CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 26-May-2020

Day Change Summary
	Previous	Current
	22-May-2020	26-May-2020	Change	Change %	Previous Week
Open	1,344.8	1,349.0	4.2	0.3%	1,269.7
High	1,354.3	1,406.3	52.0	3.8%	1,354.3
Low	1,315.1	1,347.0	31.9	2.4%	1,264.5
Close	1,351.6	1,391.3	39.7	2.9%	1,351.6
Range	39.2	59.3	20.1	51.3%	89.8
ATR	54.9	55.3	0.3	0.6%	0.0
Volume	88	431	343	389.8%	983

Daily Pivots for day following 26-May-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,559.4	1,534.7	1,423.9
R3	1,500.1	1,475.4	1,407.6
R2	1,440.8	1,440.8	1,402.2
R1	1,416.1	1,416.1	1,396.7	1,428.5
PP	1,381.5	1,381.5	1,381.5	1,387.7
S1	1,356.8	1,356.8	1,385.9	1,369.2
S2	1,322.2	1,322.2	1,380.4
S3	1,262.9	1,297.5	1,375.0
S4	1,203.6	1,238.2	1,358.7

Weekly Pivots for week ending 22-May-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,592.9	1,562.0	1,401.0
R3	1,503.1	1,472.2	1,376.3
R2	1,413.3	1,413.3	1,368.1
R1	1,382.4	1,382.4	1,359.8	1,397.9
PP	1,323.5	1,323.5	1,323.5	1,331.2
S1	1,292.6	1,292.6	1,343.4	1,308.1
S2	1,233.7	1,233.7	1,335.1
S3	1,143.9	1,202.8	1,326.9
S4	1,054.1	1,113.0	1,302.2

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,406.3	1,296.8	109.5	7.9%	44.8	3.2%	86%	True	False	207
10	1,406.3	1,173.1	233.2	16.8%	54.7	3.9%	94%	True	False	221
20	1,406.3	1,173.1	233.2	16.8%	52.3	3.8%	94%	True	False	168
40	1,406.3	1,030.4	375.9	27.0%	53.3	3.8%	96%	True	False	221

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	10.3
Widest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	1,658.3
2.618	1,561.5
1.618	1,502.2
1.000	1,465.6
0.618	1,442.9
HIGH	1,406.3
0.618	1,383.6
0.500	1,376.7
0.382	1,369.7
LOW	1,347.0
0.618	1,310.4
1.000	1,287.7
1.618	1,251.1
2.618	1,191.8
4.250	1,095.0

Fisher Pivots for day following 26-May-2020
Pivot	1 day	3 day
R1	1,386.4	1,381.1
PP	1,381.5	1,370.9
S1	1,376.7	1,360.7

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

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