CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 21-Aug-2020

Day Change Summary
	Previous	Current
	20-Aug-2020	21-Aug-2020	Change	Change %	Previous Week
Open	1,568.1	1,561.3	-6.8	-0.4%	1,575.2
High	1,570.8	1,569.1	-1.7	-0.1%	1,589.6
Low	1,551.3	1,541.3	-10.0	-0.6%	1,541.3
Close	1,560.3	1,548.6	-11.7	-0.7%	1,548.6
Range	19.5	27.8	8.3	42.6%	48.3
ATR	30.6	30.4	-0.2	-0.7%	0.0
Volume	120,160	141,504	21,344	17.8%	548,993

Daily Pivots for day following 21-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,636.4	1,620.3	1,563.9
R3	1,608.6	1,592.5	1,556.2
R2	1,580.8	1,580.8	1,553.7
R1	1,564.7	1,564.7	1,551.1	1,558.9
PP	1,553.0	1,553.0	1,553.0	1,550.1
S1	1,536.9	1,536.9	1,546.1	1,531.1
S2	1,525.2	1,525.2	1,543.5
S3	1,497.4	1,509.1	1,541.0
S4	1,469.6	1,481.3	1,533.3

Weekly Pivots for week ending 21-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,704.7	1,675.0	1,575.2
R3	1,656.4	1,626.7	1,561.9
R2	1,608.1	1,608.1	1,557.5
R1	1,578.4	1,578.4	1,553.0	1,569.1
PP	1,559.8	1,559.8	1,559.8	1,555.2
S1	1,530.1	1,530.1	1,544.2	1,520.8
S2	1,511.5	1,511.5	1,539.7
S3	1,463.2	1,481.8	1,535.3
S4	1,414.9	1,433.5	1,522.0

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,589.6	1,541.3	48.3	3.1%	21.8	1.4%	15%	False	True	109,798
10	1,605.7	1,541.3	64.4	4.2%	25.1	1.6%	11%	False	True	133,166
20	1,605.7	1,451.1	154.6	10.0%	28.3	1.8%	63%	False	False	146,118
40	1,605.7	1,359.6	246.1	15.9%	34.1	2.2%	77%	False	False	169,183
60	1,605.7	1,314.5	291.2	18.8%	42.2	2.7%	80%	False	False	152,247
80	1,605.7	1,173.1	432.6	27.9%	44.6	2.9%	87%	False	False	114,236
100	1,605.7	1,030.4	575.3	37.1%	46.9	3.0%	90%	False	False	91,445

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	7.4
Widest range in 8 trading days

Fibonacci Retracements and Extensions
4.250	1,687.3
2.618	1,641.9
1.618	1,614.1
1.000	1,596.9
0.618	1,586.3
HIGH	1,569.1
0.618	1,558.5
0.500	1,555.2
0.382	1,551.9
LOW	1,541.3
0.618	1,524.1
1.000	1,513.5
1.618	1,496.3
2.618	1,468.5
4.250	1,423.2

Fisher Pivots for day following 21-Aug-2020
Pivot	1 day	3 day
R1	1,555.2	1,563.9
PP	1,553.0	1,558.8
S1	1,550.8	1,553.7

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

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