CME E-mini Russell 2000 Index Futures December 2020

Trading Metrics calculated at close of trading on 09-Nov-2020

Day Change Summary
	Previous	Current
	06-Nov-2020	09-Nov-2020	Change	Change %	Previous Week
Open	1,658.8	1,651.8	-7.0	-0.4%	1,537.0
High	1,669.0	1,815.3	146.3	8.8%	1,669.0
Low	1,637.2	1,648.3	11.1	0.7%	1,526.0
Close	1,643.1	1,703.1	60.0	3.7%	1,643.1
Range	31.8	167.0	135.2	425.2%	143.0
ATR	44.0	53.1	9.2	20.8%	0.0
Volume	163,806	277,769	113,963	69.6%	962,816

Daily Pivots for day following 09-Nov-2020
	Classic	Woodie	Camarilla	DeMark
R4	2,223.2	2,130.2	1,795.0
R3	2,056.2	1,963.2	1,749.0
R2	1,889.2	1,889.2	1,733.7
R1	1,796.2	1,796.2	1,718.4	1,842.7
PP	1,722.2	1,722.2	1,722.2	1,745.5
S1	1,629.2	1,629.2	1,687.8	1,675.7
S2	1,555.2	1,555.2	1,672.5
S3	1,388.2	1,462.2	1,657.2
S4	1,221.2	1,295.2	1,611.3

Weekly Pivots for week ending 06-Nov-2020
	Classic	Woodie	Camarilla	DeMark
R4	2,041.7	1,985.4	1,721.8
R3	1,898.7	1,842.4	1,682.4
R2	1,755.7	1,755.7	1,669.3
R1	1,699.4	1,699.4	1,656.2	1,727.6
PP	1,612.7	1,612.7	1,612.7	1,626.8
S1	1,556.4	1,556.4	1,630.0	1,584.6
S2	1,469.7	1,469.7	1,616.9
S3	1,326.7	1,413.4	1,603.8
S4	1,183.7	1,270.4	1,564.5

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,815.3	1,546.9	268.4	15.8%	82.7	4.9%	58%	True	False	215,711
10	1,815.3	1,520.3	295.0	17.3%	61.4	3.6%	62%	True	False	200,105
20	1,815.3	1,520.3	295.0	17.3%	47.9	2.8%	62%	True	False	176,162
40	1,815.3	1,426.2	389.1	22.8%	43.6	2.6%	71%	True	False	182,498
60	1,815.3	1,426.2	389.1	22.8%	40.2	2.4%	71%	True	False	132,328
80	1,815.3	1,426.2	389.1	22.8%	37.1	2.2%	71%	True	False	99,262

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	11.9
Widest range in 100 trading days

Fibonacci Retracements and Extensions
4.250	2,525.1
2.618	2,252.5
1.618	2,085.5
1.000	1,982.3
0.618	1,918.5
HIGH	1,815.3
0.618	1,751.5
0.500	1,731.8
0.382	1,712.1
LOW	1,648.3
0.618	1,545.1
1.000	1,481.3
1.618	1,378.1
2.618	1,211.1
4.250	938.6

Fisher Pivots for day following 09-Nov-2020
Pivot	1 day	3 day
R1	1,731.8	1,706.6
PP	1,722.2	1,705.4
S1	1,712.7	1,704.3

Download as Excel Spreadsheet

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

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