CME E-mini Russell 2000 Index Futures March 2021


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 1,710.0 1,734.6 24.6 1.4% 1,529.5
High 1,746.0 1,744.1 -1.9 -0.1% 1,664.4
Low 1,691.1 1,714.5 23.4 1.4% 1,523.2
Close 1,731.2 1,732.2 1.0 0.1% 1,639.9
Range 54.9 29.6 -25.3 -46.1% 141.2
ATR 51.4 49.9 -1.6 -3.0% 0.0
Volume 118 56 -62 -52.5% 572
Daily Pivots for day following 11-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,819.1 1,805.2 1,748.5
R3 1,789.5 1,775.6 1,740.3
R2 1,759.9 1,759.9 1,737.6
R1 1,746.0 1,746.0 1,734.9 1,738.2
PP 1,730.3 1,730.3 1,730.3 1,726.3
S1 1,716.4 1,716.4 1,729.5 1,708.6
S2 1,700.7 1,700.7 1,726.8
S3 1,671.1 1,686.8 1,724.1
S4 1,641.5 1,657.2 1,715.9
Weekly Pivots for week ending 06-Nov-2020
Classic Woodie Camarilla DeMark
R4 2,032.8 1,977.5 1,717.6
R3 1,891.6 1,836.3 1,678.7
R2 1,750.4 1,750.4 1,665.8
R1 1,695.1 1,695.1 1,652.8 1,722.8
PP 1,609.2 1,609.2 1,609.2 1,623.0
S1 1,553.9 1,553.9 1,627.0 1,581.6
S2 1,468.0 1,468.0 1,614.0
S3 1,326.8 1,412.7 1,601.1
S4 1,185.6 1,271.5 1,562.2
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,809.8 1,595.5 214.3 12.4% 66.7 3.9% 64% False False 241
10 1,809.8 1,515.9 293.9 17.0% 59.0 3.4% 74% False False 179
20 1,809.8 1,515.9 293.9 17.0% 46.2 2.7% 74% False False 119
40 1,809.8 1,424.4 385.4 22.2% 41.5 2.4% 80% False False 88
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 12.6
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,869.9
2.618 1,821.6
1.618 1,792.0
1.000 1,773.7
0.618 1,762.4
HIGH 1,744.1
0.618 1,732.8
0.500 1,729.3
0.382 1,725.8
LOW 1,714.5
0.618 1,696.2
1.000 1,684.9
1.618 1,666.6
2.618 1,637.0
4.250 1,588.7
Fisher Pivots for day following 11-Nov-2020
Pivot 1 day 3 day
R1 1,731.2 1,732.3
PP 1,730.3 1,732.3
S1 1,729.3 1,732.2

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

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