CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 12-Sep-2023

Day Change Summary
	Previous	Current
	11-Sep-2023	12-Sep-2023	Change	Change %	Previous Week
Open	1,870.3	1,876.0	5.7	0.3%	1,940.5
High	1,889.5	1,884.9	-4.6	-0.2%	1,943.0
Low	1,870.3	1,868.9	-1.4	-0.1%	1,866.8
Close	1,875.8	1,873.3	-2.5	-0.1%	1,872.3
Range	19.2	16.0	-3.2	-16.7%	76.2
ATR	28.8	27.9	-0.9	-3.2%	0.0
Volume	356,137	290,121	-66,016	-18.5%	163,080

Daily Pivots for day following 12-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,923.7	1,914.5	1,882.1
R3	1,907.7	1,898.5	1,877.7
R2	1,891.7	1,891.7	1,876.2
R1	1,882.5	1,882.5	1,874.8	1,879.1
PP	1,875.7	1,875.7	1,875.7	1,874.0
S1	1,866.5	1,866.5	1,871.8	1,863.1
S2	1,859.7	1,859.7	1,870.4
S3	1,843.7	1,850.5	1,868.9
S4	1,827.7	1,834.5	1,864.5

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	1,915.0	1,866.8	48.2	2.6%	22.1	1.2%	13%	False	False	161,370
10	1,952.8	1,866.8	86.0	4.6%	26.1	1.4%	8%	False	False	81,262
20	1,953.3	1,852.3	101.0	5.4%	28.5	1.5%	21%	False	False	40,871
40	2,038.2	1,852.3	185.9	9.9%	29.4	1.6%	11%	False	False	20,513
60	2,038.2	1,844.0	194.2	10.4%	30.0	1.6%	15%	False	False	13,726
80	2,038.2	1,775.0	263.2	14.1%	28.8	1.5%	37%	False	False	10,296
100	2,038.2	1,739.6	298.6	15.9%	26.8	1.4%	45%	False	False	8,237
120	2,038.2	1,732.5	305.7	16.3%	26.0	1.4%	46%	False	False	6,864

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	True
3BNR	True
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	5.7
Narrowest range in 62 trading days

Fibonacci Retracements and Extensions
4.250	1,952.9
2.618	1,926.8
1.618	1,910.8
1.000	1,900.9
0.618	1,894.8
HIGH	1,884.9
0.618	1,878.8
0.500	1,876.9
0.382	1,875.0
LOW	1,868.9
0.618	1,859.0
1.000	1,852.9
1.618	1,843.0
2.618	1,827.0
4.250	1,800.9

Fisher Pivots for day following 12-Sep-2023
Pivot	1 day	3 day
R1	1,876.9	1,878.2
PP	1,875.7	1,876.5
S1	1,874.5	1,874.9

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

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