CME E-mini Russell 2000 Index Futures March 2021


Trading Metrics calculated at close of trading on 16-Dec-2020
Day Change Summary
Previous Current
15-Dec-2020 16-Dec-2020 Change Change % Previous Week
Open 1,916.9 1,962.4 45.5 2.4% 1,894.7
High 1,963.8 1,974.7 10.9 0.6% 1,934.6
Low 1,911.1 1,943.1 32.0 1.7% 1,873.1
Close 1,959.8 1,953.4 -6.4 -0.3% 1,910.1
Range 52.7 31.6 -21.1 -40.0% 61.5
ATR 41.5 40.8 -0.7 -1.7% 0.0
Volume 252,539 198,588 -53,951 -21.4% 353,606
Daily Pivots for day following 16-Dec-2020
Classic Woodie Camarilla DeMark
R4 2,051.9 2,034.2 1,970.8
R3 2,020.3 2,002.6 1,962.1
R2 1,988.7 1,988.7 1,959.2
R1 1,971.0 1,971.0 1,956.3 1,964.1
PP 1,957.1 1,957.1 1,957.1 1,953.6
S1 1,939.4 1,939.4 1,950.5 1,932.5
S2 1,925.5 1,925.5 1,947.6
S3 1,893.9 1,907.8 1,944.7
S4 1,862.3 1,876.2 1,936.0
Weekly Pivots for week ending 11-Dec-2020
Classic Woodie Camarilla DeMark
R4 2,090.4 2,061.8 1,943.9
R3 2,028.9 2,000.3 1,927.0
R2 1,967.4 1,967.4 1,921.4
R1 1,938.8 1,938.8 1,915.7 1,953.1
PP 1,905.9 1,905.9 1,905.9 1,913.1
S1 1,877.3 1,877.3 1,904.5 1,891.6
S2 1,844.4 1,844.4 1,898.8
S3 1,782.9 1,815.8 1,893.2
S4 1,721.4 1,754.3 1,876.3
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,974.7 1,879.7 95.0 4.9% 39.6 2.0% 78% True False 215,293
10 1,974.7 1,828.2 146.5 7.5% 38.8 2.0% 85% True False 110,200
20 1,974.7 1,751.7 223.0 11.4% 36.8 1.9% 90% True False 55,320
40 1,974.7 1,515.9 458.8 23.5% 43.1 2.2% 95% True False 27,752
60 1,974.7 1,424.4 550.3 28.2% 40.3 2.1% 96% True False 18,520
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 9.0
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 2,109.0
2.618 2,057.4
1.618 2,025.8
1.000 2,006.3
0.618 1,994.2
HIGH 1,974.7
0.618 1,962.6
0.500 1,958.9
0.382 1,955.2
LOW 1,943.1
0.618 1,923.6
1.000 1,911.5
1.618 1,892.0
2.618 1,860.4
4.250 1,808.8
Fisher Pivots for day following 16-Dec-2020
Pivot 1 day 3 day
R1 1,958.9 1,949.9
PP 1,957.1 1,946.4
S1 1,955.2 1,942.9

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

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