CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 04-Jan-2024

Day Change Summary
	Previous	Current
	03-Jan-2024	04-Jan-2024	Change	Change %	Previous Week
Open	2,036.1	1,979.8	-56.3	-2.8%	2,051.9
High	2,037.3	1,991.0	-46.3	-2.3%	2,097.0
Low	1,973.9	1,965.6	-8.3	-0.4%	2,042.3
Close	1,977.3	1,973.6	-3.7	-0.2%	2,047.7
Range	63.4	25.4	-38.0	-59.9%	54.7
ATR	39.9	38.9	-1.0	-2.6%	0.0
Volume	304,284	224,522	-79,762	-26.2%	650,274

Daily Pivots for day following 04-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,052.9	2,038.7	1,987.6
R3	2,027.5	2,013.3	1,980.6
R2	2,002.1	2,002.1	1,978.3
R1	1,987.9	1,987.9	1,975.9	1,982.3
PP	1,976.7	1,976.7	1,976.7	1,974.0
S1	1,962.5	1,962.5	1,971.3	1,956.9
S2	1,951.3	1,951.3	1,968.9
S3	1,925.9	1,937.1	1,966.6
S4	1,900.5	1,911.7	1,959.6

Weekly Pivots for week ending 29-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,226.4	2,191.8	2,077.8
R3	2,171.7	2,137.1	2,062.7
R2	2,117.0	2,117.0	2,057.7
R1	2,082.4	2,082.4	2,052.7	2,072.4
PP	2,062.3	2,062.3	2,062.3	2,057.3
S1	2,027.7	2,027.7	2,042.7	2,017.7
S2	2,007.6	2,007.6	2,037.7
S3	1,952.9	1,973.0	2,032.7
S4	1,898.2	1,918.3	2,017.6

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,096.2	1,965.6	130.6	6.6%	39.1	2.0%	6%	False	True	229,445
10	2,097.0	1,965.6	131.4	6.7%	38.5	1.9%	6%	False	True	215,800
20	2,097.0	1,865.5	231.5	11.7%	40.6	2.1%	47%	False	False	234,782
40	2,097.0	1,705.7	391.3	19.8%	37.0	1.9%	68%	False	False	118,099
60	2,097.0	1,656.1	440.9	22.3%	36.3	1.8%	72%	False	False	78,788
80	2,097.0	1,656.1	440.9	22.3%	34.2	1.7%	72%	False	False	59,127
100	2,097.0	1,656.1	440.9	22.3%	31.1	1.6%	72%	False	False	47,303
120	2,097.0	1,656.1	440.9	22.3%	29.4	1.5%	72%	False	False	39,419

Crabel Price Patterns
NR	True
NR4	True
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	7.7
Narrowest range in 4 trading days

Fibonacci Retracements and Extensions
4.250	2,099.0
2.618	2,057.5
1.618	2,032.1
1.000	2,016.4
0.618	2,006.7
HIGH	1,991.0
0.618	1,981.3
0.500	1,978.3
0.382	1,975.3
LOW	1,965.6
0.618	1,949.9
1.000	1,940.2
1.618	1,924.5
2.618	1,899.1
4.250	1,857.7

Fisher Pivots for day following 04-Jan-2024
Pivot	1 day	3 day
R1	1,978.3	2,013.6
PP	1,976.7	2,000.3
S1	1,975.2	1,986.9

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

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