CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 21-Sep-2023

Day Change Summary
	Previous	Current
	20-Sep-2023	21-Sep-2023	Change	Change %	Previous Week
Open	1,864.4	1,840.0	-24.4	-1.3%	1,905.0
High	1,883.6	1,843.1	-40.5	-2.2%	1,907.1
Low	1,844.9	1,816.4	-28.5	-1.5%	1,878.3
Close	1,846.4	1,817.7	-28.7	-1.6%	1,885.9
Range	38.7	26.7	-12.0	-31.0%	28.8
ATR	23.4	23.9	0.5	2.0%	0.0
Volume	40	84	44	110.0%	92

Daily Pivots for day following 21-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,905.8	1,888.5	1,832.4
R3	1,879.1	1,861.8	1,825.0
R2	1,852.4	1,852.4	1,822.6
R1	1,835.1	1,835.1	1,820.1	1,830.4
PP	1,825.7	1,825.7	1,825.7	1,823.4
S1	1,808.4	1,808.4	1,815.3	1,803.7
S2	1,799.0	1,799.0	1,812.8
S3	1,772.3	1,781.7	1,810.4
S4	1,745.6	1,755.0	1,803.0

Weekly Pivots for week ending 15-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,976.8	1,960.2	1,901.7
R3	1,948.0	1,931.4	1,893.8
R2	1,919.2	1,919.2	1,891.2
R1	1,902.6	1,902.6	1,888.5	1,896.5
PP	1,890.4	1,890.4	1,890.4	1,887.4
S1	1,873.8	1,873.8	1,883.3	1,867.7
S2	1,861.6	1,861.6	1,880.6
S3	1,832.8	1,845.0	1,878.0
S4	1,804.0	1,816.2	1,870.1

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,906.1	1,816.4	89.7	4.9%	26.5	1.5%	1%	False	True	152
10	1,907.1	1,816.4	90.7	5.0%	20.0	1.1%	1%	False	True	80
20	1,970.8	1,816.4	154.4	8.5%	19.1	1.1%	1%	False	True	43
40	2,052.8	1,816.4	236.4	13.0%	20.5	1.1%	1%	False	True	22
60	2,052.8	1,816.4	236.4	13.0%	19.0	1.0%	1%	False	True	15
80	2,052.8	1,799.5	253.3	13.9%	15.4	0.8%	7%	False	False	11
100	2,052.8	1,772.1	280.7	15.4%	12.3	0.7%	16%	False	False	9

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	4.2
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,956.6
2.618	1,913.0
1.618	1,886.3
1.000	1,869.8
0.618	1,859.6
HIGH	1,843.1
0.618	1,832.9
0.500	1,829.8
0.382	1,826.6
LOW	1,816.4
0.618	1,799.9
1.000	1,789.7
1.618	1,773.2
2.618	1,746.5
4.250	1,702.9

Fisher Pivots for day following 21-Sep-2023
Pivot	1 day	3 day
R1	1,829.8	1,850.0
PP	1,825.7	1,839.2
S1	1,821.7	1,828.5

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

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