CME E-mini Russell 2000 Index Futures September 2020


Trading Metrics calculated at close of trading on 17-Sep-2020
Day Change Summary
Previous Current
16-Sep-2020 17-Sep-2020 Change Change % Previous Week
Open 1,541.3 1,555.8 14.5 0.9% 1,532.9
High 1,573.7 1,558.1 -15.6 -1.0% 1,553.4
Low 1,536.8 1,522.4 -14.4 -0.9% 1,479.6
Close 1,554.9 1,542.3 -12.6 -0.8% 1,493.1
Range 36.9 35.7 -1.2 -3.3% 73.8
ATR 36.7 36.6 -0.1 -0.2% 0.0
Volume 67,378 33,038 -34,340 -51.0% 914,709
Daily Pivots for day following 17-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,648.0 1,630.9 1,561.9
R3 1,612.3 1,595.2 1,552.1
R2 1,576.6 1,576.6 1,548.8
R1 1,559.5 1,559.5 1,545.6 1,550.2
PP 1,540.9 1,540.9 1,540.9 1,536.3
S1 1,523.8 1,523.8 1,539.0 1,514.5
S2 1,505.2 1,505.2 1,535.8
S3 1,469.5 1,488.1 1,532.5
S4 1,433.8 1,452.4 1,522.7
Weekly Pivots for week ending 11-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,730.1 1,685.4 1,533.7
R3 1,656.3 1,611.6 1,513.4
R2 1,582.5 1,582.5 1,506.6
R1 1,537.8 1,537.8 1,499.9 1,523.3
PP 1,508.7 1,508.7 1,508.7 1,501.4
S1 1,464.0 1,464.0 1,486.3 1,449.5
S2 1,434.9 1,434.9 1,479.6
S3 1,361.1 1,390.2 1,472.8
S4 1,287.3 1,316.4 1,452.5
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,573.7 1,481.6 92.1 6.0% 35.3 2.3% 66% False False 136,527
10 1,595.4 1,479.6 115.8 7.5% 46.1 3.0% 54% False False 187,894
20 1,595.7 1,479.6 116.1 7.5% 35.6 2.3% 54% False False 159,132
40 1,605.7 1,451.1 154.6 10.0% 32.5 2.1% 59% False False 154,580
60 1,605.7 1,359.6 246.1 16.0% 35.9 2.3% 74% False False 168,449
80 1,605.7 1,314.5 291.2 18.9% 41.5 2.7% 78% False False 150,709
100 1,605.7 1,173.1 432.6 28.0% 43.7 2.8% 85% False False 120,600
120 1,605.7 1,030.4 575.3 37.3% 45.4 2.9% 89% False False 100,546
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 10.7
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,709.8
2.618 1,651.6
1.618 1,615.9
1.000 1,593.8
0.618 1,580.2
HIGH 1,558.1
0.618 1,544.5
0.500 1,540.3
0.382 1,536.0
LOW 1,522.4
0.618 1,500.3
1.000 1,486.7
1.618 1,464.6
2.618 1,428.9
4.250 1,370.7
Fisher Pivots for day following 17-Sep-2020
Pivot 1 day 3 day
R1 1,541.6 1,548.1
PP 1,540.9 1,546.1
S1 1,540.3 1,544.2

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

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