CME E-mini Russell 2000 Index Futures December 2020

Trading Metrics calculated at close of trading on 22-Sep-2020

Day Change Summary
	Previous	Current
	21-Sep-2020	22-Sep-2020	Change	Change %	Previous Week
Open	1,534.8	1,479.6	-55.2	-3.6%	1,495.8
High	1,538.5	1,493.4	-45.1	-2.9%	1,569.6
Low	1,462.9	1,465.6	2.7	0.2%	1,494.9
Close	1,482.8	1,488.8	6.0	0.4%	1,535.6
Range	75.6	27.8	-47.8	-63.2%	74.7
ATR	39.1	38.3	-0.8	-2.1%	0.0
Volume	238,670	153,103	-85,567	-35.9%	1,075,793

Daily Pivots for day following 22-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,566.0	1,555.2	1,504.1
R3	1,538.2	1,527.4	1,496.4
R2	1,510.4	1,510.4	1,493.9
R1	1,499.6	1,499.6	1,491.3	1,505.0
PP	1,482.6	1,482.6	1,482.6	1,485.3
S1	1,471.8	1,471.8	1,486.3	1,477.2
S2	1,454.8	1,454.8	1,483.7
S3	1,427.0	1,444.0	1,481.2
S4	1,399.2	1,416.2	1,473.5

Weekly Pivots for week ending 18-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,757.5	1,721.2	1,576.7
R3	1,682.8	1,646.5	1,556.1
R2	1,608.1	1,608.1	1,549.3
R1	1,571.8	1,571.8	1,542.4	1,590.0
PP	1,533.4	1,533.4	1,533.4	1,542.4
S1	1,497.1	1,497.1	1,528.8	1,515.3
S2	1,458.7	1,458.7	1,521.9
S3	1,384.0	1,422.4	1,515.1
S4	1,309.3	1,347.7	1,494.5

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,569.6	1,462.9	106.7	7.2%	43.6	2.9%	24%	False	False	188,982
10	1,569.6	1,462.9	106.7	7.2%	41.3	2.8%	24%	False	False	180,262
20	1,592.0	1,462.9	129.1	8.7%	39.1	2.6%	20%	False	False	90,519
40	1,601.5	1,448.7	152.8	10.3%	32.7	2.2%	26%	False	False	45,305
60	1,601.5	1,357.5	244.0	16.4%	33.8	2.3%	54%	False	False	30,220

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	True
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	9.1
Narrowest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	1,611.6
2.618	1,566.2
1.618	1,538.4
1.000	1,521.2
0.618	1,510.6
HIGH	1,493.4
0.618	1,482.8
0.500	1,479.5
0.382	1,476.2
LOW	1,465.6
0.618	1,448.4
1.000	1,437.8
1.618	1,420.6
2.618	1,392.8
4.250	1,347.5

Fisher Pivots for day following 22-Sep-2020
Pivot	1 day	3 day
R1	1,485.7	1,508.0
PP	1,482.6	1,501.6
S1	1,479.5	1,495.2

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

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