CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 24-Nov-2020
Day Change Summary
Previous Current
23-Nov-2020 24-Nov-2020 Change Change % Previous Week
Open 1,778.5 1,820.1 41.6 2.3% 1,747.0
High 1,828.8 1,863.5 34.7 1.9% 1,807.4
Low 1,776.6 1,819.8 43.2 2.4% 1,745.1
Close 1,817.1 1,851.5 34.4 1.9% 1,783.3
Range 52.2 43.7 -8.5 -16.3% 62.3
ATR 48.4 48.2 -0.1 -0.3% 0.0
Volume 139,532 176,097 36,565 26.2% 805,063
Daily Pivots for day following 24-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,976.0 1,957.5 1,875.5
R3 1,932.3 1,913.8 1,863.5
R2 1,888.6 1,888.6 1,859.5
R1 1,870.1 1,870.1 1,855.5 1,879.4
PP 1,844.9 1,844.9 1,844.9 1,849.6
S1 1,826.4 1,826.4 1,847.5 1,835.7
S2 1,801.2 1,801.2 1,843.5
S3 1,757.5 1,782.7 1,839.5
S4 1,713.8 1,739.0 1,827.5
Weekly Pivots for week ending 20-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,965.5 1,936.7 1,817.6
R3 1,903.2 1,874.4 1,800.4
R2 1,840.9 1,840.9 1,794.7
R1 1,812.1 1,812.1 1,789.0 1,826.5
PP 1,778.6 1,778.6 1,778.6 1,785.8
S1 1,749.8 1,749.8 1,777.6 1,764.2
S2 1,716.3 1,716.3 1,771.9
S3 1,654.0 1,687.5 1,766.2
S4 1,591.7 1,625.2 1,749.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,863.5 1,753.8 109.7 5.9% 40.4 2.2% 89% True False 153,122
10 1,863.5 1,691.4 172.1 9.3% 43.2 2.3% 93% True False 160,429
20 1,863.5 1,520.3 343.2 18.5% 53.4 2.9% 97% True False 183,628
40 1,863.5 1,485.8 377.7 20.4% 44.5 2.4% 97% True False 176,936
60 1,863.5 1,426.2 437.3 23.6% 44.3 2.4% 97% True False 162,563
80 1,863.5 1,426.2 437.3 23.6% 39.2 2.1% 97% True False 121,950
100 1,863.5 1,372.2 491.3 26.5% 38.1 2.1% 98% True False 97,568
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 8.6
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 2,049.2
2.618 1,977.9
1.618 1,934.2
1.000 1,907.2
0.618 1,890.5
HIGH 1,863.5
0.618 1,846.8
0.500 1,841.7
0.382 1,836.5
LOW 1,819.8
0.618 1,792.8
1.000 1,776.1
1.618 1,749.1
2.618 1,705.4
4.250 1,634.1
Fisher Pivots for day following 24-Nov-2020
Pivot 1 day 3 day
R1 1,848.2 1,837.8
PP 1,844.9 1,824.1
S1 1,841.7 1,810.4

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

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