CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 16-Jul-2020

Day Change Summary
	Previous	Current
	15-Jul-2020	16-Jul-2020	Change	Change %	Previous Week
Open	1,432.2	1,479.8	47.6	3.3%	1,424.2
High	1,483.1	1,485.5	2.4	0.2%	1,466.4
Low	1,431.6	1,453.8	22.2	1.6%	1,373.6
Close	1,476.7	1,459.9	-16.8	-1.1%	1,419.6
Range	51.5	31.7	-19.8	-38.4%	92.8
ATR	51.7	50.3	-1.4	-2.8%	0.0
Volume	275,453	175,496	-99,957	-36.3%	922,675

Daily Pivots for day following 16-Jul-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,561.5	1,542.4	1,477.3
R3	1,529.8	1,510.7	1,468.6
R2	1,498.1	1,498.1	1,465.7
R1	1,479.0	1,479.0	1,462.8	1,472.7
PP	1,466.4	1,466.4	1,466.4	1,463.3
S1	1,447.3	1,447.3	1,457.0	1,441.0
S2	1,434.7	1,434.7	1,454.1
S3	1,403.0	1,415.6	1,451.2
S4	1,371.3	1,383.9	1,442.5

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	1,485.5	1,373.6	111.9	7.7%	44.5	3.0%	77%	True	False	215,662
10	1,485.5	1,373.6	111.9	7.7%	44.4	3.0%	77%	True	False	199,461
20	1,485.5	1,359.6	125.9	8.6%	47.4	3.2%	80%	True	False	198,525
40	1,536.2	1,296.8	239.4	16.4%	52.3	3.6%	68%	False	False	131,728
60	1,536.2	1,173.1	363.1	24.9%	52.6	3.6%	79%	False	False	87,881
80	1,536.2	1,030.4	505.8	34.6%	54.3	3.7%	85%	False	False	65,964

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
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	10.9
Narrowest range in 38 trading days

Fibonacci Retracements and Extensions
4.250	1,620.2
2.618	1,568.5
1.618	1,536.8
1.000	1,517.2
0.618	1,505.1
HIGH	1,485.5
0.618	1,473.4
0.500	1,469.7
0.382	1,465.9
LOW	1,453.8
0.618	1,434.2
1.000	1,422.1
1.618	1,402.5
2.618	1,370.8
4.250	1,319.1

Fisher Pivots for day following 16-Jul-2020
Pivot	1 day	3 day
R1	1,469.7	1,452.6
PP	1,466.4	1,445.2
S1	1,463.2	1,437.9

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

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