CBOE Volatility Index

Trading Metrics calculated at close of trading on 03-Sep-2020

Day Change Summary
	Previous	Current
	02-Sep-2020	03-Sep-2020	Change	Change %	Previous Week
Open	26.01	26.28	0.27	1.0%	22.87
High	27.07	35.94	8.87	32.8%	27.09
Low	25.53	25.66	0.13	0.5%	20.92
Close	26.57	33.60	7.03	26.5%	22.96
Range	1.54	10.28	8.74	567.5%	6.17
ATR	2.58	3.13	0.55	21.3%	0.00
Volume

Daily Pivots for day following 03-Sep-2020
	Classic	Woodie	Camarilla	DeMark
R4	62.57	58.37	39.25
R3	52.29	48.09	36.43
R2	42.01	42.01	35.48
R1	37.81	37.81	34.54	39.91
PP	31.73	31.73	31.73	32.79
S1	27.53	27.53	32.66	29.63
S2	21.45	21.45	31.72
S3	11.17	17.25	30.77
S4	0.89	6.97	27.95

Weekly Pivots for week ending 28-Aug-2020
	Classic	Woodie	Camarilla	DeMark
R4	42.17	38.73	26.35
R3	36.00	32.56	24.66
R2	29.83	29.83	24.09
R1	26.39	26.39	23.53	28.11
PP	23.66	23.66	23.66	24.52
S1	20.22	20.22	22.39	21.94
S2	17.49	17.49	21.83
S3	11.32	14.05	21.26
S4	5.15	7.88	19.57

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	35.94	21.77	14.17	42.2%	4.36	13.0%	83%	True	False
10	35.94	20.92	15.02	44.7%	3.60	10.7%	84%	True	False
20	35.94	20.28	15.66	46.6%	2.82	8.4%	85%	True	False

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	1.03
Widest range in 28 trading days

Fibonacci Retracements and Extensions
4.250	79.63
2.618	62.85
1.618	52.57
1.000	46.22
0.618	42.29
HIGH	35.94
0.618	32.01
0.500	30.80
0.382	29.59
LOW	25.66
0.618	19.31
1.000	15.38
1.618	9.03
2.618	-1.25
4.250	-18.03

Fisher Pivots for day following 03-Sep-2020
Pivot	1 day	3 day
R1	32.67	32.56
PP	31.73	31.52
S1	30.80	30.48

Download as Excel Spreadsheet

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

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