CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 15-Jun-2020

Day Change Summary
	Previous	Current
	12-Jun-2020	15-Jun-2020	Change	Change %	Previous Week
Open	1,355.6	1,355.7	0.1	0.0%	1,505.5
High	1,411.5	1,425.5	14.0	1.0%	1,536.2
Low	1,341.8	1,314.5	-27.3	-2.0%	1,341.8
Close	1,379.2	1,418.2	39.0	2.8%	1,379.2
Range	69.7	111.0	41.3	59.3%	194.4
ATR	58.1	61.8	3.8	6.5%	0.0
Volume	312,184	389,786	77,602	24.9%	404,816

Daily Pivots for day following 15-Jun-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,719.1	1,679.6	1,479.3
R3	1,608.1	1,568.6	1,448.7
R2	1,497.1	1,497.1	1,438.6
R1	1,457.6	1,457.6	1,428.4	1,477.4
PP	1,386.1	1,386.1	1,386.1	1,395.9
S1	1,346.6	1,346.6	1,408.0	1,366.4
S2	1,275.1	1,275.1	1,397.9
S3	1,164.1	1,235.6	1,387.7
S4	1,053.1	1,124.6	1,357.2

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	1,314.5	221.7	15.6%	81.8	5.8%	47%	False	True	158,615
10	1,536.2	1,314.5	221.7	15.6%	63.8	4.5%	47%	False	True	80,418
20	1,536.2	1,264.5	271.7	19.2%	57.1	4.0%	57%	False	False	40,363
40	1,536.2	1,164.5	371.7	26.2%	54.7	3.9%	68%	False	False	20,265

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	11.7
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,897.3
2.618	1,716.1
1.618	1,605.1
1.000	1,536.5
0.618	1,494.1
HIGH	1,425.5
0.618	1,383.1
0.500	1,370.0
0.382	1,356.9
LOW	1,314.5
0.618	1,245.9
1.000	1,203.5
1.618	1,134.9
2.618	1,023.9
4.250	842.8

Fisher Pivots for day following 15-Jun-2020
Pivot	1 day	3 day
R1	1,402.1	1,408.1
PP	1,386.1	1,398.0
S1	1,370.0	1,387.9

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

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