CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 06-Nov-2023

Day Change Summary
	Previous	Current
	03-Nov-2023	06-Nov-2023	Change	Change %	Previous Week
Open	1,720.8	1,767.3	46.5	2.7%	1,648.3
High	1,779.6	1,772.3	-7.3	-0.4%	1,779.6
Low	1,719.9	1,735.4	15.5	0.9%	1,641.7
Close	1,767.7	1,745.6	-22.1	-1.3%	1,767.7
Range	59.7	36.9	-22.8	-38.2%	137.9
ATR	35.5	35.6	0.1	0.3%	0.0
Volume	320,195	202,402	-117,793	-36.8%	1,271,614

Daily Pivots for day following 06-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,861.8	1,840.6	1,765.9
R3	1,824.9	1,803.7	1,755.7
R2	1,788.0	1,788.0	1,752.4
R1	1,766.8	1,766.8	1,749.0	1,759.0
PP	1,751.1	1,751.1	1,751.1	1,747.2
S1	1,729.9	1,729.9	1,742.2	1,722.1
S2	1,714.2	1,714.2	1,738.8
S3	1,677.3	1,693.0	1,735.5
S4	1,640.4	1,656.1	1,725.3

Weekly Pivots for week ending 03-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,143.4	2,093.4	1,843.5
R3	2,005.5	1,955.5	1,805.6
R2	1,867.6	1,867.6	1,793.0
R1	1,817.6	1,817.6	1,780.3	1,842.6
PP	1,729.7	1,729.7	1,729.7	1,742.2
S1	1,679.7	1,679.7	1,755.1	1,704.7
S2	1,591.8	1,591.8	1,742.4
S3	1,453.9	1,541.8	1,729.8
S4	1,316.0	1,403.9	1,691.9

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,779.6	1,644.2	135.4	7.8%	39.8	2.3%	75%	False	False	255,047
10	1,779.6	1,638.8	140.8	8.1%	35.3	2.0%	76%	False	False	244,460
20	1,802.7	1,638.8	163.9	9.4%	36.4	2.1%	65%	False	False	237,709
40	1,892.7	1,638.8	253.9	14.5%	33.5	1.9%	42%	False	False	229,838
60	1,958.7	1,638.8	319.9	18.3%	32.1	1.8%	33%	False	False	162,016
80	2,038.2	1,638.8	399.4	22.9%	31.7	1.8%	27%	False	False	121,549
100	2,038.2	1,638.8	399.4	22.9%	31.5	1.8%	27%	False	False	97,270
120	2,038.2	1,638.8	399.4	22.9%	30.5	1.8%	27%	False	False	81,059

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 3 trading days

Fibonacci Retracements and Extensions
4.250	1,929.1
2.618	1,868.9
1.618	1,832.0
1.000	1,809.2
0.618	1,795.1
HIGH	1,772.3
0.618	1,758.2
0.500	1,753.9
0.382	1,749.5
LOW	1,735.4
0.618	1,712.6
1.000	1,698.5
1.618	1,675.7
2.618	1,638.8
4.250	1,578.6

Fisher Pivots for day following 06-Nov-2023
Pivot	1 day	3 day
R1	1,753.9	1,739.6
PP	1,751.1	1,733.5
S1	1,748.4	1,727.5

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