CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 13-May-2020
Day Change Summary
Previous Current
12-May-2020 13-May-2020 Change Change % Previous Week
Open 1,319.2 1,260.3 -58.9 -4.5% 1,235.2
High 1,328.9 1,276.2 -52.7 -4.0% 1,327.7
Low 1,254.2 1,206.8 -47.4 -3.8% 1,220.4
Close 1,264.6 1,227.9 -36.7 -2.9% 1,327.0
Range 74.7 69.4 -5.3 -7.1% 107.3
ATR 57.1 58.0 0.9 1.5% 0.0
Volume 21 255 234 1,114.3% 179
Daily Pivots for day following 13-May-2020
Classic Woodie Camarilla DeMark
R4 1,445.2 1,405.9 1,266.1
R3 1,375.8 1,336.5 1,247.0
R2 1,306.4 1,306.4 1,240.6
R1 1,267.1 1,267.1 1,234.3 1,252.1
PP 1,237.0 1,237.0 1,237.0 1,229.4
S1 1,197.7 1,197.7 1,221.5 1,182.7
S2 1,167.6 1,167.6 1,215.2
S3 1,098.2 1,128.3 1,208.8
S4 1,028.8 1,058.9 1,189.7
Weekly Pivots for week ending 08-May-2020
Classic Woodie Camarilla DeMark
R4 1,613.6 1,577.6 1,386.0
R3 1,506.3 1,470.3 1,356.5
R2 1,399.0 1,399.0 1,346.7
R1 1,363.0 1,363.0 1,336.8 1,381.0
PP 1,291.7 1,291.7 1,291.7 1,300.7
S1 1,255.7 1,255.7 1,317.2 1,273.7
S2 1,184.4 1,184.4 1,307.3
S3 1,077.1 1,148.4 1,297.5
S4 969.8 1,041.1 1,268.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,338.2 1,206.8 131.4 10.7% 54.5 4.4% 16% False True 70
10 1,367.5 1,206.8 160.7 13.1% 51.1 4.2% 13% False True 123
20 1,371.5 1,148.0 223.5 18.2% 51.0 4.2% 36% False False 185
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
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 9.4
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,571.2
2.618 1,457.9
1.618 1,388.5
1.000 1,345.6
0.618 1,319.1
HIGH 1,276.2
0.618 1,249.7
0.500 1,241.5
0.382 1,233.3
LOW 1,206.8
0.618 1,163.9
1.000 1,137.4
1.618 1,094.5
2.618 1,025.1
4.250 911.9
Fisher Pivots for day following 13-May-2020
Pivot 1 day 3 day
R1 1,241.5 1,272.5
PP 1,237.0 1,257.6
S1 1,232.4 1,242.8

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

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