CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 22-Sep-2023

Day Change Summary
	Previous	Current
	21-Sep-2023	22-Sep-2023	Change	Change %	Previous Week
Open	1,840.0	1,818.5	-21.5	-1.2%	1,890.0
High	1,843.1	1,829.3	-13.8	-0.7%	1,890.9
Low	1,816.4	1,812.5	-3.9	-0.2%	1,812.5
Close	1,817.7	1,812.5	-5.2	-0.3%	1,812.5
Range	26.7	16.8	-9.9	-37.1%	78.4
ATR	23.9	23.4	-0.5	-2.1%	0.0
Volume	84	116	32	38.1%	817

Daily Pivots for day following 22-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,868.5	1,857.3	1,821.7
R3	1,851.7	1,840.5	1,817.1
R2	1,834.9	1,834.9	1,815.6
R1	1,823.7	1,823.7	1,814.0	1,820.9
PP	1,818.1	1,818.1	1,818.1	1,816.7
S1	1,806.9	1,806.9	1,811.0	1,804.1
S2	1,801.3	1,801.3	1,809.4
S3	1,784.5	1,790.1	1,807.9
S4	1,767.7	1,773.3	1,803.3

Weekly Pivots for week ending 22-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,073.8	2,021.6	1,855.6
R3	1,995.4	1,943.2	1,834.1
R2	1,917.0	1,917.0	1,826.9
R1	1,864.8	1,864.8	1,819.7	1,851.7
PP	1,838.6	1,838.6	1,838.6	1,832.1
S1	1,786.4	1,786.4	1,805.3	1,773.3
S2	1,760.2	1,760.2	1,798.1
S3	1,681.8	1,708.0	1,790.9
S4	1,603.4	1,629.6	1,769.4

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,890.9	1,812.5	78.4	4.3%	24.4	1.3%	0%	False	True	163
10	1,907.1	1,812.5	94.6	5.2%	20.8	1.1%	0%	False	True	90
20	1,970.8	1,812.5	158.3	8.7%	18.4	1.0%	0%	False	True	49
40	2,052.8	1,812.5	240.3	13.3%	19.8	1.1%	0%	False	True	25
60	2,052.8	1,812.5	240.3	13.3%	19.0	1.0%	0%	False	True	17
80	2,052.8	1,799.5	253.3	14.0%	15.6	0.9%	5%	False	False	13
100	2,052.8	1,772.1	280.7	15.5%	12.5	0.7%	14%	False	False	10

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	4.5
Narrowest range in 8 trading days

Fibonacci Retracements and Extensions
4.250	1,900.7
2.618	1,873.3
1.618	1,856.5
1.000	1,846.1
0.618	1,839.7
HIGH	1,829.3
0.618	1,822.9
0.500	1,820.9
0.382	1,818.9
LOW	1,812.5
0.618	1,802.1
1.000	1,795.7
1.618	1,785.3
2.618	1,768.5
4.250	1,741.1

Fisher Pivots for day following 22-Sep-2023
Pivot	1 day	3 day
R1	1,820.9	1,848.1
PP	1,818.1	1,836.2
S1	1,815.3	1,824.4

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

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