CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 23-Nov-2020
Day Change Summary
Previous Current
20-Nov-2020 23-Nov-2020 Change Change % Previous Week
Open 1,770.0 1,778.5 8.5 0.5% 1,747.0
High 1,788.1 1,828.8 40.7 2.3% 1,807.4
Low 1,757.3 1,776.6 19.3 1.1% 1,745.1
Close 1,783.3 1,817.1 33.8 1.9% 1,783.3
Range 30.8 52.2 21.4 69.5% 62.3
ATR 48.1 48.4 0.3 0.6% 0.0
Volume 132,841 139,532 6,691 5.0% 805,063
Daily Pivots for day following 23-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,964.1 1,942.8 1,845.8
R3 1,911.9 1,890.6 1,831.5
R2 1,859.7 1,859.7 1,826.7
R1 1,838.4 1,838.4 1,821.9 1,849.1
PP 1,807.5 1,807.5 1,807.5 1,812.8
S1 1,786.2 1,786.2 1,812.3 1,796.9
S2 1,755.3 1,755.3 1,807.5
S3 1,703.1 1,734.0 1,802.7
S4 1,650.9 1,681.8 1,788.4
Weekly Pivots for week ending 20-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,965.5 1,936.7 1,817.6
R3 1,903.2 1,874.4 1,800.4
R2 1,840.9 1,840.9 1,794.7
R1 1,812.1 1,812.1 1,789.0 1,826.5
PP 1,778.6 1,778.6 1,778.6 1,785.8
S1 1,749.8 1,749.8 1,777.6 1,764.2
S2 1,716.3 1,716.3 1,771.9
S3 1,654.0 1,687.5 1,766.2
S4 1,591.7 1,625.2 1,749.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,828.8 1,751.2 77.6 4.3% 40.8 2.2% 85% True False 150,662
10 1,828.8 1,691.4 137.4 7.6% 44.5 2.4% 91% True False 163,926
20 1,828.8 1,520.3 308.5 17.0% 53.0 2.9% 96% True False 182,015
40 1,828.8 1,485.8 343.0 18.9% 44.1 2.4% 97% True False 176,019
60 1,828.8 1,426.2 402.6 22.2% 44.1 2.4% 97% True False 159,630
80 1,828.8 1,426.2 402.6 22.2% 39.1 2.2% 97% True False 119,749
100 1,828.8 1,372.2 456.6 25.1% 38.1 2.1% 97% True False 95,809
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 9.9
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 2,050.7
2.618 1,965.5
1.618 1,913.3
1.000 1,881.0
0.618 1,861.1
HIGH 1,828.8
0.618 1,808.9
0.500 1,802.7
0.382 1,796.5
LOW 1,776.6
0.618 1,744.3
1.000 1,724.4
1.618 1,692.1
2.618 1,639.9
4.250 1,554.8
Fisher Pivots for day following 23-Nov-2020
Pivot 1 day 3 day
R1 1,812.3 1,808.5
PP 1,807.5 1,799.9
S1 1,802.7 1,791.3

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

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