CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 13-Jul-2020

Day Change Summary
	Previous	Current
	10-Jul-2020	13-Jul-2020	Change	Change %	Previous Week
Open	1,394.2	1,423.0	28.8	2.1%	1,424.2
High	1,423.8	1,451.3	27.5	1.9%	1,466.4
Low	1,373.6	1,396.6	23.0	1.7%	1,373.6
Close	1,419.6	1,400.5	-19.1	-1.3%	1,419.6
Range	50.2	54.7	4.5	9.0%	92.8
ATR	51.8	52.0	0.2	0.4%	0.0
Volume	178,808	203,132	24,324	13.6%	922,675

Daily Pivots for day following 13-Jul-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,580.2	1,545.1	1,430.6
R3	1,525.5	1,490.4	1,415.5
R2	1,470.8	1,470.8	1,410.5
R1	1,435.7	1,435.7	1,405.5	1,425.9
PP	1,416.1	1,416.1	1,416.1	1,411.3
S1	1,381.0	1,381.0	1,395.5	1,371.2
S2	1,361.4	1,361.4	1,390.5
S3	1,306.7	1,326.3	1,385.5
S4	1,252.0	1,271.6	1,370.4

Weekly Pivots for week ending 10-Jul-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,698.3	1,651.7	1,470.6
R3	1,605.5	1,558.9	1,445.1
R2	1,512.7	1,512.7	1,436.6
R1	1,466.1	1,466.1	1,428.1	1,443.0
PP	1,419.9	1,419.9	1,419.9	1,408.3
S1	1,373.3	1,373.3	1,411.1	1,350.2
S2	1,327.1	1,327.1	1,402.6
S3	1,234.3	1,280.5	1,394.1
S4	1,141.5	1,187.7	1,368.6

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,451.3	1,373.6	77.7	5.5%	46.4	3.3%	35%	True	False	190,974
10	1,466.4	1,359.6	106.8	7.6%	46.3	3.3%	38%	False	False	195,723
20	1,481.6	1,314.5	167.1	11.9%	53.0	3.8%	51%	False	False	207,789
40	1,536.2	1,212.0	324.2	23.1%	53.4	3.8%	58%	False	False	114,336
60	1,536.2	1,164.5	371.7	26.5%	52.7	3.8%	63%	False	False	76,283

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	True
Bear Hook	False
Bull Hook	False
Stretch	12.2
Widest range in 9 trading days

Fibonacci Retracements and Extensions
4.250	1,683.8
2.618	1,594.5
1.618	1,539.8
1.000	1,506.0
0.618	1,485.1
HIGH	1,451.3
0.618	1,430.4
0.500	1,424.0
0.382	1,417.5
LOW	1,396.6
0.618	1,362.8
1.000	1,341.9
1.618	1,308.1
2.618	1,253.4
4.250	1,164.1

Fisher Pivots for day following 13-Jul-2020
Pivot	1 day	3 day
R1	1,424.0	1,412.5
PP	1,416.1	1,408.5
S1	1,408.3	1,404.5

Download as Excel Spreadsheet

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

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