CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 25-Jun-2020
Day Change Summary
Previous Current
24-Jun-2020 25-Jun-2020 Change Change % Previous Week
Open 1,432.9 1,394.7 -38.2 -2.7% 1,355.7
High 1,441.7 1,413.4 -28.3 -2.0% 1,481.6
Low 1,368.1 1,363.6 -4.5 -0.3% 1,314.5
Close 1,396.4 1,409.8 13.4 1.0% 1,401.9
Range 73.6 49.8 -23.8 -32.3% 167.1
ATR 59.8 59.1 -0.7 -1.2% 0.0
Volume 217,238 201,411 -15,827 -7.3% 1,247,234
Daily Pivots for day following 25-Jun-2020
Classic Woodie Camarilla DeMark
R4 1,545.0 1,527.2 1,437.2
R3 1,495.2 1,477.4 1,423.5
R2 1,445.4 1,445.4 1,418.9
R1 1,427.6 1,427.6 1,414.4 1,436.5
PP 1,395.6 1,395.6 1,395.6 1,400.1
S1 1,377.8 1,377.8 1,405.2 1,386.7
S2 1,345.8 1,345.8 1,400.7
S3 1,296.0 1,328.0 1,396.1
S4 1,246.2 1,278.2 1,382.4
Weekly Pivots for week ending 19-Jun-2020
Classic Woodie Camarilla DeMark
R4 1,900.6 1,818.4 1,493.8
R3 1,733.5 1,651.3 1,447.9
R2 1,566.4 1,566.4 1,432.5
R1 1,484.2 1,484.2 1,417.2 1,525.3
PP 1,399.3 1,399.3 1,399.3 1,419.9
S1 1,317.1 1,317.1 1,386.6 1,358.2
S2 1,232.2 1,232.2 1,371.3
S3 1,065.1 1,150.0 1,355.9
S4 898.0 982.9 1,310.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,459.5 1,363.6 95.9 6.8% 57.1 4.1% 48% False True 179,849
10 1,481.6 1,314.5 167.1 11.9% 62.4 4.4% 57% False False 226,450
20 1,536.2 1,314.5 221.7 15.7% 58.4 4.1% 43% False False 118,374
40 1,536.2 1,173.1 363.1 25.8% 55.1 3.9% 65% False False 59,289
60 1,536.2 1,030.4 505.8 35.9% 55.4 3.9% 75% False False 39,620
Crabel Price Patterns
NR True
NR4 True
NR5 True
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 18.1
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,625.1
2.618 1,543.8
1.618 1,494.0
1.000 1,463.2
0.618 1,444.2
HIGH 1,413.4
0.618 1,394.4
0.500 1,388.5
0.382 1,382.6
LOW 1,363.6
0.618 1,332.8
1.000 1,313.8
1.618 1,283.0
2.618 1,233.2
4.250 1,152.0
Fisher Pivots for day following 25-Jun-2020
Pivot 1 day 3 day
R1 1,402.7 1,411.6
PP 1,395.6 1,411.0
S1 1,388.5 1,410.4

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

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