CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 24-Nov-2023

Day Change Summary
	Previous	Current
	22-Nov-2023	24-Nov-2023	Change	Change %	Previous Week
Open	1,808.5	1,818.6	10.1	0.6%	1,823.6
High	1,829.4	1,833.2	3.8	0.2%	1,835.1
Low	1,806.5	1,814.8	8.3	0.5%	1,804.7
Close	1,817.8	1,830.1	12.3	0.7%	1,830.1
Range	22.9	18.4	-4.5	-19.7%	30.4
ATR	34.4	33.2	-1.1	-3.3%	0.0
Volume	467	112	-355	-76.0%	1,328

Daily Pivots for day following 24-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,881.2	1,874.1	1,840.2
R3	1,862.8	1,855.7	1,835.2
R2	1,844.4	1,844.4	1,833.5
R1	1,837.3	1,837.3	1,831.8	1,840.9
PP	1,826.0	1,826.0	1,826.0	1,827.8
S1	1,818.9	1,818.9	1,828.4	1,822.5
S2	1,807.6	1,807.6	1,826.7
S3	1,789.2	1,800.5	1,825.0
S4	1,770.8	1,782.1	1,820.0

Weekly Pivots for week ending 24-Nov-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,914.5	1,902.7	1,846.8
R3	1,884.1	1,872.3	1,838.5
R2	1,853.7	1,853.7	1,835.7
R1	1,841.9	1,841.9	1,832.9	1,847.8
PP	1,823.3	1,823.3	1,823.3	1,826.3
S1	1,811.5	1,811.5	1,827.3	1,817.4
S2	1,792.9	1,792.9	1,824.5
S3	1,762.5	1,781.1	1,821.7
S4	1,732.1	1,750.7	1,813.4

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,835.1	1,799.2	35.9	2.0%	23.4	1.3%	86%	False	False	319
10	1,857.3	1,705.7	151.6	8.3%	34.7	1.9%	82%	False	False	327
20	1,857.3	1,656.1	201.2	11.0%	34.6	1.9%	86%	False	False	263
40	1,857.3	1,656.1	201.2	11.0%	34.9	1.9%	86%	False	False	218
60	1,970.8	1,656.1	314.7	17.2%	29.9	1.6%	55%	False	False	169
80	2,022.2	1,656.1	366.1	20.0%	27.8	1.5%	48%	False	False	127
100	2,052.8	1,656.1	396.7	21.7%	26.2	1.4%	44%	False	False	102
120	2,052.8	1,656.1	396.7	21.7%	22.9	1.3%	44%	False	False	85

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	True
3BNR	True
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	5.0
Narrowest range in 44 trading days

Fibonacci Retracements and Extensions
4.250	1,911.4
2.618	1,881.4
1.618	1,863.0
1.000	1,851.6
0.618	1,844.6
HIGH	1,833.2
0.618	1,826.2
0.500	1,824.0
0.382	1,821.8
LOW	1,814.8
0.618	1,803.4
1.000	1,796.4
1.618	1,785.0
2.618	1,766.6
4.250	1,736.6

Fisher Pivots for day following 24-Nov-2023
Pivot	1 day	3 day
R1	1,828.1	1,826.7
PP	1,826.0	1,823.3
S1	1,824.0	1,819.9

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

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