CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 26-Sep-2023

Day Change Summary
	Previous	Current
	25-Sep-2023	26-Sep-2023	Change	Change %	Previous Week
Open	1,793.0	1,803.3	10.3	0.6%	1,866.2
High	1,804.6	1,804.1	-0.5	0.0%	1,871.1
Low	1,780.4	1,776.3	-4.1	-0.2%	1,791.9
Close	1,800.9	1,777.9	-23.0	-1.3%	1,792.7
Range	24.2	27.8	3.6	14.9%	79.2
ATR	27.6	27.6	0.0	0.0%	0.0
Volume	175,597	205,143	29,546	16.8%	891,198

Daily Pivots for day following 26-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,869.5	1,851.5	1,793.2
R3	1,841.7	1,823.7	1,785.5
R2	1,813.9	1,813.9	1,783.0
R1	1,795.9	1,795.9	1,780.4	1,791.0
PP	1,786.1	1,786.1	1,786.1	1,783.7
S1	1,768.1	1,768.1	1,775.4	1,763.2
S2	1,758.3	1,758.3	1,772.8
S3	1,730.5	1,740.3	1,770.3
S4	1,702.7	1,712.5	1,762.6

Weekly Pivots for week ending 22-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,056.2	2,003.6	1,836.3
R3	1,977.0	1,924.4	1,814.5
R2	1,897.8	1,897.8	1,807.2
R1	1,845.2	1,845.2	1,800.0	1,831.9
PP	1,818.6	1,818.6	1,818.6	1,811.9
S1	1,766.0	1,766.0	1,785.4	1,752.7
S2	1,739.4	1,739.4	1,778.2
S3	1,660.2	1,686.8	1,770.9
S4	1,581.0	1,607.6	1,749.1

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,863.9	1,776.3	87.6	4.9%	28.2	1.6%	2%	False	True	191,946
10	1,892.7	1,776.3	116.4	6.5%	27.7	1.6%	1%	False	True	195,502
20	1,952.8	1,776.3	176.5	9.9%	26.9	1.5%	1%	False	True	138,382
40	2,038.2	1,776.3	261.9	14.7%	28.9	1.6%	1%	False	True	69,360
60	2,038.2	1,776.3	261.9	14.7%	29.9	1.7%	1%	False	True	46,269
80	2,038.2	1,776.3	261.9	14.7%	29.1	1.6%	1%	False	True	34,733
100	2,038.2	1,739.6	298.6	16.8%	27.9	1.6%	13%	False	False	27,787
120	2,038.2	1,739.6	298.6	16.8%	26.1	1.5%	13%	False	False	23,156

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	6.3
Widest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	1,922.3
2.618	1,876.9
1.618	1,849.1
1.000	1,831.9
0.618	1,821.3
HIGH	1,804.1
0.618	1,793.5
0.500	1,790.2
0.382	1,786.9
LOW	1,776.3
0.618	1,759.1
1.000	1,748.5
1.618	1,731.3
2.618	1,703.5
4.250	1,658.2

Fisher Pivots for day following 26-Sep-2023
Pivot	1 day	3 day
R1	1,790.2	1,793.2
PP	1,786.1	1,788.1
S1	1,782.0	1,783.0

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

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