CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 31-Oct-2023

Day Change Summary
	Previous	Current
	30-Oct-2023	31-Oct-2023	Change	Change %	Previous Week
Open	1,663.6	1,662.8	-0.8	0.0%	1,711.0
High	1,687.2	1,689.2	2.0	0.1%	1,718.0
Low	1,659.5	1,661.9	2.4	0.1%	1,656.1
Close	1,670.8	1,685.9	15.1	0.9%	1,661.8
Range	27.7	27.3	-0.4	-1.4%	61.9
ATR	32.1	31.7	-0.3	-1.1%	0.0
Volume	159	120	-39	-24.5%	1,016

Daily Pivots for day following 31-Oct-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,760.9	1,750.7	1,700.9
R3	1,733.6	1,723.4	1,693.4
R2	1,706.3	1,706.3	1,690.9
R1	1,696.1	1,696.1	1,688.4	1,701.2
PP	1,679.0	1,679.0	1,679.0	1,681.6
S1	1,668.8	1,668.8	1,683.4	1,673.9
S2	1,651.7	1,651.7	1,680.9
S3	1,624.4	1,641.5	1,678.4
S4	1,597.1	1,614.2	1,670.9

Weekly Pivots for week ending 27-Oct-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,864.3	1,825.0	1,695.8
R3	1,802.4	1,763.1	1,678.8
R2	1,740.5	1,740.5	1,673.1
R1	1,701.2	1,701.2	1,667.5	1,689.9
PP	1,678.6	1,678.6	1,678.6	1,673.0
S1	1,639.3	1,639.3	1,656.1	1,628.0
S2	1,616.7	1,616.7	1,650.5
S3	1,554.8	1,577.4	1,644.8
S4	1,492.9	1,515.5	1,627.8

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,706.6	1,656.1	50.5	3.0%	30.9	1.8%	59%	False	False	174
10	1,798.1	1,656.1	142.0	8.4%	31.0	1.8%	21%	False	False	176
20	1,821.8	1,656.1	165.7	9.8%	33.5	2.0%	18%	False	False	169
40	1,931.0	1,656.1	274.9	16.3%	28.7	1.7%	11%	False	False	134
60	2,000.4	1,656.1	344.3	20.4%	26.1	1.5%	9%	False	False	90
80	2,052.8	1,656.1	396.7	23.5%	24.1	1.4%	8%	False	False	68
100	2,052.8	1,656.1	396.7	23.5%	21.5	1.3%	8%	False	False	54
120	2,052.8	1,656.1	396.7	23.5%	17.9	1.1%	8%	False	False	45

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	True
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	4.0
Narrowest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	1,805.2
2.618	1,760.7
1.618	1,733.4
1.000	1,716.5
0.618	1,706.1
HIGH	1,689.2
0.618	1,678.8
0.500	1,675.6
0.382	1,672.3
LOW	1,661.9
0.618	1,645.0
1.000	1,634.6
1.618	1,617.7
2.618	1,590.4
4.250	1,545.9

Fisher Pivots for day following 31-Oct-2023
Pivot	1 day	3 day
R1	1,682.5	1,682.2
PP	1,679.0	1,678.4
S1	1,675.6	1,674.7

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

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