CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 11-Sep-2023

Day Change Summary
	Previous	Current
	08-Sep-2023	11-Sep-2023	Change	Change %	Previous Week
Open	1,878.1	1,870.3	-7.8	-0.4%	1,940.5
High	1,883.0	1,889.5	6.5	0.3%	1,943.0
Low	1,866.8	1,870.3	3.5	0.2%	1,866.8
Close	1,872.3	1,875.8	3.5	0.2%	1,872.3
Range	16.2	19.2	3.0	18.5%	76.2
ATR	29.6	28.8	-0.7	-2.5%	0.0
Volume	139,570	356,137	216,567	155.2%	163,080

Daily Pivots for day following 11-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,936.1	1,925.2	1,886.4
R3	1,916.9	1,906.0	1,881.1
R2	1,897.7	1,897.7	1,879.3
R1	1,886.8	1,886.8	1,877.6	1,892.3
PP	1,878.5	1,878.5	1,878.5	1,881.3
S1	1,867.6	1,867.6	1,874.0	1,873.1
S2	1,859.3	1,859.3	1,872.3
S3	1,840.1	1,848.4	1,870.5
S4	1,820.9	1,829.2	1,865.2

Weekly Pivots for week ending 08-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,122.6	2,073.7	1,914.2
R3	2,046.4	1,997.5	1,893.3
R2	1,970.2	1,970.2	1,886.3
R1	1,921.3	1,921.3	1,879.3	1,907.7
PP	1,894.0	1,894.0	1,894.0	1,887.2
S1	1,845.1	1,845.1	1,865.3	1,831.5
S2	1,817.8	1,817.8	1,858.3
S3	1,741.6	1,768.9	1,851.3
S4	1,665.4	1,692.7	1,830.4

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,943.0	1,866.8	76.2	4.1%	27.2	1.5%	12%	False	False	103,843
10	1,952.8	1,866.8	86.0	4.6%	27.4	1.5%	10%	False	False	52,367
20	1,958.7	1,852.3	106.4	5.7%	29.2	1.6%	22%	False	False	26,372
40	2,038.2	1,852.3	185.9	9.9%	29.9	1.6%	13%	False	False	13,261
60	2,038.2	1,844.0	194.2	10.4%	30.2	1.6%	16%	False	False	8,891
80	2,038.2	1,772.4	265.8	14.2%	29.1	1.5%	39%	False	False	6,669
100	2,038.2	1,739.6	298.6	15.9%	26.8	1.4%	46%	False	False	5,336
120	2,038.2	1,732.5	305.7	16.3%	26.3	1.4%	47%	False	False	4,446

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	True
3BNR	True
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	5.1
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,971.1
2.618	1,939.8
1.618	1,920.6
1.000	1,908.7
0.618	1,901.4
HIGH	1,889.5
0.618	1,882.2
0.500	1,879.9
0.382	1,877.6
LOW	1,870.3
0.618	1,858.4
1.000	1,851.1
1.618	1,839.2
2.618	1,820.0
4.250	1,788.7

Fisher Pivots for day following 11-Sep-2023
Pivot	1 day	3 day
R1	1,879.9	1,881.8
PP	1,878.5	1,879.8
S1	1,877.2	1,877.8

Download as Excel Spreadsheet

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

View Archives - Comment on this page... - Back to Index of Symbols