CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 24-Jan-2024

Day Change Summary
	Previous	Current
	23-Jan-2024	24-Jan-2024	Change	Change %	Previous Week
Open	1,997.7	1,989.8	-7.9	-0.4%	1,962.9
High	2,017.0	2,017.2	0.2	0.0%	1,971.1
Low	1,980.0	1,968.3	-11.7	-0.6%	1,904.8
Close	1,989.5	1,972.2	-17.3	-0.9%	1,954.8
Range	37.0	48.9	11.9	32.2%	66.3
ATR	39.8	40.4	0.7	1.6%	0.0
Volume	227,477	215,770	-11,707	-5.1%	873,462

Daily Pivots for day following 24-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,132.6	2,101.3	1,999.1
R3	2,083.7	2,052.4	1,985.6
R2	2,034.8	2,034.8	1,981.2
R1	2,003.5	2,003.5	1,976.7	1,994.7
PP	1,985.9	1,985.9	1,985.9	1,981.5
S1	1,954.6	1,954.6	1,967.7	1,945.8
S2	1,937.0	1,937.0	1,963.2
S3	1,888.1	1,905.7	1,958.8
S4	1,839.2	1,856.8	1,945.3

Weekly Pivots for week ending 19-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,142.5	2,114.9	1,991.3
R3	2,076.2	2,048.6	1,973.0
R2	2,009.9	2,009.9	1,967.0
R1	1,982.3	1,982.3	1,960.9	1,963.0
PP	1,943.6	1,943.6	1,943.6	1,933.9
S1	1,916.0	1,916.0	1,948.7	1,896.7
S2	1,877.3	1,877.3	1,942.6
S3	1,811.0	1,849.7	1,936.6
S4	1,744.7	1,783.4	1,918.3

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,017.2	1,911.2	106.0	5.4%	39.0	2.0%	58%	True	False	220,481
10	2,017.2	1,904.8	112.4	5.7%	40.2	2.0%	60%	True	False	220,928
20	2,097.0	1,904.8	192.2	9.7%	39.6	2.0%	35%	False	False	213,218
40	2,097.0	1,808.0	289.0	14.7%	39.5	2.0%	57%	False	False	188,649
60	2,097.0	1,656.1	440.9	22.4%	37.9	1.9%	72%	False	False	125,853
80	2,097.0	1,656.1	440.9	22.4%	37.2	1.9%	72%	False	False	94,434
100	2,097.0	1,656.1	440.9	22.4%	33.7	1.7%	72%	False	False	75,561
120	2,097.0	1,656.1	440.9	22.4%	31.7	1.6%	72%	False	False	62,968

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	11.5
Widest range in 8 trading days

Fibonacci Retracements and Extensions
4.250	2,225.0
2.618	2,145.2
1.618	2,096.3
1.000	2,066.1
0.618	2,047.4
HIGH	2,017.2
0.618	1,998.5
0.500	1,992.8
0.382	1,987.0
LOW	1,968.3
0.618	1,938.1
1.000	1,919.4
1.618	1,889.2
2.618	1,840.3
4.250	1,760.5

Fisher Pivots for day following 24-Jan-2024
Pivot	1 day	3 day
R1	1,992.8	1,987.3
PP	1,985.9	1,982.3
S1	1,979.1	1,977.2

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

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