CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 27-Sep-2023

Day Change Summary
	Previous	Current
	26-Sep-2023	27-Sep-2023	Change	Change %	Previous Week
Open	1,803.3	1,781.9	-21.4	-1.2%	1,866.2
High	1,804.1	1,802.8	-1.3	-0.1%	1,871.1
Low	1,776.3	1,777.4	1.1	0.1%	1,791.9
Close	1,777.9	1,793.0	15.1	0.8%	1,792.7
Range	27.8	25.4	-2.4	-8.6%	79.2
ATR	27.6	27.5	-0.2	-0.6%	0.0
Volume	205,143	236,478	31,335	15.3%	891,198

Daily Pivots for day following 27-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,867.3	1,855.5	1,807.0
R3	1,841.9	1,830.1	1,800.0
R2	1,816.5	1,816.5	1,797.7
R1	1,804.7	1,804.7	1,795.3	1,810.6
PP	1,791.1	1,791.1	1,791.1	1,794.0
S1	1,779.3	1,779.3	1,790.7	1,785.2
S2	1,765.7	1,765.7	1,788.3
S3	1,740.3	1,753.9	1,786.0
S4	1,714.9	1,728.5	1,779.0

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	1,826.8	1,776.3	50.5	2.8%	25.3	1.4%	33%	False	False	202,466
10	1,892.7	1,776.3	116.4	6.5%	27.5	1.5%	14%	False	False	195,115
20	1,952.8	1,776.3	176.5	9.8%	26.3	1.5%	9%	False	False	150,127
40	2,019.3	1,776.3	243.0	13.6%	28.7	1.6%	7%	False	False	75,263
60	2,038.2	1,776.3	261.9	14.6%	30.0	1.7%	6%	False	False	50,210
80	2,038.2	1,776.3	261.9	14.6%	29.0	1.6%	6%	False	False	37,689
100	2,038.2	1,766.6	271.6	15.1%	28.0	1.6%	10%	False	False	30,152
120	2,038.2	1,739.6	298.6	16.7%	26.2	1.5%	18%	False	False	25,127

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	5.9
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,910.8
2.618	1,869.3
1.618	1,843.9
1.000	1,828.2
0.618	1,818.5
HIGH	1,802.8
0.618	1,793.1
0.500	1,790.1
0.382	1,787.1
LOW	1,777.4
0.618	1,761.7
1.000	1,752.0
1.618	1,736.3
2.618	1,710.9
4.250	1,669.5

Fisher Pivots for day following 27-Sep-2023
Pivot	1 day	3 day
R1	1,792.0	1,792.2
PP	1,791.1	1,791.3
S1	1,790.1	1,790.5

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

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