CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 16-Dec-2020
Day Change Summary
Previous Current
15-Dec-2020 16-Dec-2020 Change Change % Previous Week
Open 1,919.7 1,962.9 43.2 2.3% 1,892.8
High 1,964.4 1,975.7 11.3 0.6% 1,937.1
Low 1,911.9 1,944.8 32.9 1.7% 1,875.3
Close 1,960.9 1,954.9 -6.0 -0.3% 1,911.4
Range 52.5 30.9 -21.6 -41.1% 61.8
ATR 42.3 41.5 -0.8 -1.9% 0.0
Volume 166,571 92,360 -74,211 -44.6% 947,976
Daily Pivots for day following 16-Dec-2020
Classic Woodie Camarilla DeMark
R4 2,051.2 2,033.9 1,971.9
R3 2,020.3 2,003.0 1,963.4
R2 1,989.4 1,989.4 1,960.6
R1 1,972.1 1,972.1 1,957.7 1,965.3
PP 1,958.5 1,958.5 1,958.5 1,955.1
S1 1,941.2 1,941.2 1,952.1 1,934.4
S2 1,927.6 1,927.6 1,949.2
S3 1,896.7 1,910.3 1,946.4
S4 1,865.8 1,879.4 1,937.9
Weekly Pivots for week ending 11-Dec-2020
Classic Woodie Camarilla DeMark
R4 2,093.3 2,064.2 1,945.4
R3 2,031.5 2,002.4 1,928.4
R2 1,969.7 1,969.7 1,922.7
R1 1,940.6 1,940.6 1,917.1 1,955.2
PP 1,907.9 1,907.9 1,907.9 1,915.2
S1 1,878.8 1,878.8 1,905.7 1,893.4
S2 1,846.1 1,846.1 1,900.1
S3 1,784.3 1,817.0 1,894.4
S4 1,722.5 1,755.2 1,877.4
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,975.7 1,881.5 94.2 4.8% 39.6 2.0% 78% True False 193,004
10 1,975.7 1,830.3 145.4 7.4% 39.1 2.0% 86% True False 171,263
20 1,975.7 1,753.8 221.9 11.4% 37.8 1.9% 91% True False 159,447
40 1,975.7 1,520.3 455.4 23.3% 45.2 2.3% 95% True False 170,588
60 1,975.7 1,426.2 549.5 28.1% 42.5 2.2% 96% True False 172,788
80 1,975.7 1,426.2 549.5 28.1% 41.7 2.1% 96% True False 152,221
100 1,975.7 1,426.2 549.5 28.1% 38.6 2.0% 96% True False 121,794
120 1,975.7 1,357.5 618.2 31.6% 38.2 2.0% 97% True False 101,504
Crabel Price Patterns
NR True
NR4 True
NR5 True
NR7 True
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 10.3
Narrowest range in 7 trading days
Fibonacci Retracements and Extensions
4.250 2,107.0
2.618 2,056.6
1.618 2,025.7
1.000 2,006.6
0.618 1,994.8
HIGH 1,975.7
0.618 1,963.9
0.500 1,960.3
0.382 1,956.6
LOW 1,944.8
0.618 1,925.7
1.000 1,913.9
1.618 1,894.8
2.618 1,863.9
4.250 1,813.5
Fisher Pivots for day following 16-Dec-2020
Pivot 1 day 3 day
R1 1,960.3 1,951.2
PP 1,958.5 1,947.5
S1 1,956.7 1,943.8

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

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