CME E-mini Russell 2000 Index Futures September 2020

Trading Metrics calculated at close of trading on 10-Sep-2020

Day Change Summary
	Previous	Current
	09-Sep-2020	10-Sep-2020	Change	Change %	Previous Week
Open	1,495.4	1,523.9	28.5	1.9%	1,576.9
High	1,533.4	1,544.3	10.9	0.7%	1,595.7
Low	1,479.6	1,504.6	25.0	1.7%	1,498.1
Close	1,524.2	1,506.1	-18.1	-1.2%	1,531.4
Range	53.8	39.7	-14.1	-26.2%	97.6
ATR	36.8	37.0	0.2	0.6%	0.0
Volume	186,796	241,040	54,244	29.0%	954,560

Daily Pivots for day following 10-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,637.4	1,611.5	1,527.9
R3	1,597.7	1,571.8	1,517.0
R2	1,558.0	1,558.0	1,513.4
R1	1,532.1	1,532.1	1,509.7	1,525.2
PP	1,518.3	1,518.3	1,518.3	1,514.9
S1	1,492.4	1,492.4	1,502.5	1,485.5
S2	1,478.6	1,478.6	1,498.8
S3	1,438.9	1,452.7	1,495.2
S4	1,399.2	1,413.0	1,484.3

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	1,595.4	1,479.6	115.8	7.7%	56.9	3.8%	23%	False	False	239,260
10	1,595.7	1,479.6	116.1	7.7%	42.2	2.8%	23%	False	False	189,097
20	1,595.7	1,479.6	116.1	7.7%	32.2	2.1%	23%	False	False	150,982
40	1,605.7	1,451.1	154.6	10.3%	31.5	2.1%	36%	False	False	157,033
60	1,605.7	1,359.6	246.1	16.3%	37.2	2.5%	60%	False	False	171,275
80	1,605.7	1,296.8	308.9	20.5%	42.1	2.8%	68%	False	False	142,189
100	1,605.7	1,164.5	441.2	29.3%	44.4	3.0%	77%	False	False	113,788

Crabel Price Patterns
NR	True
NR4	True
NR5	True
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	13.4
Narrowest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	1,713.0
2.618	1,648.2
1.618	1,608.5
1.000	1,584.0
0.618	1,568.8
HIGH	1,544.3
0.618	1,529.1
0.500	1,524.5
0.382	1,519.8
LOW	1,504.6
0.618	1,480.1
1.000	1,464.9
1.618	1,440.4
2.618	1,400.7
4.250	1,335.9

Fisher Pivots for day following 10-Sep-2020
Pivot	1 day	3 day
R1	1,524.5	1,516.5
PP	1,518.3	1,513.0
S1	1,512.2	1,509.6

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

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