CME E-mini Russell 2000 Index Futures December 2023

Trading Metrics calculated at close of trading on 20-Nov-2023

Day Change Summary
	Previous	Current
	17-Nov-2023	20-Nov-2023	Change	Change %	Previous Week
Open	1,783.7	1,801.9	18.2	1.0%	1,709.0
High	1,805.6	1,815.8	10.2	0.6%	1,838.5
Low	1,780.4	1,794.5	14.1	0.8%	1,694.5
Close	1,802.4	1,812.1	9.7	0.5%	1,802.4
Range	25.2	21.3	-3.9	-15.5%	144.0
ATR	37.8	36.6	-1.2	-3.1%	0.0
Volume	211,733	157,763	-53,970	-25.5%	1,402,789

Daily Pivots for day following 20-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,871.4	1,863.0	1,823.8
R3	1,850.1	1,841.7	1,818.0
R2	1,828.8	1,828.8	1,816.0
R1	1,820.4	1,820.4	1,814.1	1,824.6
PP	1,807.5	1,807.5	1,807.5	1,809.6
S1	1,799.1	1,799.1	1,810.1	1,803.3
S2	1,786.2	1,786.2	1,808.2
S3	1,764.9	1,777.8	1,806.2
S4	1,743.6	1,756.5	1,800.4

Weekly Pivots for week ending 17-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,210.5	2,150.4	1,881.6
R3	2,066.5	2,006.4	1,842.0
R2	1,922.5	1,922.5	1,828.8
R1	1,862.4	1,862.4	1,815.6	1,892.5
PP	1,778.5	1,778.5	1,778.5	1,793.5
S1	1,718.4	1,718.4	1,789.2	1,748.5
S2	1,634.5	1,634.5	1,776.0
S3	1,490.5	1,574.4	1,762.8
S4	1,346.5	1,430.4	1,723.2

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	1,707.1	131.4	7.3%	45.5	2.5%	80%	False	False	278,101
10	1,838.5	1,687.4	151.1	8.3%	37.3	2.1%	83%	False	False	240,430
20	1,838.5	1,638.8	199.7	11.0%	36.3	2.0%	87%	False	False	242,445
40	1,838.5	1,638.8	199.7	11.0%	36.2	2.0%	87%	False	False	238,945
60	1,952.8	1,638.8	314.0	17.3%	33.1	1.8%	55%	False	False	202,025
80	2,038.2	1,638.8	399.4	22.0%	32.6	1.8%	43%	False	False	151,590
100	2,038.2	1,638.8	399.4	22.0%	32.3	1.8%	43%	False	False	121,291
120	2,038.2	1,638.8	399.4	22.0%	31.5	1.7%	43%	False	False	101,094

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
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	6.9
Narrowest range in 9 trading days

Fibonacci Retracements and Extensions
4.250	1,906.3
2.618	1,871.6
1.618	1,850.3
1.000	1,837.1
0.618	1,829.0
HIGH	1,815.8
0.618	1,807.7
0.500	1,805.2
0.382	1,802.6
LOW	1,794.5
0.618	1,781.3
1.000	1,773.2
1.618	1,760.0
2.618	1,738.7
4.250	1,704.0

Fisher Pivots for day following 20-Nov-2023
Pivot	1 day	3 day
R1	1,809.8	1,805.8
PP	1,807.5	1,799.5
S1	1,805.2	1,793.2

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

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