CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 28-Sep-2023

Day Change Summary
	Previous	Current
	27-Sep-2023	28-Sep-2023	Change	Change %	Previous Week
Open	1,781.9	1,798.3	16.4	0.9%	1,866.2
High	1,802.8	1,818.9	16.1	0.9%	1,871.1
Low	1,777.4	1,786.0	8.6	0.5%	1,791.9
Close	1,793.0	1,809.1	16.1	0.9%	1,792.7
Range	25.4	32.9	7.5	29.5%	79.2
ATR	27.5	27.9	0.4	1.4%	0.0
Volume	236,478	217,558	-18,920	-8.0%	891,198

Daily Pivots for day following 28-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,903.4	1,889.1	1,827.2
R3	1,870.5	1,856.2	1,818.1
R2	1,837.6	1,837.6	1,815.1
R1	1,823.3	1,823.3	1,812.1	1,830.5
PP	1,804.7	1,804.7	1,804.7	1,808.2
S1	1,790.4	1,790.4	1,806.1	1,797.6
S2	1,771.8	1,771.8	1,803.1
S3	1,738.9	1,757.5	1,800.1
S4	1,706.0	1,724.6	1,791.0

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	1,818.9	1,776.3	42.6	2.4%	25.7	1.4%	77%	True	False	202,169
10	1,892.7	1,776.3	116.4	6.4%	27.6	1.5%	28%	False	False	194,866
20	1,952.8	1,776.3	176.5	9.8%	26.8	1.5%	19%	False	False	160,983
40	2,007.6	1,776.3	231.3	12.8%	28.7	1.6%	14%	False	False	80,696
60	2,038.2	1,776.3	261.9	14.5%	30.1	1.7%	13%	False	False	53,835
80	2,038.2	1,776.3	261.9	14.5%	29.0	1.6%	13%	False	False	40,409
100	2,038.2	1,766.6	271.6	15.0%	28.2	1.6%	16%	False	False	32,327
120	2,038.2	1,739.6	298.6	16.5%	26.5	1.5%	23%	False	False	26,940

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	7.0
Widest range in 6 trading days

Fibonacci Retracements and Extensions
4.250	1,958.7
2.618	1,905.0
1.618	1,872.1
1.000	1,851.8
0.618	1,839.2
HIGH	1,818.9
0.618	1,806.3
0.500	1,802.5
0.382	1,798.6
LOW	1,786.0
0.618	1,765.7
1.000	1,753.1
1.618	1,732.8
2.618	1,699.9
4.250	1,646.2

Fisher Pivots for day following 28-Sep-2023
Pivot	1 day	3 day
R1	1,806.9	1,805.3
PP	1,804.7	1,801.4
S1	1,802.5	1,797.6

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

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