CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 17-Jun-2020
Day Change Summary
Previous Current
16-Jun-2020 17-Jun-2020 Change Change % Previous Week
Open 1,422.0 1,447.1 25.1 1.8% 1,505.5
High 1,481.6 1,470.9 -10.7 -0.7% 1,536.2
Low 1,415.2 1,418.8 3.6 0.3% 1,341.8
Close 1,451.3 1,424.7 -26.6 -1.8% 1,379.2
Range 66.4 52.1 -14.3 -21.5% 194.4
ATR 62.2 61.4 -0.7 -1.2% 0.0
Volume 291,721 200,146 -91,575 -31.4% 404,816
Daily Pivots for day following 17-Jun-2020
Classic Woodie Camarilla DeMark
R4 1,594.4 1,561.7 1,453.4
R3 1,542.3 1,509.6 1,439.0
R2 1,490.2 1,490.2 1,434.3
R1 1,457.5 1,457.5 1,429.5 1,447.8
PP 1,438.1 1,438.1 1,438.1 1,433.3
S1 1,405.4 1,405.4 1,419.9 1,395.7
S2 1,386.0 1,386.0 1,415.1
S3 1,333.9 1,353.3 1,410.4
S4 1,281.8 1,301.2 1,396.0
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 1,481.6 1,314.5 167.1 11.7% 82.6 5.8% 66% False False 254,293
10 1,536.2 1,314.5 221.7 15.6% 67.6 4.7% 50% False False 129,157
20 1,536.2 1,296.8 239.4 16.8% 57.2 4.0% 53% False False 64,932
40 1,536.2 1,173.1 363.1 25.5% 55.2 3.9% 69% False False 32,559
60 1,536.2 1,030.4 505.8 35.5% 56.6 4.0% 78% False False 21,777
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 12.7
Narrowest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,692.3
2.618 1,607.3
1.618 1,555.2
1.000 1,523.0
0.618 1,503.1
HIGH 1,470.9
0.618 1,451.0
0.500 1,444.9
0.382 1,438.7
LOW 1,418.8
0.618 1,386.6
1.000 1,366.7
1.618 1,334.5
2.618 1,282.4
4.250 1,197.4
Fisher Pivots for day following 17-Jun-2020
Pivot 1 day 3 day
R1 1,444.9 1,415.8
PP 1,438.1 1,406.9
S1 1,431.4 1,398.1

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

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