CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 26-Dec-2023

Day Change Summary
	Previous	Current
	22-Dec-2023	26-Dec-2023	Change	Change %	Previous Week
Open	2,038.6	2,051.9	13.3	0.7%	2,010.2
High	2,069.8	2,087.6	17.8	0.9%	2,069.8
Low	2,030.1	2,051.9	21.8	1.1%	2,000.2
Close	2,056.4	2,082.1	25.7	1.2%	2,056.4
Range	39.7	35.7	-4.0	-10.1%	69.6
ATR	40.2	39.9	-0.3	-0.8%	0.0
Volume	201,349	124,427	-76,922	-38.2%	1,138,660

Daily Pivots for day following 26-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,181.0	2,167.2	2,101.7
R3	2,145.3	2,131.5	2,091.9
R2	2,109.6	2,109.6	2,088.6
R1	2,095.8	2,095.8	2,085.4	2,102.7
PP	2,073.9	2,073.9	2,073.9	2,077.3
S1	2,060.1	2,060.1	2,078.8	2,067.0
S2	2,038.2	2,038.2	2,075.6
S3	2,002.5	2,024.4	2,072.3
S4	1,966.8	1,988.7	2,062.5

Weekly Pivots for week ending 22-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,250.9	2,223.3	2,094.7
R3	2,181.3	2,153.7	2,075.5
R2	2,111.7	2,111.7	2,069.2
R1	2,084.1	2,084.1	2,062.8	2,097.9
PP	2,042.1	2,042.1	2,042.1	2,049.1
S1	2,014.5	2,014.5	2,050.0	2,028.3
S2	1,972.5	1,972.5	2,043.6
S3	1,902.9	1,944.9	2,037.3
S4	1,833.3	1,875.3	2,018.1

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,087.6	2,000.2	87.4	4.2%	43.0	2.1%	94%	True	False	212,141
10	2,087.6	1,887.2	200.4	9.6%	47.8	2.3%	97%	True	False	278,205
20	2,087.6	1,808.0	279.6	13.4%	40.2	1.9%	98%	True	False	170,292
40	2,087.6	1,659.5	428.1	20.6%	37.0	1.8%	99%	True	False	85,276
60	2,087.6	1,656.1	431.5	20.7%	36.5	1.8%	99%	True	False	56,908
80	2,087.6	1,656.1	431.5	20.7%	32.6	1.6%	99%	True	False	42,702
100	2,087.6	1,656.1	431.5	20.7%	30.3	1.5%	99%	True	False	34,162
120	2,087.6	1,656.1	431.5	20.7%	28.6	1.4%	99%	True	False	28,468

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
WS4	False
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	10.2
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	2,239.3
2.618	2,181.1
1.618	2,145.4
1.000	2,123.3
0.618	2,109.7
HIGH	2,087.6
0.618	2,074.0
0.500	2,069.8
0.382	2,065.5
LOW	2,051.9
0.618	2,029.8
1.000	2,016.2
1.618	1,994.1
2.618	1,958.4
4.250	1,900.2

Fisher Pivots for day following 26-Dec-2023
Pivot	1 day	3 day
R1	2,078.0	2,071.0
PP	2,073.9	2,059.9
S1	2,069.8	2,048.8

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

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