CME E-mini Russell 2000 Index Futures March 2021


Trading Metrics calculated at close of trading on 30-Nov-2020
Day Change Summary
Previous Current
27-Nov-2020 30-Nov-2020 Change Change % Previous Week
Open 1,849.4 1,854.9 5.5 0.3% 1,776.9
High 1,851.9 1,855.4 3.5 0.2% 1,860.0
Low 1,827.2 1,810.0 -17.2 -0.9% 1,774.5
Close 1,850.2 1,817.4 -32.8 -1.8% 1,850.2
Range 24.7 45.4 20.7 83.8% 85.5
ATR 44.2 44.3 0.1 0.2% 0.0
Volume 173 703 530 306.4% 1,628
Daily Pivots for day following 30-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,963.8 1,936.0 1,842.4
R3 1,918.4 1,890.6 1,829.9
R2 1,873.0 1,873.0 1,825.7
R1 1,845.2 1,845.2 1,821.6 1,836.4
PP 1,827.6 1,827.6 1,827.6 1,823.2
S1 1,799.8 1,799.8 1,813.2 1,791.0
S2 1,782.2 1,782.2 1,809.1
S3 1,736.8 1,754.4 1,804.9
S4 1,691.4 1,709.0 1,792.4
Weekly Pivots for week ending 27-Nov-2020
Classic Woodie Camarilla DeMark
R4 2,084.7 2,053.0 1,897.2
R3 1,999.2 1,967.5 1,873.7
R2 1,913.7 1,913.7 1,865.9
R1 1,882.0 1,882.0 1,858.0 1,897.9
PP 1,828.2 1,828.2 1,828.2 1,836.2
S1 1,796.5 1,796.5 1,842.4 1,812.4
S2 1,742.7 1,742.7 1,834.5
S3 1,657.2 1,711.0 1,826.7
S4 1,571.7 1,625.5 1,803.2
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,860.0 1,774.5 85.5 4.7% 38.6 2.1% 50% False False 466
10 1,860.0 1,746.9 113.1 6.2% 38.3 2.1% 62% False False 383
20 1,860.0 1,523.2 336.8 18.5% 49.7 2.7% 87% False False 305
40 1,860.0 1,515.9 344.1 18.9% 41.6 2.3% 88% False False 195
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 False
WS7 False
ID False
OD True
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 6.9
Widest range in 4 trading days
Fibonacci Retracements and Extensions
4.250 2,048.4
2.618 1,974.3
1.618 1,928.9
1.000 1,900.8
0.618 1,883.5
HIGH 1,855.4
0.618 1,838.1
0.500 1,832.7
0.382 1,827.3
LOW 1,810.0
0.618 1,781.9
1.000 1,764.6
1.618 1,736.5
2.618 1,691.1
4.250 1,617.1
Fisher Pivots for day following 30-Nov-2020
Pivot 1 day 3 day
R1 1,832.7 1,835.0
PP 1,827.6 1,829.1
S1 1,822.5 1,823.3

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

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