CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 06-Dec-2023

Day Change Summary
	Previous	Current
	05-Dec-2023	06-Dec-2023	Change	Change %	Previous Week
Open	1,902.1	1,878.7	-23.4	-1.2%	1,825.9
High	1,907.0	1,915.1	8.1	0.4%	1,888.8
Low	1,875.4	1,873.0	-2.4	-0.1%	1,808.0
Close	1,879.7	1,874.4	-5.3	-0.3%	1,885.0
Range	31.6	42.1	10.5	33.2%	80.8
ATR	33.5	34.2	0.6	1.8%	0.0
Volume	11,928	10,243	-1,685	-14.1%	6,360

Daily Pivots for day following 06-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,013.8	1,986.2	1,897.6
R3	1,971.7	1,944.1	1,886.0
R2	1,929.6	1,929.6	1,882.1
R1	1,902.0	1,902.0	1,878.3	1,894.8
PP	1,887.5	1,887.5	1,887.5	1,883.9
S1	1,859.9	1,859.9	1,870.5	1,852.7
S2	1,845.4	1,845.4	1,866.7
S3	1,803.3	1,817.8	1,862.8
S4	1,761.2	1,775.7	1,851.2

Weekly Pivots for week ending 01-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,103.0	2,074.8	1,929.4
R3	2,022.2	1,994.0	1,907.2
R2	1,941.4	1,941.4	1,899.8
R1	1,913.2	1,913.2	1,892.4	1,927.3
PP	1,860.6	1,860.6	1,860.6	1,867.7
S1	1,832.4	1,832.4	1,877.6	1,846.5
S2	1,779.8	1,779.8	1,870.2
S3	1,699.0	1,751.6	1,862.8
S4	1,618.2	1,670.8	1,840.6

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,915.1	1,816.4	98.7	5.3%	39.2	2.1%	59%	True	False	6,636
10	1,915.1	1,806.5	108.6	5.8%	31.2	1.7%	63%	True	False	3,528
20	1,915.1	1,705.7	209.4	11.2%	34.5	1.8%	81%	True	False	1,923
40	1,915.1	1,656.1	259.0	13.8%	34.4	1.8%	84%	True	False	1,044
60	1,915.1	1,656.1	259.0	13.8%	32.6	1.7%	84%	True	False	746
80	1,970.8	1,656.1	314.7	16.8%	28.9	1.5%	69%	False	False	561
100	2,052.8	1,656.1	396.7	21.2%	27.3	1.5%	55%	False	False	449
120	2,052.8	1,656.1	396.7	21.2%	25.2	1.3%	55%	False	False	374

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	5.3
Widest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	2,094.0
2.618	2,025.3
1.618	1,983.2
1.000	1,957.2
0.618	1,941.1
HIGH	1,915.1
0.618	1,899.0
0.500	1,894.1
0.382	1,889.1
LOW	1,873.0
0.618	1,847.0
1.000	1,830.9
1.618	1,804.9
2.618	1,762.8
4.250	1,694.1

Fisher Pivots for day following 06-Dec-2023
Pivot	1 day	3 day
R1	1,894.1	1,894.1
PP	1,887.5	1,887.5
S1	1,881.0	1,881.0

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

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