CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 16-Sep-2020

Day Change Summary
	Previous	Current
	15-Sep-2020	16-Sep-2020	Change	Change %	Previous Week
Open	1,533.6	1,541.3	7.7	0.5%	1,532.9
High	1,553.0	1,573.7	20.7	1.3%	1,553.4
Low	1,533.5	1,536.8	3.3	0.2%	1,479.6
Close	1,540.3	1,554.9	14.6	0.9%	1,493.1
Range	19.5	36.9	17.4	89.2%	73.8
ATR	36.7	36.7	0.0	0.0%	0.0
Volume	131,716	67,378	-64,338	-48.8%	914,709

Daily Pivots for day following 16-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,665.8	1,647.3	1,575.2
R3	1,628.9	1,610.4	1,565.0
R2	1,592.0	1,592.0	1,561.7
R1	1,573.5	1,573.5	1,558.3	1,582.8
PP	1,555.1	1,555.1	1,555.1	1,559.8
S1	1,536.6	1,536.6	1,551.5	1,545.9
S2	1,518.2	1,518.2	1,548.1
S3	1,481.3	1,499.7	1,544.8
S4	1,444.4	1,462.8	1,534.6

Weekly Pivots for week ending 11-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,730.1	1,685.4	1,533.7
R3	1,656.3	1,611.6	1,513.4
R2	1,582.5	1,582.5	1,506.6
R1	1,537.8	1,537.8	1,499.9	1,523.3
PP	1,508.7	1,508.7	1,508.7	1,501.4
S1	1,464.0	1,464.0	1,486.3	1,449.5
S2	1,434.9	1,434.9	1,479.6
S3	1,361.1	1,390.2	1,472.8
S4	1,287.3	1,316.4	1,452.5

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,573.7	1,481.6	92.1	5.9%	36.1	2.3%	80%	True	False	178,128
10	1,595.7	1,479.6	116.1	7.5%	45.4	2.9%	65%	False	False	199,025
20	1,595.7	1,479.6	116.1	7.5%	34.9	2.2%	65%	False	False	163,134
40	1,605.7	1,451.1	154.6	9.9%	32.4	2.1%	67%	False	False	157,246
60	1,605.7	1,359.6	246.1	15.8%	36.3	2.3%	79%	False	False	170,291
80	1,605.7	1,314.5	291.2	18.7%	41.8	2.7%	83%	False	False	150,301
100	1,605.7	1,173.1	432.6	27.8%	44.0	2.8%	88%	False	False	120,270
120	1,605.7	1,030.4	575.3	37.0%	45.6	2.9%	91%	False	False	100,271

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
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	11.6
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,730.5
2.618	1,670.3
1.618	1,633.4
1.000	1,610.6
0.618	1,596.5
HIGH	1,573.7
0.618	1,559.6
0.500	1,555.3
0.382	1,550.9
LOW	1,536.8
0.618	1,514.0
1.000	1,499.9
1.618	1,477.1
2.618	1,440.2
4.250	1,380.0

Fisher Pivots for day following 16-Sep-2020
Pivot	1 day	3 day
R1	1,555.3	1,548.4
PP	1,555.1	1,541.8
S1	1,555.0	1,535.3

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

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