CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 18-Dec-2023

Day Change Summary
	Previous	Current
	15-Dec-2023	18-Dec-2023	Change	Change %	Previous Week
Open	2,017.5	2,010.2	-7.3	-0.4%	1,901.8
High	2,045.3	2,022.6	-22.7	-1.1%	2,045.3
Low	1,994.1	2,001.2	7.1	0.4%	1,887.2
Close	2,005.4	2,005.6	0.2	0.0%	2,005.4
Range	51.2	21.4	-29.8	-58.2%	158.1
ATR	39.5	38.2	-1.3	-3.3%	0.0
Volume	376,062	202,380	-173,682	-46.2%	1,888,118

Daily Pivots for day following 18-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,074.0	2,061.2	2,017.4
R3	2,052.6	2,039.8	2,011.5
R2	2,031.2	2,031.2	2,009.5
R1	2,018.4	2,018.4	2,007.6	2,014.1
PP	2,009.8	2,009.8	2,009.8	2,007.7
S1	1,997.0	1,997.0	2,003.6	1,992.7
S2	1,988.4	1,988.4	2,001.7
S3	1,967.0	1,975.6	1,999.7
S4	1,945.6	1,954.2	1,993.8

Weekly Pivots for week ending 15-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,453.6	2,387.6	2,092.4
R3	2,295.5	2,229.5	2,048.9
R2	2,137.4	2,137.4	2,034.4
R1	2,071.4	2,071.4	2,019.9	2,104.4
PP	1,979.3	1,979.3	1,979.3	1,995.8
S1	1,913.3	1,913.3	1,990.9	1,946.3
S2	1,821.2	1,821.2	1,976.4
S3	1,663.1	1,755.2	1,961.9
S4	1,505.0	1,597.1	1,918.4

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,045.3	1,887.2	158.1	7.9%	52.5	2.6%	75%	False	False	344,269
10	2,045.3	1,865.5	179.8	9.0%	41.2	2.1%	78%	False	False	233,279
20	2,045.3	1,804.7	240.6	12.0%	35.1	1.7%	83%	False	False	117,332
40	2,045.3	1,656.1	389.2	19.4%	35.3	1.8%	90%	False	False	58,784
60	2,045.3	1,656.1	389.2	19.4%	35.2	1.8%	90%	False	False	39,241
80	2,045.3	1,656.1	389.2	19.4%	31.0	1.5%	90%	False	False	29,443
100	2,052.8	1,656.1	396.7	19.8%	29.0	1.4%	88%	False	False	23,555
120	2,052.8	1,656.1	396.7	19.8%	27.1	1.4%	88%	False	False	19,629

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	False
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	10.6
Narrowest range in 5 trading days

Fibonacci Retracements and Extensions
4.250	2,113.6
2.618	2,078.6
1.618	2,057.2
1.000	2,044.0
0.618	2,035.8
HIGH	2,022.6
0.618	2,014.4
0.500	2,011.9
0.382	2,009.4
LOW	2,001.2
0.618	1,988.0
1.000	1,979.8
1.618	1,966.6
2.618	1,945.2
4.250	1,910.3

Fisher Pivots for day following 18-Dec-2023
Pivot	1 day	3 day
R1	2,011.9	2,007.7
PP	2,009.8	2,007.0
S1	2,007.7	2,006.3

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

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