CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 27-Nov-2020
Day Change Summary
Previous Current
25-Nov-2020 27-Nov-2020 Change Change % Previous Week
Open 1,853.3 1,848.3 -5.0 -0.3% 1,778.5
High 1,863.6 1,856.2 -7.4 -0.4% 1,863.6
Low 1,828.1 1,829.3 1.2 0.1% 1,776.6
Close 1,844.6 1,853.0 8.4 0.5% 1,853.0
Range 35.5 26.9 -8.6 -24.2% 87.0
ATR 47.3 45.9 -1.5 -3.1% 0.0
Volume 129,363 86,729 -42,634 -33.0% 531,721
Daily Pivots for day following 27-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,926.9 1,916.8 1,867.8
R3 1,900.0 1,889.9 1,860.4
R2 1,873.1 1,873.1 1,857.9
R1 1,863.0 1,863.0 1,855.5 1,868.1
PP 1,846.2 1,846.2 1,846.2 1,848.7
S1 1,836.1 1,836.1 1,850.5 1,841.2
S2 1,819.3 1,819.3 1,848.1
S3 1,792.4 1,809.2 1,845.6
S4 1,765.5 1,782.3 1,838.2
Weekly Pivots for week ending 27-Nov-2020
Classic Woodie Camarilla DeMark
R4 2,092.1 2,059.5 1,900.9
R3 2,005.1 1,972.5 1,876.9
R2 1,918.1 1,918.1 1,869.0
R1 1,885.5 1,885.5 1,861.0 1,901.8
PP 1,831.1 1,831.1 1,831.1 1,839.2
S1 1,798.5 1,798.5 1,845.0 1,814.8
S2 1,744.1 1,744.1 1,837.1
S3 1,657.1 1,711.5 1,829.1
S4 1,570.1 1,624.5 1,805.2
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,863.6 1,757.3 106.3 5.7% 37.8 2.0% 90% False False 132,912
10 1,863.6 1,693.2 170.4 9.2% 41.6 2.2% 94% False False 150,204
20 1,863.6 1,520.3 343.3 18.5% 52.3 2.8% 97% False False 174,698
40 1,863.6 1,490.7 372.9 20.1% 44.3 2.4% 97% False False 172,457
60 1,863.6 1,426.2 437.4 23.6% 44.4 2.4% 98% False False 166,154
80 1,863.6 1,426.2 437.4 23.6% 39.4 2.1% 98% False False 124,650
100 1,863.6 1,372.2 491.4 26.5% 38.0 2.0% 98% False False 99,729
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 True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 9.3
Narrowest range in 24 trading days
Fibonacci Retracements and Extensions
4.250 1,970.5
2.618 1,926.6
1.618 1,899.7
1.000 1,883.1
0.618 1,872.8
HIGH 1,856.2
0.618 1,845.9
0.500 1,842.8
0.382 1,839.6
LOW 1,829.3
0.618 1,812.7
1.000 1,802.4
1.618 1,785.8
2.618 1,758.9
4.250 1,715.0
Fisher Pivots for day following 27-Nov-2020
Pivot 1 day 3 day
R1 1,849.6 1,849.2
PP 1,846.2 1,845.5
S1 1,842.8 1,841.7

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

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