CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 12-Jun-2020
Day Change Summary
Previous Current
11-Jun-2020 12-Jun-2020 Change Change % Previous Week
Open 1,461.3 1,355.6 -105.7 -7.2% 1,505.5
High 1,461.3 1,411.5 -49.8 -3.4% 1,536.2
Low 1,347.4 1,341.8 -5.6 -0.4% 1,341.8
Close 1,353.7 1,379.2 25.5 1.9% 1,379.2
Range 113.9 69.7 -44.2 -38.8% 194.4
ATR 57.2 58.1 0.9 1.6% 0.0
Volume 77,630 312,184 234,554 302.1% 404,816
Daily Pivots for day following 12-Jun-2020
Classic Woodie Camarilla DeMark
R4 1,586.6 1,552.6 1,417.5
R3 1,516.9 1,482.9 1,398.4
R2 1,447.2 1,447.2 1,392.0
R1 1,413.2 1,413.2 1,385.6 1,430.2
PP 1,377.5 1,377.5 1,377.5 1,386.0
S1 1,343.5 1,343.5 1,372.8 1,360.5
S2 1,307.8 1,307.8 1,366.4
S3 1,238.1 1,273.8 1,360.0
S4 1,168.4 1,204.1 1,340.9
Weekly Pivots for week ending 12-Jun-2020
Classic Woodie Camarilla DeMark
R4 2,002.3 1,885.1 1,486.1
R3 1,807.9 1,690.7 1,432.7
R2 1,613.5 1,613.5 1,414.8
R1 1,496.3 1,496.3 1,397.0 1,457.7
PP 1,419.1 1,419.1 1,419.1 1,399.8
S1 1,301.9 1,301.9 1,361.4 1,263.3
S2 1,224.7 1,224.7 1,343.6
S3 1,030.3 1,107.5 1,325.7
S4 835.9 913.1 1,272.3
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,536.2 1,341.8 194.4 14.1% 67.2 4.9% 19% False True 80,963
10 1,536.2 1,341.8 194.4 14.1% 57.4 4.2% 19% False True 41,469
20 1,536.2 1,212.0 324.2 23.5% 53.7 3.9% 52% False False 20,883
40 1,536.2 1,164.5 371.7 27.0% 52.6 3.8% 58% False False 10,531
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 8.9
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,707.7
2.618 1,594.0
1.618 1,524.3
1.000 1,481.2
0.618 1,454.6
HIGH 1,411.5
0.618 1,384.9
0.500 1,376.7
0.382 1,368.4
LOW 1,341.8
0.618 1,298.7
1.000 1,272.1
1.618 1,229.0
2.618 1,159.3
4.250 1,045.6
Fisher Pivots for day following 12-Jun-2020
Pivot 1 day 3 day
R1 1,378.4 1,432.0
PP 1,377.5 1,414.4
S1 1,376.7 1,396.8

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

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