CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 12-Aug-2020

Day Change Summary
	Previous	Current
	11-Aug-2020	12-Aug-2020	Change	Change %	Previous Week
Open	1,582.3	1,582.6	0.3	0.0%	1,479.2
High	1,605.7	1,596.9	-8.8	-0.5%	1,569.0
Low	1,567.4	1,570.9	3.5	0.2%	1,467.8
Close	1,577.3	1,579.7	2.4	0.2%	1,566.2
Range	38.3	26.0	-12.3	-32.1%	101.2
ATR	36.7	36.0	-0.8	-2.1%	0.0
Volume	215,698	168,131	-47,567	-22.1%	799,060

Daily Pivots for day following 12-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,660.5	1,646.1	1,594.0
R3	1,634.5	1,620.1	1,586.9
R2	1,608.5	1,608.5	1,584.5
R1	1,594.1	1,594.1	1,582.1	1,588.3
PP	1,582.5	1,582.5	1,582.5	1,579.6
S1	1,568.1	1,568.1	1,577.3	1,562.3
S2	1,556.5	1,556.5	1,574.9
S3	1,530.5	1,542.1	1,572.6
S4	1,504.5	1,516.1	1,565.4

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	1,605.7	1,531.3	74.4	4.7%	30.6	1.9%	65%	False	False	178,790
10	1,605.7	1,451.1	154.6	9.8%	32.4	2.1%	83%	False	False	176,318
20	1,605.7	1,451.1	154.6	9.8%	30.9	2.0%	83%	False	False	163,085
40	1,605.7	1,359.6	246.1	15.6%	39.7	2.5%	89%	False	False	181,421
60	1,605.7	1,296.8	308.9	19.6%	45.4	2.9%	92%	False	False	139,257
80	1,605.7	1,164.5	441.2	27.9%	47.5	3.0%	94%	False	False	104,489

Crabel Price Patterns
NR	True
NR4	True
NR5	False
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	True
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	8.3
Narrowest range in 4 trading days

Fibonacci Retracements and Extensions
4.250	1,707.4
2.618	1,665.0
1.618	1,639.0
1.000	1,622.9
0.618	1,613.0
HIGH	1,596.9
0.618	1,587.0
0.500	1,583.9
0.382	1,580.8
LOW	1,570.9
0.618	1,554.8
1.000	1,544.9
1.618	1,528.8
2.618	1,502.8
4.250	1,460.4

Fisher Pivots for day following 12-Aug-2020
Pivot	1 day	3 day
R1	1,583.9	1,583.6
PP	1,582.5	1,582.3
S1	1,581.1	1,581.0

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

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