CME E-mini Russell 2000 Index Futures December 2020

Trading Metrics calculated at close of trading on 11-Nov-2020

Day Change Summary
	Previous	Current
	10-Nov-2020	11-Nov-2020	Change	Change %	Previous Week
Open	1,706.4	1,735.8	29.4	1.7%	1,537.0
High	1,750.0	1,747.8	-2.2	-0.1%	1,669.0
Low	1,693.1	1,717.1	24.0	1.4%	1,526.0
Close	1,734.2	1,735.2	1.0	0.1%	1,643.1
Range	56.9	30.7	-26.2	-46.0%	143.0
ATR	53.4	51.8	-1.6	-3.0%	0.0
Volume	211,066	137,312	-73,754	-34.9%	962,816

Daily Pivots for day following 11-Nov-2020
	Classic	Woodie	Camarilla	DeMark
R4	1,825.5	1,811.0	1,752.1
R3	1,794.8	1,780.3	1,743.6
R2	1,764.1	1,764.1	1,740.8
R1	1,749.6	1,749.6	1,738.0	1,741.5
PP	1,733.4	1,733.4	1,733.4	1,729.3
S1	1,718.9	1,718.9	1,732.4	1,710.8
S2	1,702.7	1,702.7	1,729.6
S3	1,672.0	1,688.2	1,726.8
S4	1,641.3	1,657.5	1,718.3

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	1,597.9	217.4	12.5%	70.4	4.1%	63%	False	False	194,905
10	1,815.3	1,520.3	295.0	17.0%	62.5	3.6%	73%	False	False	199,321
20	1,815.3	1,520.3	295.0	17.0%	49.3	2.8%	73%	False	False	176,804
40	1,815.3	1,426.2	389.1	22.4%	44.4	2.6%	79%	False	False	181,264
60	1,815.3	1,426.2	389.1	22.4%	41.0	2.4%	79%	False	False	138,132
80	1,815.3	1,426.2	389.1	22.4%	37.7	2.2%	79%	False	False	103,616
100	1,815.3	1,357.5	457.8	26.4%	38.4	2.2%	83%	False	False	82,904

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
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	13.2
Narrowest range in 13 trading days

Fibonacci Retracements and Extensions
4.250	1,878.3
2.618	1,828.2
1.618	1,797.5
1.000	1,778.5
0.618	1,766.8
HIGH	1,747.8
0.618	1,736.1
0.500	1,732.5
0.382	1,728.8
LOW	1,717.1
0.618	1,698.1
1.000	1,686.4
1.618	1,667.4
2.618	1,636.7
4.250	1,586.6

Fisher Pivots for day following 11-Nov-2020
Pivot	1 day	3 day
R1	1,734.3	1,734.1
PP	1,733.4	1,732.9
S1	1,732.5	1,731.8

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

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