CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 31-Jul-2020

Day Change Summary
	Previous	Current
	30-Jul-2020	31-Jul-2020	Change	Change %	Previous Week
Open	1,497.9	1,495.8	-2.1	-0.1%	1,466.4
High	1,498.9	1,498.1	-0.8	-0.1%	1,499.7
Low	1,468.2	1,451.1	-17.1	-1.2%	1,451.1
Close	1,490.6	1,477.8	-12.8	-0.9%	1,477.8
Range	30.7	47.0	16.3	53.1%	48.6
ATR	39.5	40.1	0.5	1.4%	0.0
Volume	170,948	242,797	71,849	42.0%	791,649

Daily Pivots for day following 31-Jul-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,616.7	1,594.2	1,503.7
R3	1,569.7	1,547.2	1,490.7
R2	1,522.7	1,522.7	1,486.4
R1	1,500.2	1,500.2	1,482.1	1,488.0
PP	1,475.7	1,475.7	1,475.7	1,469.5
S1	1,453.2	1,453.2	1,473.5	1,441.0
S2	1,428.7	1,428.7	1,469.2
S3	1,381.7	1,406.2	1,464.9
S4	1,334.7	1,359.2	1,452.0

Weekly Pivots for week ending 31-Jul-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,622.0	1,598.5	1,504.5
R3	1,573.4	1,549.9	1,491.2
R2	1,524.8	1,524.8	1,486.7
R1	1,501.3	1,501.3	1,482.3	1,513.1
PP	1,476.2	1,476.2	1,476.2	1,482.1
S1	1,452.7	1,452.7	1,473.3	1,464.5
S2	1,427.6	1,427.6	1,468.9
S3	1,379.0	1,404.1	1,464.4
S4	1,330.4	1,355.5	1,451.1

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,499.7	1,451.1	48.6	3.3%	33.0	2.2%	55%	False	True	158,329
10	1,507.5	1,451.1	56.4	3.8%	31.8	2.2%	47%	False	True	158,912
20	1,507.5	1,373.6	133.9	9.1%	37.2	2.5%	78%	False	False	177,947
40	1,536.2	1,314.5	221.7	15.0%	48.3	3.3%	74%	False	False	174,930
60	1,536.2	1,173.1	363.1	24.6%	48.8	3.3%	84%	False	False	116,788
80	1,536.2	1,118.4	417.8	28.3%	49.8	3.4%	86%	False	False	87,667

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	False
Bear Hook	False
Bull Hook	False
Stretch	6.5
Widest range in 12 trading days

Fibonacci Retracements and Extensions
4.250	1,697.9
2.618	1,621.1
1.618	1,574.1
1.000	1,545.1
0.618	1,527.1
HIGH	1,498.1
0.618	1,480.1
0.500	1,474.6
0.382	1,469.1
LOW	1,451.1
0.618	1,422.1
1.000	1,404.1
1.618	1,375.1
2.618	1,328.1
4.250	1,251.4

Fisher Pivots for day following 31-Jul-2020
Pivot	1 day	3 day
R1	1,476.7	1,477.0
PP	1,475.7	1,476.2
S1	1,474.6	1,475.4

Download as Excel Spreadsheet

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

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