CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 27-Jun-2023

Day Change Summary
	Previous	Current
	26-Jun-2023	27-Jun-2023	Change	Change %	Previous Week
Open	1,835.1	1,841.2	6.1	0.3%	1,898.0
High	1,858.7	1,871.7	13.0	0.7%	1,898.0
Low	1,825.1	1,834.1	9.0	0.5%	1,830.7
Close	1,838.4	1,865.7	27.3	1.5%	1,834.6
Range	33.6	37.6	4.0	11.9%	67.3
ATR	34.6	34.8	0.2	0.6%	0.0
Volume	198,695	171,363	-27,332	-13.8%	766,765

Daily Pivots for day following 27-Jun-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,970.0	1,955.4	1,886.4
R3	1,932.4	1,917.8	1,876.0
R2	1,894.8	1,894.8	1,872.6
R1	1,880.2	1,880.2	1,869.1	1,887.5
PP	1,857.2	1,857.2	1,857.2	1,860.8
S1	1,842.6	1,842.6	1,862.3	1,849.9
S2	1,819.6	1,819.6	1,858.8
S3	1,782.0	1,805.0	1,855.4
S4	1,744.4	1,767.4	1,845.0

Weekly Pivots for week ending 23-Jun-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,056.3	2,012.8	1,871.6
R3	1,989.0	1,945.5	1,853.1
R2	1,921.7	1,921.7	1,846.9
R1	1,878.2	1,878.2	1,840.8	1,866.3
PP	1,854.4	1,854.4	1,854.4	1,848.5
S1	1,810.9	1,810.9	1,828.4	1,799.0
S2	1,787.1	1,787.1	1,822.3
S3	1,719.8	1,743.6	1,816.1
S4	1,652.5	1,676.3	1,797.6

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,892.4	1,825.1	67.3	3.6%	31.4	1.7%	60%	False	False	192,421
10	1,929.1	1,825.1	104.0	5.6%	33.8	1.8%	39%	False	False	227,064
20	1,929.1	1,755.0	174.1	9.3%	36.6	2.0%	64%	False	False	145,331
40	1,929.1	1,723.4	205.7	11.0%	35.2	1.9%	69%	False	False	72,800
60	1,929.1	1,723.4	205.7	11.0%	33.1	1.8%	69%	False	False	48,579

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	7.5
Widest range in 8 trading days

Fibonacci Retracements and Extensions
4.250	2,031.5
2.618	1,970.1
1.618	1,932.5
1.000	1,909.3
0.618	1,894.9
HIGH	1,871.7
0.618	1,857.3
0.500	1,852.9
0.382	1,848.5
LOW	1,834.1
0.618	1,810.9
1.000	1,796.5
1.618	1,773.3
2.618	1,735.7
4.250	1,674.3

Fisher Pivots for day following 27-Jun-2023
Pivot	1 day	3 day
R1	1,861.4	1,859.9
PP	1,857.2	1,854.2
S1	1,852.9	1,848.4

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

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