CME E-mini Russell 2000 Index Futures March 2024

Trading Metrics calculated at close of trading on 26-Jan-2024

Day Change Summary
	Previous	Current
	25-Jan-2024	26-Jan-2024	Change	Change %	Previous Week
Open	1,973.4	1,991.0	17.6	0.9%	1,957.6
High	2,006.0	2,008.3	2.3	0.1%	2,017.2
Low	1,970.8	1,982.5	11.7	0.6%	1,957.4
Close	1,987.7	1,988.5	0.8	0.0%	1,988.5
Range	35.2	25.8	-9.4	-26.7%	59.8
ATR	40.1	39.0	-1.0	-2.5%	0.0
Volume	213,535	179,638	-33,897	-15.9%	1,067,770

Daily Pivots for day following 26-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,070.5	2,055.3	2,002.7
R3	2,044.7	2,029.5	1,995.6
R2	2,018.9	2,018.9	1,993.2
R1	2,003.7	2,003.7	1,990.9	1,998.4
PP	1,993.1	1,993.1	1,993.1	1,990.5
S1	1,977.9	1,977.9	1,986.1	1,972.6
S2	1,967.3	1,967.3	1,983.8
S3	1,941.5	1,952.1	1,981.4
S4	1,915.7	1,926.3	1,974.3

Weekly Pivots for week ending 26-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,167.1	2,137.6	2,021.4
R3	2,107.3	2,077.8	2,004.9
R2	2,047.5	2,047.5	1,999.5
R1	2,018.0	2,018.0	1,994.0	2,032.8
PP	1,987.7	1,987.7	1,987.7	1,995.1
S1	1,958.2	1,958.2	1,983.0	1,973.0
S2	1,927.9	1,927.9	1,977.5
S3	1,868.1	1,898.4	1,972.1
S4	1,808.3	1,838.6	1,955.6

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	1,957.4	59.8	3.0%	37.6	1.9%	52%	False	False	213,554
10	2,017.2	1,904.8	112.4	5.7%	37.9	1.9%	74%	False	False	215,112
20	2,096.2	1,904.8	191.4	9.6%	39.8	2.0%	44%	False	False	218,313
40	2,097.0	1,816.4	280.6	14.1%	40.1	2.0%	61%	False	False	198,461
60	2,097.0	1,661.9	435.1	21.9%	37.8	1.9%	75%	False	False	132,400
80	2,097.0	1,656.1	440.9	22.2%	36.9	1.9%	75%	False	False	99,342
100	2,097.0	1,656.1	440.9	22.2%	34.1	1.7%	75%	False	False	79,492
120	2,097.0	1,656.1	440.9	22.2%	31.9	1.6%	75%	False	False	66,244

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
WS	False
WS4	False
WS5	False
WS7	False
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	9.9
Narrowest range in 11 trading days

Fibonacci Retracements and Extensions
4.250	2,118.0
2.618	2,075.8
1.618	2,050.0
1.000	2,034.1
0.618	2,024.2
HIGH	2,008.3
0.618	1,998.4
0.500	1,995.4
0.382	1,992.4
LOW	1,982.5
0.618	1,966.6
1.000	1,956.7
1.618	1,940.8
2.618	1,915.0
4.250	1,872.9

Fisher Pivots for day following 26-Jan-2024
Pivot	1 day	3 day
R1	1,995.4	1,992.8
PP	1,993.1	1,991.3
S1	1,990.8	1,989.9

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

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