CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 13-Aug-2020
Day Change Summary
Previous Current
12-Aug-2020 13-Aug-2020 Change Change % Previous Week
Open 1,582.6 1,579.7 -2.9 -0.2% 1,479.2
High 1,596.9 1,591.4 -5.5 -0.3% 1,569.0
Low 1,570.9 1,572.4 1.5 0.1% 1,467.8
Close 1,579.7 1,578.5 -1.2 -0.1% 1,566.2
Range 26.0 19.0 -7.0 -26.9% 101.2
ATR 36.0 34.8 -1.2 -3.4% 0.0
Volume 168,131 125,703 -42,428 -25.2% 799,060
Daily Pivots for day following 13-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,637.8 1,627.1 1,589.0
R3 1,618.8 1,608.1 1,583.7
R2 1,599.8 1,599.8 1,582.0
R1 1,589.1 1,589.1 1,580.2 1,585.0
PP 1,580.8 1,580.8 1,580.8 1,578.7
S1 1,570.1 1,570.1 1,576.8 1,566.0
S2 1,561.8 1,561.8 1,575.0
S3 1,542.8 1,551.1 1,573.3
S4 1,523.8 1,532.1 1,568.1
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% 30.7 1.9% 63% False False 173,370
10 1,605.7 1,451.1 154.6 9.8% 31.3 2.0% 82% False False 171,793
20 1,605.7 1,451.1 154.6 9.8% 30.3 1.9% 82% False False 160,595
40 1,605.7 1,359.6 246.1 15.6% 38.9 2.5% 89% False False 179,560
60 1,605.7 1,296.8 308.9 19.6% 45.0 2.8% 91% False False 141,351
80 1,605.7 1,173.1 432.6 27.4% 47.0 3.0% 94% False False 106,059
100 1,605.7 1,030.4 575.3 36.4% 49.5 3.1% 95% False False 84,890
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 True
2BNR True
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 8.9
Narrowest range in 5 trading days
Fibonacci Retracements and Extensions
4.250 1,672.2
2.618 1,641.1
1.618 1,622.1
1.000 1,610.4
0.618 1,603.1
HIGH 1,591.4
0.618 1,584.1
0.500 1,581.9
0.382 1,579.7
LOW 1,572.4
0.618 1,560.7
1.000 1,553.4
1.618 1,541.7
2.618 1,522.7
4.250 1,491.7
Fisher Pivots for day following 13-Aug-2020
Pivot 1 day 3 day
R1 1,581.9 1,586.6
PP 1,580.8 1,583.9
S1 1,579.6 1,581.2

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

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