CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 24-Aug-2020

Day Change Summary
	Previous	Current
	21-Aug-2020	24-Aug-2020	Change	Change %	Previous Week
Open	1,561.3	1,552.6	-8.7	-0.6%	1,575.2
High	1,569.1	1,568.7	-0.4	0.0%	1,589.6
Low	1,541.3	1,548.6	7.3	0.5%	1,541.3
Close	1,548.6	1,566.5	17.9	1.2%	1,548.6
Range	27.8	20.1	-7.7	-27.7%	48.3
ATR	30.4	29.7	-0.7	-2.4%	0.0
Volume	141,504	110,594	-30,910	-21.8%	548,993

Daily Pivots for day following 24-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,621.6	1,614.1	1,577.6
R3	1,601.5	1,594.0	1,572.0
R2	1,581.4	1,581.4	1,570.2
R1	1,573.9	1,573.9	1,568.3	1,577.7
PP	1,561.3	1,561.3	1,561.3	1,563.1
S1	1,553.8	1,553.8	1,564.7	1,557.6
S2	1,541.2	1,541.2	1,562.8
S3	1,521.1	1,533.7	1,561.0
S4	1,501.0	1,513.6	1,555.4

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%	22.9	1.5%	52%	False	False	116,555
10	1,605.7	1,541.3	64.4	4.1%	23.9	1.5%	39%	False	False	127,571
20	1,605.7	1,451.1	154.6	9.9%	28.0	1.8%	75%	False	False	145,728
40	1,605.7	1,359.6	246.1	15.7%	33.5	2.1%	84%	False	False	165,792
60	1,605.7	1,314.5	291.2	18.6%	41.9	2.7%	87%	False	False	154,082
80	1,605.7	1,173.1	432.6	27.6%	44.0	2.8%	91%	False	False	115,609
100	1,605.7	1,030.4	575.3	36.7%	46.4	3.0%	93%	False	False	92,551

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

Fibonacci Retracements and Extensions
4.250	1,654.1
2.618	1,621.3
1.618	1,601.2
1.000	1,588.8
0.618	1,581.1
HIGH	1,568.7
0.618	1,561.0
0.500	1,558.7
0.382	1,556.3
LOW	1,548.6
0.618	1,536.2
1.000	1,528.5
1.618	1,516.1
2.618	1,496.0
4.250	1,463.2

Fisher Pivots for day following 24-Aug-2020
Pivot	1 day	3 day
R1	1,563.9	1,563.0
PP	1,561.3	1,559.5
S1	1,558.7	1,556.1

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

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