CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 05-Aug-2020

Day Change Summary
	Previous	Current
	04-Aug-2020	05-Aug-2020	Change	Change %	Previous Week
Open	1,502.5	1,513.6	11.1	0.7%	1,466.4
High	1,514.8	1,544.5	29.7	2.0%	1,499.7
Low	1,493.7	1,509.3	15.6	1.0%	1,451.1
Close	1,514.0	1,542.1	28.1	1.9%	1,477.8
Range	21.1	35.2	14.1	66.8%	48.6
ATR	38.5	38.3	-0.2	-0.6%	0.0
Volume	146,838	163,117	16,279	11.1%	791,649

Daily Pivots for day following 05-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,637.6	1,625.0	1,561.5
R3	1,602.4	1,589.8	1,551.8
R2	1,567.2	1,567.2	1,548.6
R1	1,554.6	1,554.6	1,545.3	1,560.9
PP	1,532.0	1,532.0	1,532.0	1,535.1
S1	1,519.4	1,519.4	1,538.9	1,525.7
S2	1,496.8	1,496.8	1,535.6
S3	1,461.6	1,484.2	1,532.4
S4	1,426.4	1,449.0	1,522.7

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	1,544.5	1,451.1	93.4	6.1%	34.2	2.2%	97%	True	False	173,846
10	1,544.5	1,451.1	93.4	6.1%	32.8	2.1%	97%	True	False	158,696
20	1,544.5	1,373.6	170.9	11.1%	35.4	2.3%	99%	True	False	174,214
40	1,544.5	1,314.5	230.0	14.9%	46.6	3.0%	99%	True	False	186,084
60	1,544.5	1,173.1	371.4	24.1%	48.3	3.1%	99%	True	False	124,378
80	1,544.5	1,148.0	396.5	25.7%	48.1	3.1%	99%	True	False	93,330

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
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	7.5
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,694.1
2.618	1,636.7
1.618	1,601.5
1.000	1,579.7
0.618	1,566.3
HIGH	1,544.5
0.618	1,531.1
0.500	1,526.9
0.382	1,522.7
LOW	1,509.3
0.618	1,487.5
1.000	1,474.1
1.618	1,452.3
2.618	1,417.1
4.250	1,359.7

Fisher Pivots for day following 05-Aug-2020
Pivot	1 day	3 day
R1	1,537.0	1,530.1
PP	1,532.0	1,518.1
S1	1,526.9	1,506.2

Download as Excel Spreadsheet

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

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