CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 16-Jan-2024

Day Change Summary
	Previous	Current
	12-Jan-2024	16-Jan-2024	Change	Change %	Previous Week
Open	1,966.7	1,962.9	-3.8	-0.2%	1,969.2
High	2,003.3	1,971.1	-32.2	-1.6%	2,004.6
Low	1,957.3	1,931.5	-25.8	-1.3%	1,944.7
Close	1,963.9	1,940.1	-23.8	-1.2%	1,963.9
Range	46.0	39.6	-6.4	-13.9%	59.9
ATR	41.0	40.9	-0.1	-0.2%	0.0
Volume	209,888	235,625	25,737	12.3%	1,026,032

Daily Pivots for day following 16-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,066.4	2,042.8	1,961.9
R3	2,026.8	2,003.2	1,951.0
R2	1,987.2	1,987.2	1,947.4
R1	1,963.6	1,963.6	1,943.7	1,955.6
PP	1,947.6	1,947.6	1,947.6	1,943.6
S1	1,924.0	1,924.0	1,936.5	1,916.0
S2	1,908.0	1,908.0	1,932.8
S3	1,868.4	1,884.4	1,929.2
S4	1,828.8	1,844.8	1,918.3

Weekly Pivots for week ending 12-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,150.8	2,117.2	1,996.8
R3	2,090.9	2,057.3	1,980.4
R2	2,031.0	2,031.0	1,974.9
R1	1,997.4	1,997.4	1,969.4	1,984.3
PP	1,971.1	1,971.1	1,971.1	1,964.5
S1	1,937.5	1,937.5	1,958.4	1,924.4
S2	1,911.2	1,911.2	1,952.9
S3	1,851.3	1,877.6	1,947.4
S4	1,791.4	1,817.7	1,931.0

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,003.8	1,931.5	72.3	3.7%	41.3	2.1%	12%	False	True	215,201
10	2,061.6	1,931.5	130.1	6.7%	43.5	2.2%	7%	False	True	230,166
20	2,097.0	1,931.5	165.5	8.5%	40.6	2.1%	5%	False	True	223,332
40	2,097.0	1,789.0	308.0	15.9%	37.7	1.9%	49%	False	False	155,886
60	2,097.0	1,656.1	440.9	22.7%	36.9	1.9%	64%	False	False	103,999
80	2,097.0	1,656.1	440.9	22.7%	36.2	1.9%	64%	False	False	78,036
100	2,097.0	1,656.1	440.9	22.7%	32.5	1.7%	64%	False	False	62,437
120	2,097.0	1,656.1	440.9	22.7%	30.7	1.6%	64%	False	False	52,031

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	9.8
Narrowest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	2,139.4
2.618	2,074.8
1.618	2,035.2
1.000	2,010.7
0.618	1,995.6
HIGH	1,971.1
0.618	1,956.0
0.500	1,951.3
0.382	1,946.6
LOW	1,931.5
0.618	1,907.0
1.000	1,891.9
1.618	1,867.4
2.618	1,827.8
4.250	1,763.2

Fisher Pivots for day following 16-Jan-2024
Pivot	1 day	3 day
R1	1,951.3	1,967.7
PP	1,947.6	1,958.5
S1	1,943.8	1,949.3

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

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