CME E-mini Russell 2000 Index Futures December 2023

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

Day Change Summary
	Previous	Current
	24-Nov-2023	27-Nov-2023	Change	Change %	Previous Week
Open	1,798.7	1,810.2	11.5	0.6%	1,801.9
High	1,815.0	1,811.3	-3.7	-0.2%	1,816.4
Low	1,795.3	1,789.0	-6.3	-0.4%	1,784.7
Close	1,811.0	1,804.2	-6.8	-0.4%	1,811.0
Range	19.7	22.3	2.6	13.2%	31.7
ATR	34.3	33.4	-0.9	-2.5%	0.0
Volume	96,277	152,196	55,919	58.1%	711,797

Daily Pivots for day following 27-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,868.4	1,858.6	1,816.5
R3	1,846.1	1,836.3	1,810.3
R2	1,823.8	1,823.8	1,808.3
R1	1,814.0	1,814.0	1,806.2	1,807.8
PP	1,801.5	1,801.5	1,801.5	1,798.4
S1	1,791.7	1,791.7	1,802.2	1,785.5
S2	1,779.2	1,779.2	1,800.1
S3	1,756.9	1,769.4	1,798.1
S4	1,734.6	1,747.1	1,791.9

Weekly Pivots for week ending 24-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,899.1	1,886.8	1,828.4
R3	1,867.4	1,855.1	1,819.7
R2	1,835.7	1,835.7	1,816.8
R1	1,823.4	1,823.4	1,813.9	1,829.6
PP	1,804.0	1,804.0	1,804.0	1,807.1
S1	1,791.7	1,791.7	1,808.1	1,797.9
S2	1,772.3	1,772.3	1,805.2
S3	1,740.6	1,760.0	1,802.3
S4	1,708.9	1,728.3	1,793.6

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,816.4	1,784.7	31.7	1.8%	23.9	1.3%	62%	False	False	172,798
10	1,838.5	1,694.5	144.0	8.0%	34.9	1.9%	76%	False	False	226,678
20	1,838.5	1,641.7	196.8	10.9%	35.0	1.9%	83%	False	False	229,227
40	1,838.5	1,638.8	199.7	11.1%	35.7	2.0%	83%	False	False	234,230
60	1,952.8	1,638.8	314.0	17.4%	33.0	1.8%	53%	False	False	213,735
80	2,007.6	1,638.8	368.8	20.4%	32.3	1.8%	45%	False	False	160,405
100	2,038.2	1,638.8	399.4	22.1%	32.1	1.8%	41%	False	False	128,349
120	2,038.2	1,638.8	399.4	22.1%	31.3	1.7%	41%	False	False	106,979

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	True
3BNR	True
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	4.8
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,906.1
2.618	1,869.7
1.618	1,847.4
1.000	1,833.6
0.618	1,825.1
HIGH	1,811.3
0.618	1,802.8
0.500	1,800.2
0.382	1,797.5
LOW	1,789.0
0.618	1,775.2
1.000	1,766.7
1.618	1,752.9
2.618	1,730.6
4.250	1,694.2

Fisher Pivots for day following 27-Nov-2023
Pivot	1 day	3 day
R1	1,802.9	1,803.2
PP	1,801.5	1,802.1
S1	1,800.2	1,801.1

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

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