CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 05-May-2020
Day Change Summary
Previous Current
04-May-2020 05-May-2020 Change Change % Previous Week
Open 1,235.2 1,268.0 32.8 2.7% 1,241.0
High 1,261.0 1,301.0 40.0 3.2% 1,371.5
Low 1,220.4 1,261.5 41.1 3.4% 1,217.5
Close 1,254.1 1,266.1 12.0 1.0% 1,256.3
Range 40.6 39.5 -1.1 -2.7% 154.0
ATR 62.2 61.1 -1.1 -1.8% 0.0
Volume 24 95 71 295.8% 974
Daily Pivots for day following 05-May-2020
Classic Woodie Camarilla DeMark
R4 1,394.7 1,369.9 1,287.8
R3 1,355.2 1,330.4 1,277.0
R2 1,315.7 1,315.7 1,273.3
R1 1,290.9 1,290.9 1,269.7 1,283.6
PP 1,276.2 1,276.2 1,276.2 1,272.5
S1 1,251.4 1,251.4 1,262.5 1,244.1
S2 1,236.7 1,236.7 1,258.9
S3 1,197.2 1,211.9 1,255.2
S4 1,157.7 1,172.4 1,244.4
Weekly Pivots for week ending 01-May-2020
Classic Woodie Camarilla DeMark
R4 1,743.8 1,654.0 1,341.0
R3 1,589.8 1,500.0 1,298.7
R2 1,435.8 1,435.8 1,284.5
R1 1,346.0 1,346.0 1,270.4 1,390.9
PP 1,281.8 1,281.8 1,281.8 1,304.2
S1 1,192.0 1,192.0 1,242.2 1,236.9
S2 1,127.8 1,127.8 1,228.1
S3 973.8 1,038.0 1,214.0
S4 819.8 884.0 1,171.6
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,371.5 1,220.4 151.1 11.9% 56.9 4.5% 30% False False 199
10 1,371.5 1,174.3 197.2 15.6% 53.6 4.2% 47% False False 233
20 1,371.5 1,112.0 259.5 20.5% 54.8 4.3% 59% False False 304
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 13.4
Narrowest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1,468.9
2.618 1,404.4
1.618 1,364.9
1.000 1,340.5
0.618 1,325.4
HIGH 1,301.0
0.618 1,285.9
0.500 1,281.3
0.382 1,276.6
LOW 1,261.5
0.618 1,237.1
1.000 1,222.0
1.618 1,197.6
2.618 1,158.1
4.250 1,093.6
Fisher Pivots for day following 05-May-2020
Pivot 1 day 3 day
R1 1,281.3 1,264.3
PP 1,276.2 1,262.5
S1 1,271.2 1,260.7

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

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