CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 15-Sep-2023

Day Change Summary
	Previous	Current
	14-Sep-2023	15-Sep-2023	Change	Change %	Previous Week
Open	1,861.2	1,888.9	27.7	1.5%	1,870.3
High	1,891.4	1,892.7	1.3	0.1%	1,892.7
Low	1,859.9	1,856.9	-3.0	-0.2%	1,854.1
Close	1,886.5	1,865.1	-21.4	-1.1%	1,865.1
Range	31.5	35.8	4.3	13.7%	38.6
ATR	28.1	28.7	0.5	1.9%	0.0
Volume	220,043	222,691	2,648	1.2%	1,329,347

Daily Pivots for day following 15-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,979.0	1,957.8	1,884.8
R3	1,943.2	1,922.0	1,874.9
R2	1,907.4	1,907.4	1,871.7
R1	1,886.2	1,886.2	1,868.4	1,878.9
PP	1,871.6	1,871.6	1,871.6	1,867.9
S1	1,850.4	1,850.4	1,861.8	1,843.1
S2	1,835.8	1,835.8	1,858.5
S3	1,800.0	1,814.6	1,855.3
S4	1,764.2	1,778.8	1,845.4

Weekly Pivots for week ending 15-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,986.4	1,964.4	1,886.3
R3	1,947.8	1,925.8	1,875.7
R2	1,909.2	1,909.2	1,872.2
R1	1,887.2	1,887.2	1,868.6	1,878.9
PP	1,870.6	1,870.6	1,870.6	1,866.5
S1	1,848.6	1,848.6	1,861.6	1,840.3
S2	1,832.0	1,832.0	1,858.0
S3	1,793.4	1,810.0	1,854.5
S4	1,754.8	1,771.4	1,843.9

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,892.7	1,854.1	38.6	2.1%	26.0	1.4%	28%	True	False	265,869
10	1,952.8	1,854.1	98.7	5.3%	27.8	1.5%	11%	False	False	149,328
20	1,952.8	1,852.3	100.5	5.4%	28.1	1.5%	13%	False	False	74,992
40	2,038.2	1,852.3	185.9	10.0%	29.6	1.6%	7%	False	False	37,586
60	2,038.2	1,844.0	194.2	10.4%	30.3	1.6%	11%	False	False	25,108
80	2,038.2	1,775.0	263.2	14.1%	29.0	1.6%	34%	False	False	18,834
100	2,038.2	1,739.6	298.6	16.0%	27.4	1.5%	42%	False	False	15,068
120	2,038.2	1,739.6	298.6	16.0%	25.8	1.4%	42%	False	False	12,556

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	4.3
Widest range in 8 trading days

Fibonacci Retracements and Extensions
4.250	2,044.9
2.618	1,986.4
1.618	1,950.6
1.000	1,928.5
0.618	1,914.8
HIGH	1,892.7
0.618	1,879.0
0.500	1,874.8
0.382	1,870.6
LOW	1,856.9
0.618	1,834.8
1.000	1,821.1
1.618	1,799.0
2.618	1,763.2
4.250	1,704.8

Fisher Pivots for day following 15-Sep-2023
Pivot	1 day	3 day
R1	1,874.8	1,873.4
PP	1,871.6	1,870.6
S1	1,868.3	1,867.9

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

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