CME E-mini Russell 2000 Index Futures December 2020

Trading Metrics calculated at close of trading on 23-Sep-2020

Day Change Summary
	Previous	Current
	22-Sep-2020	23-Sep-2020	Change	Change %	Previous Week
Open	1,479.6	1,489.8	10.2	0.7%	1,495.8
High	1,493.4	1,500.2	6.8	0.5%	1,569.6
Low	1,465.6	1,444.7	-20.9	-1.4%	1,494.9
Close	1,488.8	1,446.7	-42.1	-2.8%	1,535.6
Range	27.8	55.5	27.7	99.6%	74.7
ATR	38.3	39.5	1.2	3.2%	0.0
Volume	153,103	170,424	17,321	11.3%	1,075,793

Daily Pivots for day following 23-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,630.4	1,594.0	1,477.2
R3	1,574.9	1,538.5	1,462.0
R2	1,519.4	1,519.4	1,456.9
R1	1,483.0	1,483.0	1,451.8	1,473.5
PP	1,463.9	1,463.9	1,463.9	1,459.1
S1	1,427.5	1,427.5	1,441.6	1,418.0
S2	1,408.4	1,408.4	1,436.5
S3	1,352.9	1,372.0	1,431.4
S4	1,297.4	1,316.5	1,416.2

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	1,554.1	1,444.7	109.4	7.6%	47.3	3.3%	2%	False	True	188,810
10	1,569.6	1,444.7	124.9	8.6%	41.6	2.9%	2%	False	True	196,186
20	1,592.0	1,444.7	147.3	10.2%	40.4	2.8%	1%	False	True	99,033
40	1,601.5	1,444.7	156.8	10.8%	33.5	2.3%	1%	False	True	49,565
60	1,601.5	1,372.2	229.3	15.8%	33.7	2.3%	32%	False	False	33,060

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	8.6
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,736.1
2.618	1,645.5
1.618	1,590.0
1.000	1,555.7
0.618	1,534.5
HIGH	1,500.2
0.618	1,479.0
0.500	1,472.5
0.382	1,465.9
LOW	1,444.7
0.618	1,410.4
1.000	1,389.2
1.618	1,354.9
2.618	1,299.4
4.250	1,208.8

Fisher Pivots for day following 23-Sep-2020
Pivot	1 day	3 day
R1	1,472.5	1,491.6
PP	1,463.9	1,476.6
S1	1,455.3	1,461.7

Download as Excel Spreadsheet

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

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