CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 17-Aug-2020

Day Change Summary
	Previous	Current
	14-Aug-2020	17-Aug-2020	Change	Change %	Previous Week
Open	1,578.3	1,575.2	-3.1	-0.2%	1,568.6
High	1,587.5	1,586.5	-1.0	-0.1%	1,605.7
Low	1,560.9	1,572.0	11.1	0.7%	1,560.9
Close	1,573.2	1,583.9	10.7	0.7%	1,573.2
Range	26.6	14.5	-12.1	-45.5%	44.8
ATR	34.2	32.8	-1.4	-4.1%	0.0
Volume	106,594	76,811	-29,783	-27.9%	782,674

Daily Pivots for day following 17-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,624.3	1,618.6	1,591.9
R3	1,609.8	1,604.1	1,587.9
R2	1,595.3	1,595.3	1,586.6
R1	1,589.6	1,589.6	1,585.2	1,592.5
PP	1,580.8	1,580.8	1,580.8	1,582.2
S1	1,575.1	1,575.1	1,582.6	1,578.0
S2	1,566.3	1,566.3	1,581.2
S3	1,551.8	1,560.6	1,579.9
S4	1,537.3	1,546.1	1,575.9

Weekly Pivots for week ending 14-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,714.3	1,688.6	1,597.8
R3	1,669.5	1,643.8	1,585.5
R2	1,624.7	1,624.7	1,581.4
R1	1,599.0	1,599.0	1,577.3	1,611.9
PP	1,579.9	1,579.9	1,579.9	1,586.4
S1	1,554.2	1,554.2	1,569.1	1,567.1
S2	1,535.1	1,535.1	1,565.0
S3	1,490.3	1,509.4	1,560.9
S4	1,445.5	1,464.6	1,548.6

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	1,560.9	44.8	2.8%	24.9	1.6%	51%	False	False	138,587
10	1,605.7	1,493.7	112.0	7.1%	27.0	1.7%	81%	False	False	151,301
20	1,605.7	1,451.1	154.6	9.8%	30.2	1.9%	86%	False	False	155,307
40	1,605.7	1,359.6	246.1	15.5%	37.6	2.4%	91%	False	False	175,006
60	1,605.7	1,314.5	291.2	18.4%	44.3	2.8%	93%	False	False	144,401
80	1,605.7	1,173.1	432.6	27.3%	46.5	2.9%	95%	False	False	108,351
100	1,605.7	1,030.4	575.3	36.3%	48.6	3.1%	96%	False	False	86,724

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	True
2BNR	False
3BNR	True
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	8.8
Narrowest range in 103 trading days

Fibonacci Retracements and Extensions
4.250	1,648.1
2.618	1,624.5
1.618	1,610.0
1.000	1,601.0
0.618	1,595.5
HIGH	1,586.5
0.618	1,581.0
0.500	1,579.3
0.382	1,577.5
LOW	1,572.0
0.618	1,563.0
1.000	1,557.5
1.618	1,548.5
2.618	1,534.0
4.250	1,510.4

Fisher Pivots for day following 17-Aug-2020
Pivot	1 day	3 day
R1	1,582.4	1,581.3
PP	1,580.8	1,578.7
S1	1,579.3	1,576.2

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

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