CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 18-May-2020
Day Change Summary
Previous Current
15-May-2020 18-May-2020 Change Change % Previous Week
Open 1,231.2 1,269.7 38.5 3.1% 1,315.0
High 1,256.2 1,334.7 78.5 6.2% 1,338.2
Low 1,212.0 1,264.5 52.5 4.3% 1,173.1
Close 1,244.2 1,330.8 86.6 7.0% 1,244.2
Range 44.2 70.2 26.0 58.8% 165.1
ATR 57.5 59.8 2.4 4.1% 0.0
Volume 178 378 200 112.4% 837
Daily Pivots for day following 18-May-2020
Classic Woodie Camarilla DeMark
R4 1,520.6 1,495.9 1,369.4
R3 1,450.4 1,425.7 1,350.1
R2 1,380.2 1,380.2 1,343.7
R1 1,355.5 1,355.5 1,337.2 1,367.9
PP 1,310.0 1,310.0 1,310.0 1,316.2
S1 1,285.3 1,285.3 1,324.4 1,297.7
S2 1,239.8 1,239.8 1,317.9
S3 1,169.6 1,215.1 1,311.5
S4 1,099.4 1,144.9 1,292.2
Weekly Pivots for week ending 15-May-2020
Classic Woodie Camarilla DeMark
R4 1,747.1 1,660.8 1,335.0
R3 1,582.0 1,495.7 1,289.6
R2 1,416.9 1,416.9 1,274.5
R1 1,330.6 1,330.6 1,259.3 1,291.2
PP 1,251.8 1,251.8 1,251.8 1,232.2
S1 1,165.5 1,165.5 1,229.1 1,126.1
S2 1,086.7 1,086.7 1,213.9
S3 921.6 1,000.4 1,198.8
S4 756.5 835.3 1,153.4
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,334.7 1,173.1 161.6 12.1% 64.6 4.9% 98% True False 236
10 1,338.2 1,173.1 165.1 12.4% 52.3 3.9% 96% False False 137
20 1,371.5 1,164.5 207.0 15.6% 53.7 4.0% 80% False False 185
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
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 9.2
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 1,633.1
2.618 1,518.5
1.618 1,448.3
1.000 1,404.9
0.618 1,378.1
HIGH 1,334.7
0.618 1,307.9
0.500 1,299.6
0.382 1,291.3
LOW 1,264.5
0.618 1,221.1
1.000 1,194.3
1.618 1,150.9
2.618 1,080.7
4.250 966.2
Fisher Pivots for day following 18-May-2020
Pivot 1 day 3 day
R1 1,320.4 1,305.2
PP 1,310.0 1,279.5
S1 1,299.6 1,253.9

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

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