CME E-mini Russell 2000 Index Futures December 2020

Trading Metrics calculated at close of trading on 15-Sep-2020

Day Change Summary
	Previous	Current
	14-Sep-2020	15-Sep-2020	Change	Change %	Previous Week
Open	1,495.8	1,530.4	34.6	2.3%	1,526.2
High	1,535.8	1,549.1	13.3	0.9%	1,548.9
Low	1,494.9	1,529.4	34.5	2.3%	1,476.4
Close	1,532.3	1,536.2	3.9	0.3%	1,489.3
Range	40.9	19.7	-21.2	-51.8%	72.5
ATR	37.0	35.8	-1.2	-3.3%	0.0
Volume	296,206	226,446	-69,760	-23.6%	338,662

Daily Pivots for day following 15-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,597.3	1,586.5	1,547.0
R3	1,577.6	1,566.8	1,541.6
R2	1,557.9	1,557.9	1,539.8
R1	1,547.1	1,547.1	1,538.0	1,552.5
PP	1,538.2	1,538.2	1,538.2	1,541.0
S1	1,527.4	1,527.4	1,534.4	1,532.8
S2	1,518.5	1,518.5	1,532.6
S3	1,498.8	1,507.7	1,530.8
S4	1,479.1	1,488.0	1,525.4

Weekly Pivots for week ending 11-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,722.4	1,678.3	1,529.2
R3	1,649.9	1,605.8	1,509.2
R2	1,577.4	1,577.4	1,502.6
R1	1,533.3	1,533.3	1,495.9	1,519.1
PP	1,504.9	1,504.9	1,504.9	1,497.8
S1	1,460.8	1,460.8	1,482.7	1,446.6
S2	1,432.4	1,432.4	1,476.0
S3	1,359.9	1,388.3	1,469.4
S4	1,287.4	1,315.8	1,449.4

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,549.1	1,476.4	72.7	4.7%	39.0	2.5%	82%	True	False	171,542
10	1,592.0	1,476.4	115.6	7.5%	44.3	2.9%	52%	False	False	86,496
20	1,592.0	1,476.4	115.6	7.5%	33.6	2.2%	52%	False	False	43,308
40	1,601.5	1,448.7	152.8	9.9%	30.7	2.0%	57%	False	False	21,686
60	1,601.5	1,357.5	244.0	15.9%	34.6	2.3%	73%	False	False	14,480

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
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	12.4
Narrowest range in 13 trading days

Fibonacci Retracements and Extensions
4.250	1,632.8
2.618	1,600.7
1.618	1,581.0
1.000	1,568.8
0.618	1,561.3
HIGH	1,549.1
0.618	1,541.6
0.500	1,539.3
0.382	1,536.9
LOW	1,529.4
0.618	1,517.2
1.000	1,509.7
1.618	1,497.5
2.618	1,477.8
4.250	1,445.7

Fisher Pivots for day following 15-Sep-2020
Pivot	1 day	3 day
R1	1,539.3	1,528.6
PP	1,538.2	1,521.0
S1	1,537.2	1,513.4

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

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