CME E-mini Russell 2000 Index Futures March 2021


Trading Metrics calculated at close of trading on 31-Dec-2020
Day Change Summary
Previous Current
30-Dec-2020 31-Dec-2020 Change Change % Previous Week
Open 1,957.1 1,976.1 19.0 1.0% 1,990.0
High 1,987.4 1,980.3 -7.1 -0.4% 2,015.7
Low 1,949.7 1,958.0 8.3 0.4% 1,878.1
Close 1,976.5 1,974.8 -1.7 -0.1% 2,002.8
Range 37.7 22.3 -15.4 -40.8% 137.6
ATR 43.5 42.0 -1.5 -3.5% 0.0
Volume 122,677 144,363 21,686 17.7% 569,648
Daily Pivots for day following 31-Dec-2020
Classic Woodie Camarilla DeMark
R4 2,037.9 2,028.7 1,987.1
R3 2,015.6 2,006.4 1,980.9
R2 1,993.3 1,993.3 1,978.9
R1 1,984.1 1,984.1 1,976.8 1,977.6
PP 1,971.0 1,971.0 1,971.0 1,967.8
S1 1,961.8 1,961.8 1,972.8 1,955.3
S2 1,948.7 1,948.7 1,970.7
S3 1,926.4 1,939.5 1,968.7
S4 1,904.1 1,917.2 1,962.5
Weekly Pivots for week ending 25-Dec-2020
Classic Woodie Camarilla DeMark
R4 2,378.3 2,328.2 2,078.5
R3 2,240.7 2,190.6 2,040.6
R2 2,103.1 2,103.1 2,028.0
R1 2,053.0 2,053.0 2,015.4 2,078.1
PP 1,965.5 1,965.5 1,965.5 1,978.1
S1 1,915.4 1,915.4 1,990.2 1,940.5
S2 1,827.9 1,827.9 1,977.6
S3 1,690.3 1,777.8 1,965.0
S4 1,552.7 1,640.2 1,927.1
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 2,032.3 1,946.6 85.7 4.3% 36.9 1.9% 33% False False 125,359
10 2,032.3 1,878.1 154.2 7.8% 44.2 2.2% 63% False False 151,384
20 2,032.3 1,828.2 204.1 10.3% 41.5 2.1% 72% False False 130,792
40 2,032.3 1,545.3 487.0 24.7% 44.8 2.3% 88% False False 65,575
60 2,032.3 1,515.9 516.4 26.1% 40.9 2.1% 89% False False 43,742
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 9.4
Narrowest range in 47 trading days
Fibonacci Retracements and Extensions
4.250 2,075.1
2.618 2,038.7
1.618 2,016.4
1.000 2,002.6
0.618 1,994.1
HIGH 1,980.3
0.618 1,971.8
0.500 1,969.2
0.382 1,966.5
LOW 1,958.0
0.618 1,944.2
1.000 1,935.7
1.618 1,921.9
2.618 1,899.6
4.250 1,863.2
Fisher Pivots for day following 31-Dec-2020
Pivot 1 day 3 day
R1 1,972.9 1,976.7
PP 1,971.0 1,976.0
S1 1,969.2 1,975.4

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

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