CME E-mini Russell 2000 Index Futures June 2024

Trading Metrics calculated at close of trading on 03-Jan-2024

Day Change Summary
	Previous	Current
	02-Jan-2024	03-Jan-2024	Change	Change %	Previous Week
Open	2,075.0	2,043.7	-31.3	-1.5%	2,079.1
High	2,080.7	2,056.6	-24.1	-1.2%	2,116.9
Low	2,044.7	1,995.8	-48.9	-2.4%	2,064.3
Close	2,053.7	1,997.8	-55.9	-2.7%	2,068.8
Range	36.0	60.8	24.8	68.9%	52.6
ATR	33.9	35.8	1.9	5.7%	0.0
Volume	97	134	37	38.1%	395

Daily Pivots for day following 03-Jan-2024
	Classic	Woodie	Camarilla	DeMark
R4	2,199.1	2,159.3	2,031.2
R3	2,138.3	2,098.5	2,014.5
R2	2,077.5	2,077.5	2,008.9
R1	2,037.7	2,037.7	2,003.4	2,027.2
PP	2,016.7	2,016.7	2,016.7	2,011.5
S1	1,976.9	1,976.9	1,992.2	1,966.4
S2	1,955.9	1,955.9	1,986.7
S3	1,895.1	1,916.1	1,981.1
S4	1,834.3	1,855.3	1,964.4

Weekly Pivots for week ending 29-Dec-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,241.1	2,207.6	2,097.7
R3	2,188.5	2,155.0	2,083.3
R2	2,135.9	2,135.9	2,078.4
R1	2,102.4	2,102.4	2,073.6	2,092.9
PP	2,083.3	2,083.3	2,083.3	2,078.6
S1	2,049.8	2,049.8	2,064.0	2,040.3
S2	2,030.7	2,030.7	2,059.2
S3	1,978.1	1,997.2	2,054.3
S4	1,925.5	1,944.6	2,039.9

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,116.9	1,995.8	121.1	6.1%	35.8	1.8%	2%	False	True	119
10	2,116.9	1,995.8	121.1	6.1%	38.4	1.9%	2%	False	True	108
20	2,116.9	1,886.0	230.9	11.6%	35.6	1.8%	48%	False	False	69
40	2,116.9	1,725.3	391.6	19.6%	30.3	1.5%	70%	False	False	35
60	2,116.9	1,676.0	440.9	22.1%	27.4	1.4%	73%	False	False	23
80	2,116.9	1,676.0	440.9	22.1%	25.6	1.3%	73%	False	False	17
100	2,116.9	1,676.0	440.9	22.1%	20.5	1.0%	73%	False	False	14

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
WS5	True
WS7	True
ID	False
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	7.3
Widest range in 13 trading days

Fibonacci Retracements and Extensions
4.250	2,315.0
2.618	2,215.8
1.618	2,155.0
1.000	2,117.4
0.618	2,094.2
HIGH	2,056.6
0.618	2,033.4
0.500	2,026.2
0.382	2,019.0
LOW	1,995.8
0.618	1,958.2
1.000	1,935.0
1.618	1,897.4
2.618	1,836.6
4.250	1,737.4

Fisher Pivots for day following 03-Jan-2024
Pivot	1 day	3 day
R1	2,026.2	2,051.1
PP	2,016.7	2,033.3
S1	2,007.3	2,015.6

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

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