CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 15-Nov-2023

Day Change Summary
	Previous	Current
	14-Nov-2023	15-Nov-2023	Change	Change %	Previous Week
Open	1,712.2	1,807.9	95.7	5.6%	1,767.3
High	1,808.2	1,838.5	30.3	1.7%	1,772.3
Low	1,707.1	1,801.6	94.5	5.5%	1,687.4
Close	1,805.2	1,808.5	3.3	0.2%	1,711.5
Range	101.1	36.9	-64.2	-63.5%	84.9
ATR	38.5	38.3	-0.1	-0.3%	0.0
Volume	399,970	337,190	-62,780	-15.7%	1,046,154

Daily Pivots for day following 15-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,926.9	1,904.6	1,828.8
R3	1,890.0	1,867.7	1,818.6
R2	1,853.1	1,853.1	1,815.3
R1	1,830.8	1,830.8	1,811.9	1,842.0
PP	1,816.2	1,816.2	1,816.2	1,821.8
S1	1,793.9	1,793.9	1,805.1	1,805.1
S2	1,779.3	1,779.3	1,801.7
S3	1,742.4	1,757.0	1,798.4
S4	1,705.5	1,720.1	1,788.2

Weekly Pivots for week ending 10-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,978.4	1,929.9	1,758.2
R3	1,893.5	1,845.0	1,734.8
R2	1,808.6	1,808.6	1,727.1
R1	1,760.1	1,760.1	1,719.3	1,741.9
PP	1,723.7	1,723.7	1,723.7	1,714.7
S1	1,675.2	1,675.2	1,703.7	1,657.0
S2	1,638.8	1,638.8	1,695.9
S3	1,553.9	1,590.3	1,688.2
S4	1,469.0	1,505.4	1,664.8

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,838.5	1,687.4	151.1	8.4%	46.9	2.6%	80%	True	False	273,261
10	1,838.5	1,675.4	163.1	9.0%	42.9	2.4%	82%	True	False	254,513
20	1,838.5	1,638.8	199.7	11.0%	36.5	2.0%	85%	True	False	250,322
40	1,838.5	1,638.8	199.7	11.0%	35.8	2.0%	85%	True	False	236,879
60	1,952.8	1,638.8	314.0	17.4%	33.2	1.8%	54%	False	False	191,153
80	2,038.2	1,638.8	399.4	22.1%	32.9	1.8%	42%	False	False	143,431
100	2,038.2	1,638.8	399.4	22.1%	32.3	1.8%	42%	False	False	114,760
120	2,038.2	1,638.8	399.4	22.1%	31.3	1.7%	42%	False	False	95,650

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
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	5.6
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,995.3
2.618	1,935.1
1.618	1,898.2
1.000	1,875.4
0.618	1,861.3
HIGH	1,838.5
0.618	1,824.4
0.500	1,820.1
0.382	1,815.7
LOW	1,801.6
0.618	1,778.8
1.000	1,764.7
1.618	1,741.9
2.618	1,705.0
4.250	1,644.8

Fisher Pivots for day following 15-Nov-2023
Pivot	1 day	3 day
R1	1,820.1	1,794.5
PP	1,816.2	1,780.5
S1	1,812.4	1,766.5

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

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