CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 20-Dec-2023

Day Change Summary
	Previous	Current
	19-Dec-2023	20-Dec-2023	Change	Change %	Previous Week
Open	2,004.2	2,042.7	38.5	1.9%	1,901.8
High	2,047.9	2,064.4	16.5	0.8%	2,045.3
Low	2,000.2	2,002.0	1.8	0.1%	1,887.2
Close	2,044.8	2,003.6	-41.2	-2.0%	2,005.4
Range	47.7	62.4	14.7	30.8%	158.1
ATR	38.9	40.6	1.7	4.3%	0.0
Volume	216,779	299,243	82,464	38.0%	1,888,118

Daily Pivots for day following 20-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,210.5	2,169.5	2,037.9
R3	2,148.1	2,107.1	2,020.8
R2	2,085.7	2,085.7	2,015.0
R1	2,044.7	2,044.7	2,009.3	2,034.0
PP	2,023.3	2,023.3	2,023.3	2,018.0
S1	1,982.3	1,982.3	1,997.9	1,971.6
S2	1,960.9	1,960.9	1,992.2
S3	1,898.5	1,919.9	1,986.4
S4	1,836.1	1,857.5	1,969.3

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	2,064.4	1,970.0	94.4	4.7%	49.8	2.5%	36%	True	False	310,533
10	2,064.4	1,865.5	198.9	9.9%	44.8	2.2%	69%	True	False	282,664
20	2,064.4	1,806.5	257.9	12.9%	38.0	1.9%	76%	True	False	143,096
40	2,064.4	1,656.1	408.3	20.4%	36.8	1.8%	85%	True	False	71,674
60	2,064.4	1,656.1	408.3	20.4%	36.2	1.8%	85%	True	False	47,839
80	2,064.4	1,656.1	408.3	20.4%	32.0	1.6%	85%	True	False	35,893
100	2,064.4	1,656.1	408.3	20.4%	29.6	1.5%	85%	True	False	28,715
120	2,064.4	1,656.1	408.3	20.4%	28.0	1.4%	85%	True	False	23,929

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	12.1
Widest range in 4 trading days

Fibonacci Retracements and Extensions
4.250	2,329.6
2.618	2,227.8
1.618	2,165.4
1.000	2,126.8
0.618	2,103.0
HIGH	2,064.4
0.618	2,040.6
0.500	2,033.2
0.382	2,025.8
LOW	2,002.0
0.618	1,963.4
1.000	1,939.6
1.618	1,901.0
2.618	1,838.6
4.250	1,736.8

Fisher Pivots for day following 20-Dec-2023
Pivot	1 day	3 day
R1	2,033.2	2,032.3
PP	2,023.3	2,022.7
S1	2,013.5	2,013.2

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

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