CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 04-Sep-2020

Day Change Summary
	Previous	Current
	03-Sep-2020	04-Sep-2020	Change	Change %	Previous Week
Open	1,591.0	1,548.8	-42.2	-2.7%	1,576.9
High	1,595.4	1,570.5	-24.9	-1.6%	1,595.7
Low	1,534.7	1,498.1	-36.6	-2.4%	1,498.1
Close	1,549.5	1,531.4	-18.1	-1.2%	1,531.4
Range	60.7	72.4	11.7	19.3%	97.6
ATR	30.7	33.7	3.0	9.7%	0.0
Volume	265,159	246,346	-18,813	-7.1%	954,560

Daily Pivots for day following 04-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,750.5	1,713.4	1,571.2
R3	1,678.1	1,641.0	1,551.3
R2	1,605.7	1,605.7	1,544.7
R1	1,568.6	1,568.6	1,538.0	1,551.0
PP	1,533.3	1,533.3	1,533.3	1,524.5
S1	1,496.2	1,496.2	1,524.8	1,478.6
S2	1,460.9	1,460.9	1,518.1
S3	1,388.5	1,423.8	1,511.5
S4	1,316.1	1,351.4	1,491.6

Weekly Pivots for week ending 04-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,834.5	1,780.6	1,585.1
R3	1,736.9	1,683.0	1,558.2
R2	1,639.3	1,639.3	1,549.3
R1	1,585.4	1,585.4	1,540.3	1,563.6
PP	1,541.7	1,541.7	1,541.7	1,530.8
S1	1,487.8	1,487.8	1,522.5	1,466.0
S2	1,444.1	1,444.1	1,513.5
S3	1,346.5	1,390.2	1,504.6
S4	1,248.9	1,292.6	1,477.7

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	1,498.1	97.6	6.4%	44.9	2.9%	34%	False	True	190,912
10	1,595.7	1,498.1	97.6	6.4%	33.7	2.2%	34%	False	True	155,355
20	1,605.7	1,498.1	107.6	7.0%	29.4	1.9%	31%	False	True	144,261
40	1,605.7	1,390.3	215.4	14.1%	31.3	2.0%	66%	False	False	158,014
60	1,605.7	1,314.5	291.2	19.0%	38.8	2.5%	74%	False	False	176,423
80	1,605.7	1,173.1	432.6	28.2%	42.4	2.8%	83%	False	False	133,640
100	1,605.7	1,148.0	457.7	29.9%	44.2	2.9%	84%	False	False	106,949

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	10.0
Widest range in 51 trading days

Fibonacci Retracements and Extensions
4.250	1,878.2
2.618	1,760.0
1.618	1,687.6
1.000	1,642.9
0.618	1,615.2
HIGH	1,570.5
0.618	1,542.8
0.500	1,534.3
0.382	1,525.8
LOW	1,498.1
0.618	1,453.4
1.000	1,425.7
1.618	1,381.0
2.618	1,308.6
4.250	1,190.4

Fisher Pivots for day following 04-Sep-2020
Pivot	1 day	3 day
R1	1,534.3	1,546.9
PP	1,533.3	1,541.7
S1	1,532.4	1,536.6

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

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