CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 11-Dec-2023

Day Change Summary
	Previous	Current
	08-Dec-2023	11-Dec-2023	Change	Change %	Previous Week
Open	1,889.3	1,901.8	12.5	0.7%	1,887.3
High	1,911.9	1,910.4	-1.5	-0.1%	1,915.1
Low	1,879.0	1,892.8	13.8	0.7%	1,865.5
Close	1,902.0	1,906.6	4.6	0.2%	1,902.0
Range	32.9	17.6	-15.3	-46.5%	49.6
ATR	33.5	32.3	-1.1	-3.4%	0.0
Volume	188,507	369,150	180,643	95.8%	248,469

Daily Pivots for day following 11-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,956.1	1,948.9	1,916.3
R3	1,938.5	1,931.3	1,911.4
R2	1,920.9	1,920.9	1,909.8
R1	1,913.7	1,913.7	1,908.2	1,917.3
PP	1,903.3	1,903.3	1,903.3	1,905.1
S1	1,896.1	1,896.1	1,905.0	1,899.7
S2	1,885.7	1,885.7	1,903.4
S3	1,868.1	1,878.5	1,901.8
S4	1,850.5	1,860.9	1,896.9

Weekly Pivots for week ending 08-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,043.0	2,022.1	1,929.3
R3	1,993.4	1,972.5	1,915.6
R2	1,943.8	1,943.8	1,911.1
R1	1,922.9	1,922.9	1,906.5	1,933.4
PP	1,894.2	1,894.2	1,894.2	1,899.4
S1	1,873.3	1,873.3	1,897.5	1,883.8
S2	1,844.6	1,844.6	1,892.9
S3	1,795.0	1,823.7	1,888.4
S4	1,745.4	1,774.1	1,874.7

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	1,865.5	49.6	2.6%	29.8	1.6%	83%	False	False	122,289
10	1,915.1	1,808.0	107.1	5.6%	32.7	1.7%	92%	False	False	62,379
20	1,915.1	1,713.0	202.1	10.6%	33.2	1.7%	96%	False	False	31,344
40	1,915.1	1,656.1	259.0	13.6%	33.2	1.7%	97%	False	False	15,767
60	1,915.1	1,656.1	259.0	13.6%	32.8	1.7%	97%	False	False	10,566
80	1,970.8	1,656.1	314.7	16.5%	28.8	1.5%	80%	False	False	7,927
100	2,052.8	1,656.1	396.7	20.8%	27.3	1.4%	63%	False	False	6,341
120	2,052.8	1,656.1	396.7	20.8%	25.6	1.3%	63%	False	False	5,285

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	True
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	7.3
Narrowest range in 55 trading days

Fibonacci Retracements and Extensions
4.250	1,985.2
2.618	1,956.5
1.618	1,938.9
1.000	1,928.0
0.618	1,921.3
HIGH	1,910.4
0.618	1,903.7
0.500	1,901.6
0.382	1,899.5
LOW	1,892.8
0.618	1,881.9
1.000	1,875.2
1.618	1,864.3
2.618	1,846.7
4.250	1,818.0

Fisher Pivots for day following 11-Dec-2023
Pivot	1 day	3 day
R1	1,904.9	1,900.6
PP	1,903.3	1,894.7
S1	1,901.6	1,888.7

Download as Excel Spreadsheet

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

View Archives - Comment on this page... - Back to Index of Symbols