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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