CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 20-Sep-2023

Day Change Summary
	Previous	Current
	19-Sep-2023	20-Sep-2023	Change	Change %	Previous Week
Open	1,854.7	1,846.1	-8.6	-0.5%	1,870.3
High	1,862.0	1,863.9	1.9	0.1%	1,892.7
Low	1,838.9	1,824.3	-14.6	-0.8%	1,854.1
Close	1,845.6	1,826.3	-19.3	-1.0%	1,865.1
Range	23.1	39.6	16.5	71.4%	38.6
ATR	27.6	28.5	0.9	3.1%	0.0
Volume	179,799	183,878	4,079	2.3%	1,329,347

Daily Pivots for day following 20-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,957.0	1,931.2	1,848.1
R3	1,917.4	1,891.6	1,837.2
R2	1,877.8	1,877.8	1,833.6
R1	1,852.0	1,852.0	1,829.9	1,845.1
PP	1,838.2	1,838.2	1,838.2	1,834.7
S1	1,812.4	1,812.4	1,822.7	1,805.5
S2	1,798.6	1,798.6	1,819.0
S3	1,759.0	1,772.8	1,815.4
S4	1,719.4	1,733.2	1,804.5

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	1,824.3	68.4	3.7%	29.7	1.6%	3%	False	True	187,764
10	1,896.8	1,824.3	72.5	4.0%	25.6	1.4%	3%	False	True	198,439
20	1,952.8	1,824.3	128.5	7.0%	28.1	1.5%	2%	False	True	99,700
40	2,038.2	1,824.3	213.9	11.7%	30.0	1.6%	1%	False	True	49,983
60	2,038.2	1,824.3	213.9	11.7%	30.0	1.6%	1%	False	True	33,347
80	2,038.2	1,775.0	263.2	14.4%	29.1	1.6%	19%	False	False	25,035
100	2,038.2	1,739.6	298.6	16.3%	27.9	1.5%	29%	False	False	20,029
120	2,038.2	1,739.6	298.6	16.3%	26.2	1.4%	29%	False	False	16,690

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	5.7
Widest range in 11 trading days

Fibonacci Retracements and Extensions
4.250	2,032.2
2.618	1,967.6
1.618	1,928.0
1.000	1,903.5
0.618	1,888.4
HIGH	1,863.9
0.618	1,848.8
0.500	1,844.1
0.382	1,839.4
LOW	1,824.3
0.618	1,799.8
1.000	1,784.7
1.618	1,760.2
2.618	1,720.6
4.250	1,656.0

Fisher Pivots for day following 20-Sep-2023
Pivot	1 day	3 day
R1	1,844.1	1,847.7
PP	1,838.2	1,840.6
S1	1,832.2	1,833.4

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