CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 11-Jan-2024

Day Change Summary
	Previous	Current
	10-Jan-2024	11-Jan-2024	Change	Change %	Previous Week
Open	1,980.9	1,984.6	3.7	0.2%	2,048.0
High	1,988.7	2,003.8	15.1	0.8%	2,061.6
Low	1,963.4	1,944.7	-18.7	-1.0%	1,938.6
Close	1,984.0	1,969.1	-14.9	-0.8%	1,966.8
Range	25.3	59.1	33.8	133.6%	123.0
ATR	39.2	40.6	1.4	3.6%	0.0
Volume	185,494	265,841	80,347	43.3%	1,040,005

Daily Pivots for day following 11-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,149.8	2,118.6	2,001.6
R3	2,090.7	2,059.5	1,985.4
R2	2,031.6	2,031.6	1,979.9
R1	2,000.4	2,000.4	1,974.5	1,986.5
PP	1,972.5	1,972.5	1,972.5	1,965.6
S1	1,941.3	1,941.3	1,963.7	1,927.4
S2	1,913.4	1,913.4	1,958.3
S3	1,854.3	1,882.2	1,952.8
S4	1,795.2	1,823.1	1,936.6

Weekly Pivots for week ending 05-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,358.0	2,285.4	2,034.5
R3	2,235.0	2,162.4	2,000.6
R2	2,112.0	2,112.0	1,989.4
R1	2,039.4	2,039.4	1,978.1	2,014.2
PP	1,989.0	1,989.0	1,989.0	1,976.4
S1	1,916.4	1,916.4	1,955.5	1,891.2
S2	1,866.0	1,866.0	1,944.3
S3	1,743.0	1,793.4	1,933.0
S4	1,620.0	1,670.4	1,899.2

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,004.6	1,938.6	66.0	3.4%	44.3	2.2%	46%	False	False	213,583
10	2,096.2	1,938.6	157.6	8.0%	41.7	2.1%	19%	False	False	221,514
20	2,097.0	1,890.0	207.0	10.5%	43.9	2.2%	38%	False	False	242,653
40	2,097.0	1,726.2	370.8	18.8%	39.0	2.0%	66%	False	False	144,768
60	2,097.0	1,656.1	440.9	22.4%	37.0	1.9%	71%	False	False	96,577
80	2,097.0	1,656.1	440.9	22.4%	35.9	1.8%	71%	False	False	72,475
100	2,097.0	1,656.1	440.9	22.4%	32.0	1.6%	71%	False	False	57,982
120	2,097.0	1,656.1	440.9	22.4%	30.2	1.5%	71%	False	False	48,318

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	9.3
Widest range in 6 trading days

Fibonacci Retracements and Extensions
4.250	2,255.0
2.618	2,158.5
1.618	2,099.4
1.000	2,062.9
0.618	2,040.3
HIGH	2,003.8
0.618	1,981.2
0.500	1,974.3
0.382	1,967.3
LOW	1,944.7
0.618	1,908.2
1.000	1,885.6
1.618	1,849.1
2.618	1,790.0
4.250	1,693.5

Fisher Pivots for day following 11-Jan-2024
Pivot	1 day	3 day
R1	1,974.3	1,974.3
PP	1,972.5	1,972.5
S1	1,970.8	1,970.8

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

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