CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 02-Jun-2020
Day Change Summary
Previous Current
01-Jun-2020 02-Jun-2020 Change Change % Previous Week
Open 1,383.0 1,405.8 22.8 1.6% 1,349.0
High 1,417.6 1,419.0 1.4 0.1% 1,449.6
Low 1,369.7 1,386.7 17.0 1.2% 1,347.0
Close 1,401.1 1,413.6 12.5 0.9% 1,389.4
Range 47.9 32.3 -15.6 -32.6% 102.6
ATR 54.4 52.8 -1.6 -2.9% 0.0
Volume 302 807 505 167.2% 1,807
Daily Pivots for day following 02-Jun-2020
Classic Woodie Camarilla DeMark
R4 1,503.3 1,490.8 1,431.4
R3 1,471.0 1,458.5 1,422.5
R2 1,438.7 1,438.7 1,419.5
R1 1,426.2 1,426.2 1,416.6 1,432.5
PP 1,406.4 1,406.4 1,406.4 1,409.6
S1 1,393.9 1,393.9 1,410.6 1,400.2
S2 1,374.1 1,374.1 1,407.7
S3 1,341.8 1,361.6 1,404.7
S4 1,309.5 1,329.3 1,395.8
Weekly Pivots for week ending 29-May-2020
Classic Woodie Camarilla DeMark
R4 1,703.1 1,648.9 1,445.8
R3 1,600.5 1,546.3 1,417.6
R2 1,497.9 1,497.9 1,408.2
R1 1,443.7 1,443.7 1,398.8 1,470.8
PP 1,395.3 1,395.3 1,395.3 1,408.9
S1 1,341.1 1,341.1 1,380.0 1,368.2
S2 1,292.7 1,292.7 1,370.6
S3 1,190.1 1,238.5 1,361.2
S4 1,087.5 1,135.9 1,333.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,449.6 1,364.9 84.7 6.0% 48.4 3.4% 57% False False 497
10 1,449.6 1,296.8 152.8 10.8% 46.6 3.3% 76% False False 352
20 1,449.6 1,173.1 276.5 19.6% 49.4 3.5% 87% False False 244
40 1,449.6 1,076.0 373.6 26.4% 52.6 3.7% 90% False False 277
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 True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 10.6
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 1,556.3
2.618 1,503.6
1.618 1,471.3
1.000 1,451.3
0.618 1,439.0
HIGH 1,419.0
0.618 1,406.7
0.500 1,402.9
0.382 1,399.0
LOW 1,386.7
0.618 1,366.7
1.000 1,354.4
1.618 1,334.4
2.618 1,302.1
4.250 1,249.4
Fisher Pivots for day following 02-Jun-2020
Pivot 1 day 3 day
R1 1,410.0 1,406.4
PP 1,406.4 1,399.2
S1 1,402.9 1,392.0

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

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