41.0 2.4% 79% False False 138,132
80 1,815.3 1,426.2 389.1 22.4% 37.7 2.2% 79% False False 103,616
100 1,815.3 1,357.5 457.8 26.4% 38.4 2.2% 83% False False 82,904
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
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 13.2
Narrowest range in 13 trading days
Fibonacci Retracements and Extensions
4.250 1,878.3
2.618 1,828.2
1.618 1,797.5
1.000 1,778.5
0.618 1,766.8
HIGH 1,747.8
0.618 1,736.1
0.500 1,732.5
0.382 1,728.8
LOW 1,717.1
0.618 1,698.1
1.000 1,686.4
1.618 1,667.4
2.618 1,636.7
4.250 1,586.6
Fisher Pivots for day following 11-Nov-2020
Pivot 1 day 3 day
R1 1,734.3 1,734.1
PP 1,733.4 1,732.9
S1 1,732.5 1,731.8

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

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