CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 23-Sep-2020
Day Change Summary
Previous Current
22-Sep-2020 23-Sep-2020 Change Change % Previous Week
Open 1,479.6 1,489.8 10.2 0.7% 1,495.8
High 1,493.4 1,500.2 6.8 0.5% 1,569.6
Low 1,465.6 1,444.7 -20.9 -1.4% 1,494.9
Close 1,488.8 1,446.7 -42.1 -2.8% 1,535.6
Range 27.8 55.5 27.7 99.6% 74.7
ATR 38.3 39.5 1.2 3.2% 0.0
Volume 153,103 159,288 6,185 4.0% 1,075,793
Daily Pivots for day following 23-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,630.4 1,594.0 1,477.2
R3 1,574.9 1,538.5 1,462.0
R2 1,519.4 1,519.4 1,456.9
R1 1,483.0 1,483.0 1,451.8 1,473.5
PP 1,463.9 1,463.9 1,463.9 1,459.1
S1 1,427.5 1,427.5 1,441.6 1,418.0
S2 1,408.4 1,408.4 1,436.5
S3 1,352.9 1,372.0 1,431.4
S4 1,297.4 1,316.5 1,416.2
Weekly Pivots for week ending 18-Sep-2020
Classic Woodie Camarilla DeMark
R4 1,757.5 1,721.2 1,576.7
R3 1,682.8 1,646.5 1,556.1
R2 1,608.1 1,608.1 1,549.3
R1 1,571.8 1,571.8 1,542.4 1,590.0
PP 1,533.4 1,533.4 1,533.4 1,542.4
S1 1,497.1 1,497.1 1,528.8 1,515.3
S2 1,458.7 1,458.7 1,521.9
S3 1,384.0 1,422.4 1,515.1
S4 1,309.3 1,347.7 1,494.5
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,554.1 1,444.7 109.4 7.6% 47.3 3.3% 2% False True 186,583
10 1,569.6 1,444.7 124.9 8.6% 41.6 2.9% 2% False True 195,072
20 1,592.0 1,444.7 147.3 10.2% 40.4 2.8% 1% False True 98,476
40 1,601.5 1,444.7 156.8 10.8% 33.5 2.3% 1% False True 49,286
60 1,601.5 1,372.2 229.3 15.8% 33.7 2.3% 32% False False 32,874
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
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 8.6
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,736.1
2.618 1,645.5
1.618 1,590.0
1.000 1,555.7
0.618 1,534.5
HIGH 1,500.2
0.618 1,479.0
0.500 1,472.5
0.382 1,465.9
LOW 1,444.7
0.618 1,410.4
1.000 1,389.2
1.618 1,354.9
2.618 1,299.4
4.250 1,208.8
Fisher Pivots for day following 23-Sep-2020
Pivot 1 day 3 day
R1 1,472.5 1,491.6
PP 1,463.9 1,476.6
S1 1,455.3 1,461.7

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

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