CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 31-Aug-2020
Day Change Summary
Previous Current
28-Aug-2020 31-Aug-2020 Change Change % Previous Week
Open 1,568.4 1,576.9 8.5 0.5% 1,552.6
High 1,584.6 1,589.8 5.2 0.3% 1,584.6
Low 1,562.6 1,558.1 -4.5 -0.3% 1,548.6
Close 1,575.7 1,561.3 -14.4 -0.9% 1,575.7
Range 22.0 31.7 9.7 44.1% 36.0
ATR 28.0 28.2 0.3 1.0% 0.0
Volume 114,005 160,957 46,952 41.2% 598,996
Daily Pivots for day following 31-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,664.8 1,644.8 1,578.7
R3 1,633.1 1,613.1 1,570.0
R2 1,601.4 1,601.4 1,567.1
R1 1,581.4 1,581.4 1,564.2 1,575.6
PP 1,569.7 1,569.7 1,569.7 1,566.8
S1 1,549.7 1,549.7 1,558.4 1,543.9
S2 1,538.0 1,538.0 1,555.5
S3 1,506.3 1,518.0 1,552.6
S4 1,474.6 1,486.3 1,543.9
Weekly Pivots for week ending 28-Aug-2020
Classic Woodie Camarilla DeMark
R4 1,677.6 1,662.7 1,595.5
R3 1,641.6 1,626.7 1,585.6
R2 1,605.6 1,605.6 1,582.3
R1 1,590.7 1,590.7 1,579.0 1,598.2
PP 1,569.6 1,569.6 1,569.6 1,573.4
S1 1,554.7 1,554.7 1,572.4 1,562.2
S2 1,533.6 1,533.6 1,569.1
S3 1,497.6 1,518.7 1,565.8
S4 1,461.6 1,482.7 1,555.9
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,589.8 1,551.7 38.1 2.4% 24.9 1.6% 25% True False 129,871
10 1,589.8 1,541.3 48.5 3.1% 23.9 1.5% 41% True False 123,213
20 1,605.7 1,493.7 112.0 7.2% 25.4 1.6% 60% False False 137,257
40 1,605.7 1,373.6 232.1 14.9% 30.9 2.0% 81% False False 156,967
60 1,605.7 1,314.5 291.2 18.7% 40.0 2.6% 85% False False 164,740
80 1,605.7 1,173.1 432.6 27.7% 42.9 2.7% 90% False False 123,724
100 1,605.7 1,148.0 457.7 29.3% 44.5 2.9% 90% False False 99,029
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.3
Widest range in 14 trading days
Fibonacci Retracements and Extensions
4.250 1,724.5
2.618 1,672.8
1.618 1,641.1
1.000 1,621.5
0.618 1,609.4
HIGH 1,589.8
0.618 1,577.7
0.500 1,574.0
0.382 1,570.2
LOW 1,558.1
0.618 1,538.5
1.000 1,526.4
1.618 1,506.8
2.618 1,475.1
4.250 1,423.4
Fisher Pivots for day following 31-Aug-2020
Pivot 1 day 3 day
R1 1,574.0 1,570.8
PP 1,569.7 1,567.6
S1 1,565.5 1,564.5

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

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