CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 07-Aug-2020

Day Change Summary
	Previous	Current
	06-Aug-2020	07-Aug-2020	Change	Change %	Previous Week
Open	1,542.0	1,544.3	2.3	0.1%	1,479.2
High	1,552.6	1,569.0	16.4	1.1%	1,569.0
Low	1,534.0	1,531.3	-2.7	-0.2%	1,467.8
Close	1,544.5	1,566.2	21.7	1.4%	1,566.2
Range	18.6	37.7	19.1	102.7%	101.2
ATR	36.9	36.9	0.1	0.2%	0.0
Volume	152,803	190,771	37,968	24.8%	799,060

Daily Pivots for day following 07-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,668.6	1,655.1	1,586.9
R3	1,630.9	1,617.4	1,576.6
R2	1,593.2	1,593.2	1,573.1
R1	1,579.7	1,579.7	1,569.7	1,586.5
PP	1,555.5	1,555.5	1,555.5	1,558.9
S1	1,542.0	1,542.0	1,562.7	1,548.8
S2	1,517.8	1,517.8	1,559.3
S3	1,480.1	1,504.3	1,555.8
S4	1,442.4	1,466.6	1,545.5

Weekly Pivots for week ending 07-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,837.9	1,803.3	1,621.9
R3	1,736.7	1,702.1	1,594.0
R2	1,635.5	1,635.5	1,584.8
R1	1,600.9	1,600.9	1,575.5	1,618.2
PP	1,534.3	1,534.3	1,534.3	1,543.0
S1	1,499.7	1,499.7	1,556.9	1,517.0
S2	1,433.1	1,433.1	1,547.6
S3	1,331.9	1,398.5	1,538.4
S4	1,230.7	1,297.3	1,510.5

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,569.0	1,467.8	101.2	6.5%	29.9	1.9%	97%	True	False	159,812
10	1,569.0	1,451.1	117.9	7.5%	31.4	2.0%	98%	True	False	159,070
20	1,569.0	1,390.3	178.7	11.4%	33.1	2.1%	98%	True	False	171,766
40	1,569.0	1,314.5	254.5	16.2%	43.4	2.8%	99%	True	False	192,504
60	1,569.0	1,173.1	395.9	25.3%	46.8	3.0%	99%	True	False	130,100
80	1,569.0	1,148.0	421.0	26.9%	47.8	3.1%	99%	True	False	97,621

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	7.1
Widest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	1,729.2
2.618	1,667.7
1.618	1,630.0
1.000	1,606.7
0.618	1,592.3
HIGH	1,569.0
0.618	1,554.6
0.500	1,550.2
0.382	1,545.7
LOW	1,531.3
0.618	1,508.0
1.000	1,493.6
1.618	1,470.3
2.618	1,432.6
4.250	1,371.1

Fisher Pivots for day following 07-Aug-2020
Pivot	1 day	3 day
R1	1,560.9	1,557.2
PP	1,555.5	1,548.2
S1	1,550.2	1,539.2

Download as Excel Spreadsheet

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

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