CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 26-Jun-2020

Day Change Summary
	Previous	Current
	25-Jun-2020	26-Jun-2020	Change	Change %	Previous Week
Open	1,394.7	1,407.7	13.0	0.9%	1,392.8
High	1,413.4	1,412.7	-0.7	0.0%	1,459.5
Low	1,363.6	1,369.5	5.9	0.4%	1,363.6
Close	1,409.8	1,375.2	-34.6	-2.5%	1,375.2
Range	49.8	43.2	-6.6	-13.3%	95.9
ATR	59.1	58.0	-1.1	-1.9%	0.0
Volume	201,411	246,223	44,812	22.2%	951,314

Daily Pivots for day following 26-Jun-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,515.4	1,488.5	1,399.0
R3	1,472.2	1,445.3	1,387.1
R2	1,429.0	1,429.0	1,383.1
R1	1,402.1	1,402.1	1,379.2	1,394.0
PP	1,385.8	1,385.8	1,385.8	1,381.7
S1	1,358.9	1,358.9	1,371.2	1,350.8
S2	1,342.6	1,342.6	1,367.3
S3	1,299.4	1,315.7	1,363.3
S4	1,256.2	1,272.5	1,351.4

Weekly Pivots for week ending 26-Jun-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,687.1	1,627.1	1,427.9
R3	1,591.2	1,531.2	1,401.6
R2	1,495.3	1,495.3	1,392.8
R1	1,435.3	1,435.3	1,384.0	1,417.4
PP	1,399.4	1,399.4	1,399.4	1,390.5
S1	1,339.4	1,339.4	1,366.4	1,321.5
S2	1,303.5	1,303.5	1,357.6
S3	1,207.6	1,243.5	1,348.8
S4	1,111.7	1,147.6	1,322.5

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	7.0%	55.6	4.0%	12%	False	False	190,262
10	1,481.6	1,314.5	167.1	12.2%	59.8	4.3%	36%	False	False	219,854
20	1,536.2	1,314.5	221.7	16.1%	58.6	4.3%	27%	False	False	130,662
40	1,536.2	1,173.1	363.1	26.4%	54.5	4.0%	56%	False	False	65,427
60	1,536.2	1,030.4	505.8	36.8%	55.0	4.0%	68%	False	False	43,723

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	True
Bear Hook	False
Bull Hook	False
Stretch	17.2
Narrowest range in 6 trading days

Fibonacci Retracements and Extensions
4.250	1,596.3
2.618	1,525.8
1.618	1,482.6
1.000	1,455.9
0.618	1,439.4
HIGH	1,412.7
0.618	1,396.2
0.500	1,391.1
0.382	1,386.0
LOW	1,369.5
0.618	1,342.8
1.000	1,326.3
1.618	1,299.6
2.618	1,256.4
4.250	1,185.9

Fisher Pivots for day following 26-Jun-2020
Pivot	1 day	3 day
R1	1,391.1	1,402.7
PP	1,385.8	1,393.5
S1	1,380.5	1,384.4

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

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