CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 02-Sep-2020
Day Change Summary
Previous Current
01-Sep-2020 02-Sep-2020 Change Change % Previous Week
Open 1,560.3 1,579.2 18.9 1.2% 1,552.6
High 1,580.9 1,595.7 14.8 0.9% 1,584.6
Low 1,549.8 1,567.2 17.4 1.1% 1,548.6
Close 1,578.5 1,592.5 14.0 0.9% 1,575.7
Range 31.1 28.5 -2.6 -8.4% 36.0
ATR 28.4 28.4 0.0 0.0% 0.0
Volume 137,745 144,353 6,608 4.8% 598,996
Daily Pivots for day following 02-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,670.6 1,660.1 1,608.2
R3 1,642.1 1,631.6 1,600.3
R2 1,613.6 1,613.6 1,597.7
R1 1,603.1 1,603.1 1,595.1 1,608.4
PP 1,585.1 1,585.1 1,585.1 1,587.8
S1 1,574.6 1,574.6 1,589.9 1,579.9
S2 1,556.6 1,556.6 1,587.3
S3 1,528.1 1,546.1 1,584.7
S4 1,499.6 1,517.6 1,576.8
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 1,595.7 1,549.8 45.9 2.9% 27.4 1.7% 93% True False 138,933
10 1,595.7 1,541.3 54.4 3.4% 25.1 1.6% 94% True False 130,371
20 1,605.7 1,531.3 74.4 4.7% 25.6 1.6% 82% False False 135,864
40 1,605.7 1,373.6 232.1 14.6% 30.5 1.9% 94% False False 155,039
60 1,605.7 1,314.5 291.2 18.3% 39.6 2.5% 95% False False 169,344
80 1,605.7 1,173.1 432.6 27.2% 42.6 2.7% 97% False False 127,250
100 1,605.7 1,148.0 457.7 28.7% 43.6 2.7% 97% False False 101,837
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 8.5
Narrowest range in 3 trading days
Fibonacci Retracements and Extensions
4.250 1,716.8
2.618 1,670.3
1.618 1,641.8
1.000 1,624.2
0.618 1,613.3
HIGH 1,595.7
0.618 1,584.8
0.500 1,581.5
0.382 1,578.1
LOW 1,567.2
0.618 1,549.6
1.000 1,538.7
1.618 1,521.1
2.618 1,492.6
4.250 1,446.1
Fisher Pivots for day following 02-Sep-2020
Pivot 1 day 3 day
R1 1,588.8 1,585.9
PP 1,585.1 1,579.3
S1 1,581.5 1,572.8

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

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