CBOE Volatility Index

Trading Metrics calculated at close of trading on 02-Oct-2020

Day Change Summary
	Previous	Current
	01-Oct-2020	02-Oct-2020	Change	Change %	Previous Week
Open	25.78	28.87	3.09	12.0%	27.15
High	27.11	29.90	2.79	10.3%	29.90
Low	25.33	26.93	1.60	6.3%	24.90
Close	26.70	27.63	0.93	3.5%	27.63
Range	1.78	2.97	1.19	66.9%	5.00
ATR	2.96	2.98	0.02	0.6%	0.00
Volume

Daily Pivots for day following 02-Oct-2020
	Classic	Woodie	Camarilla	DeMark
R4	37.06	35.32	29.26
R3	34.09	32.35	28.45
R2	31.12	31.12	28.17
R1	29.38	29.38	27.90	28.77
PP	28.15	28.15	28.15	27.85
S1	26.41	26.41	27.36	25.80
S2	25.18	25.18	27.09
S3	22.21	23.44	26.81
S4	19.24	20.47	26.00

Weekly Pivots for week ending 02-Oct-2020
	Classic	Woodie	Camarilla	DeMark
R4	42.48	40.05	30.38
R3	37.48	35.05	29.01
R2	32.48	32.48	28.55
R1	30.05	30.05	28.09	31.27
PP	27.48	27.48	27.48	28.08
S1	25.05	25.05	27.17	26.27
S2	22.48	22.48	26.71
S3	17.48	20.05	26.26
S4	12.48	15.05	24.88

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	29.90	24.90	5.00	18.1%	2.11	7.6%	55%	True	False
10	31.15	24.90	6.25	22.6%	2.81	10.2%	44%	False	False
20	38.28	24.84	13.44	48.6%	3.09	11.2%	21%	False	False
40	38.28	20.28	18.00	65.1%	2.96	10.7%	41%	False	False

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	0.83
Widest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	42.52
2.618	37.68
1.618	34.71
1.000	32.87
0.618	31.74
HIGH	29.90
0.618	28.77
0.500	28.42
0.382	28.06
LOW	26.93
0.618	25.09
1.000	23.96
1.618	22.12
2.618	19.15
4.250	14.31

Fisher Pivots for day following 02-Oct-2020
Pivot	1 day	3 day
R1	28.42	27.58
PP	28.15	27.53
S1	27.89	27.48

Download as Excel Spreadsheet

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

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