CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 26-Aug-2020

Day Change Summary
	Previous	Current
	25-Aug-2020	26-Aug-2020	Change	Change %	Previous Week
Open	1,567.5	1,570.0	2.5	0.2%	1,575.2
High	1,583.9	1,573.7	-10.2	-0.6%	1,589.6
Low	1,553.4	1,557.2	3.8	0.2%	1,541.3
Close	1,569.6	1,562.4	-7.2	-0.5%	1,548.6
Range	30.5	16.5	-14.0	-45.9%	48.3
ATR	29.7	28.8	-0.9	-3.2%	0.0
Volume	127,587	109,201	-18,386	-14.4%	548,993

Daily Pivots for day following 26-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,613.9	1,604.7	1,571.5
R3	1,597.4	1,588.2	1,566.9
R2	1,580.9	1,580.9	1,565.4
R1	1,571.7	1,571.7	1,563.9	1,568.1
PP	1,564.4	1,564.4	1,564.4	1,562.6
S1	1,555.2	1,555.2	1,560.9	1,551.6
S2	1,547.9	1,547.9	1,559.4
S3	1,531.4	1,538.7	1,557.9
S4	1,514.9	1,522.2	1,553.3

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	1,583.9	1,541.3	42.6	2.7%	22.9	1.5%	50%	False	False	121,809
10	1,591.4	1,541.3	50.1	3.2%	22.2	1.4%	42%	False	False	112,867
20	1,605.7	1,451.1	154.6	9.9%	27.3	1.7%	72%	False	False	144,592
40	1,605.7	1,373.6	232.1	14.9%	32.2	2.1%	81%	False	False	160,813
60	1,605.7	1,314.5	291.2	18.6%	41.3	2.6%	85%	False	False	158,010
80	1,605.7	1,173.1	432.6	27.7%	43.4	2.8%	90%	False	False	118,569
100	1,605.7	1,076.0	529.7	33.9%	45.9	2.9%	92%	False	False	94,917

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	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	6.2
Narrowest range in 7 trading days

Fibonacci Retracements and Extensions
4.250	1,643.8
2.618	1,616.9
1.618	1,600.4
1.000	1,590.2
0.618	1,583.9
HIGH	1,573.7
0.618	1,567.4
0.500	1,565.5
0.382	1,563.5
LOW	1,557.2
0.618	1,547.0
1.000	1,540.7
1.618	1,530.5
2.618	1,514.0
4.250	1,487.1

Fisher Pivots for day following 26-Aug-2020
Pivot	1 day	3 day
R1	1,565.5	1,566.3
PP	1,564.4	1,565.0
S1	1,563.4	1,563.7

Download as Excel Spreadsheet

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

View Archives - Comment on this page... - Back to Index of Symbols