CME E-mini Russell 2000 Index Futures December 2020


Trading Metrics calculated at close of trading on 12-Nov-2020
Day Change Summary
Previous Current
11-Nov-2020 12-Nov-2020 Change Change % Previous Week
Open 1,735.8 1,739.4 3.6 0.2% 1,537.0
High 1,747.8 1,739.4 -8.4 -0.5% 1,669.0
Low 1,717.1 1,691.4 -25.7 -1.5% 1,526.0
Close 1,735.2 1,707.4 -27.8 -1.6% 1,643.1
Range 30.7 48.0 17.3 56.4% 143.0
ATR 51.8 51.5 -0.3 -0.5% 0.0
Volume 137,312 181,033 43,721 31.8% 962,816
Daily Pivots for day following 12-Nov-2020
Classic Woodie Camarilla DeMark
R4 1,856.7 1,830.1 1,733.8
R3 1,808.7 1,782.1 1,720.6
R2 1,760.7 1,760.7 1,716.2
R1 1,734.1 1,734.1 1,711.8 1,723.4
PP 1,712.7 1,712.7 1,712.7 1,707.4
S1 1,686.1 1,686.1 1,703.0 1,675.4
S2 1,664.7 1,664.7 1,698.6
S3 1,616.7 1,638.1 1,694.2
S4 1,568.7 1,590.1 1,681.0
Weekly Pivots for week ending 06-Nov-2020
Classic Woodie Camarilla DeMark
R4 2,041.7 1,985.4 1,721.8
R3 1,898.7 1,842.4 1,682.4
R2 1,755.7 1,755.7 1,669.3
R1 1,699.4 1,699.4 1,656.2 1,727.6
PP 1,612.7 1,612.7 1,612.7 1,626.8
S1 1,556.4 1,556.4 1,630.0 1,584.6
S2 1,469.7 1,469.7 1,616.9
S3 1,326.7 1,413.4 1,603.8
S4 1,183.7 1,270.4 1,564.5
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,815.3 1,637.2 178.1 10.4% 66.9 3.9% 39% False False 194,197
10 1,815.3 1,520.3 295.0 17.3% 63.1 3.7% 63% False False 199,192
20 1,815.3 1,520.3 295.0 17.3% 49.5 2.9% 63% False False 176,649
40 1,815.3 1,426.2 389.1 22.8% 44.7 2.6% 72% False False 181,001
60 1,815.3 1,426.2 389.1 22.8% 41.5 2.4% 72% False False 141,146
80 1,815.3 1,426.2 389.1 22.8% 38.0 2.2% 72% False False 105,879
100 1,815.3 1,357.5 457.8 26.8% 38.3 2.2% 76% False False 84,714
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 11.2
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,943.4
2.618 1,865.1
1.618 1,817.1
1.000 1,787.4
0.618 1,769.1
HIGH 1,739.4
0.618 1,721.1
0.500 1,715.4
0.382 1,709.7
LOW 1,691.4
0.618 1,661.7
1.000 1,643.4
1.618 1,613.7
2.618 1,565.7
4.250 1,487.4
Fisher Pivots for day following 12-Nov-2020
Pivot 1 day 3 day
R1 1,715.4 1,720.7
PP 1,712.7 1,716.3
S1 1,710.1 1,711.8

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

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