CME E-mini Russell 2000 Index Futures March 2023

Trading Metrics calculated at close of trading on 12-Jan-2023

Day Change Summary
	Previous	Current
	11-Jan-2023	12-Jan-2023	Change	Change %	Previous Week
Open	1,831.1	1,857.1	26.0	1.4%	1,790.0
High	1,857.1	1,887.2	30.1	1.6%	1,808.0
Low	1,830.5	1,843.2	12.7	0.7%	1,745.4
Close	1,855.2	1,885.8	30.6	1.6%	1,803.4
Range	26.6	44.0	17.4	65.4%	62.6
ATR	40.0	40.3	0.3	0.7%	0.0
Volume	169,677	243,092	73,415	43.3%	840,899

Daily Pivots for day following 12-Jan-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,004.1	1,988.9	1,910.0
R3	1,960.1	1,944.9	1,897.9
R2	1,916.1	1,916.1	1,893.9
R1	1,900.9	1,900.9	1,889.8	1,908.5
PP	1,872.1	1,872.1	1,872.1	1,875.9
S1	1,856.9	1,856.9	1,881.8	1,864.5
S2	1,828.1	1,828.1	1,877.7
S3	1,784.1	1,812.9	1,873.7
S4	1,740.1	1,768.9	1,861.6

Weekly Pivots for week ending 06-Jan-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,973.4	1,951.0	1,837.8
R3	1,910.8	1,888.4	1,820.6
R2	1,848.2	1,848.2	1,814.9
R1	1,825.8	1,825.8	1,809.1	1,837.0
PP	1,785.6	1,785.6	1,785.6	1,791.2
S1	1,763.2	1,763.2	1,797.7	1,774.4
S2	1,723.0	1,723.0	1,791.9
S3	1,660.4	1,700.6	1,786.2
S4	1,597.8	1,638.0	1,769.0

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,887.2	1,759.3	127.9	6.8%	36.6	1.9%	99%	True	False	191,533
10	1,887.2	1,732.0	155.2	8.2%	38.9	2.1%	99%	True	False	186,331
20	1,887.2	1,730.8	156.4	8.3%	40.3	2.1%	99%	True	False	182,618
40	1,927.6	1,730.8	196.8	10.4%	39.8	2.1%	79%	False	False	114,886
60	1,927.6	1,711.7	215.9	11.4%	43.1	2.3%	81%	False	False	76,648
80	1,927.6	1,658.9	268.7	14.2%	46.3	2.5%	84%	False	False	57,499

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	True
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	5.6
Widest range in 4 trading days

Fibonacci Retracements and Extensions
4.250	2,074.2
2.618	2,002.4
1.618	1,958.4
1.000	1,931.2
0.618	1,914.4
HIGH	1,887.2
0.618	1,870.4
0.500	1,865.2
0.382	1,860.0
LOW	1,843.2
0.618	1,816.0
1.000	1,799.2
1.618	1,772.0
2.618	1,728.0
4.250	1,656.2

Fisher Pivots for day following 12-Jan-2023
Pivot	1 day	3 day
R1	1,878.9	1,871.0
PP	1,872.1	1,856.2
S1	1,865.2	1,841.5

Download as Excel Spreadsheet

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

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