CME E-mini Russell 2000 Index Futures December 2020

Trading Metrics calculated at close of trading on 07-Oct-2020

Day Change Summary
	Previous	Current
	06-Oct-2020	07-Oct-2020	Change	Change %	Previous Week
Open	1,576.0	1,568.2	-7.8	-0.5%	1,468.5
High	1,617.7	1,613.4	-4.3	-0.3%	1,542.4
Low	1,563.1	1,564.1	1.0	0.1%	1,468.5
Close	1,574.2	1,609.8	35.6	2.3%	1,534.0
Range	54.6	49.3	-5.3	-9.7%	73.9
ATR	41.4	42.0	0.6	1.4%	0.0
Volume	281,945	193,664	-88,281	-31.3%	899,580

Daily Pivots for day following 07-Oct-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,743.7	1,726.0	1,636.9
R3	1,694.4	1,676.7	1,623.4
R2	1,645.1	1,645.1	1,618.8
R1	1,627.4	1,627.4	1,614.3	1,636.3
PP	1,595.8	1,595.8	1,595.8	1,600.2
S1	1,578.1	1,578.1	1,605.3	1,587.0
S2	1,546.5	1,546.5	1,600.8
S3	1,497.2	1,528.8	1,596.2
S4	1,447.9	1,479.5	1,582.7

Weekly Pivots for week ending 02-Oct-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,736.7	1,709.2	1,574.6
R3	1,662.8	1,635.3	1,554.3
R2	1,588.9	1,588.9	1,547.5
R1	1,561.4	1,561.4	1,540.8	1,575.2
PP	1,515.0	1,515.0	1,515.0	1,521.8
S1	1,487.5	1,487.5	1,527.2	1,501.3
S2	1,441.1	1,441.1	1,520.5
S3	1,367.2	1,413.6	1,513.7
S4	1,293.3	1,339.7	1,493.4

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,617.7	1,490.7	127.0	7.9%	45.9	2.9%	94%	False	False	203,880
10	1,617.7	1,426.2	191.5	11.9%	43.1	2.7%	96%	False	False	192,431
20	1,617.7	1,426.2	191.5	11.9%	42.3	2.6%	96%	False	False	194,308
40	1,617.7	1,426.2	191.5	11.9%	36.4	2.3%	96%	False	False	97,661
60	1,617.7	1,426.2	191.5	11.9%	34.1	2.1%	96%	False	False	65,122

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	10.9
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,822.9
2.618	1,742.5
1.618	1,693.2
1.000	1,662.7
0.618	1,643.9
HIGH	1,613.4
0.618	1,594.6
0.500	1,588.8
0.382	1,582.9
LOW	1,564.1
0.618	1,533.6
1.000	1,514.8
1.618	1,484.3
2.618	1,435.0
4.250	1,354.6

Fisher Pivots for day following 07-Oct-2020
Pivot	1 day	3 day
R1	1,602.8	1,599.0
PP	1,595.8	1,588.1
S1	1,588.8	1,577.3

Download as Excel Spreadsheet

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

View Archives - Comment on this page... - Back to Index of Symbols