CME E-mini Russell 2000 Index Futures September 2023

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

Day Change Summary
	Previous	Current
	26-Jul-2023	27-Jul-2023	Change	Change %	Previous Week
Open	1,980.2	1,987.6	7.4	0.4%	1,943.1
High	1,999.5	2,012.7	13.2	0.7%	2,007.0
Low	1,972.3	1,958.1	-14.2	-0.7%	1,938.0
Close	1,991.9	1,966.2	-25.7	-1.3%	1,971.7
Range	27.2	54.6	27.4	100.7%	69.0
ATR	31.0	32.7	1.7	5.4%	0.0
Volume	169,516	209,790	40,274	23.8%	806,860

Daily Pivots for day following 27-Jul-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,142.8	2,109.1	1,996.2
R3	2,088.2	2,054.5	1,981.2
R2	2,033.6	2,033.6	1,976.2
R1	1,999.9	1,999.9	1,971.2	1,989.5
PP	1,979.0	1,979.0	1,979.0	1,973.8
S1	1,945.3	1,945.3	1,961.2	1,934.9
S2	1,924.4	1,924.4	1,956.2
S3	1,869.8	1,890.7	1,951.2
S4	1,815.2	1,836.1	1,936.2

Weekly Pivots for week ending 21-Jul-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,179.2	2,144.5	2,009.7
R3	2,110.2	2,075.5	1,990.7
R2	2,041.2	2,041.2	1,984.4
R1	2,006.5	2,006.5	1,978.0	2,023.9
PP	1,972.2	1,972.2	1,972.2	1,980.9
S1	1,937.5	1,937.5	1,965.4	1,954.9
S2	1,903.2	1,903.2	1,959.1
S3	1,834.2	1,868.5	1,952.7
S4	1,765.2	1,799.5	1,933.8

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,012.7	1,958.1	54.6	2.8%	30.2	1.5%	15%	True	True	162,423
10	2,012.7	1,932.0	80.7	4.1%	31.3	1.6%	42%	True	False	165,419
20	2,012.7	1,835.0	177.7	9.0%	32.4	1.6%	74%	True	False	178,962
40	2,012.7	1,755.0	257.7	13.1%	34.4	1.8%	82%	True	False	166,287
60	2,012.7	1,723.4	289.3	14.7%	34.3	1.7%	84%	True	False	110,975
80	2,012.7	1,723.4	289.3	14.7%	32.9	1.7%	84%	True	False	83,266

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	True
Bear Hook	False
Bull Hook	False
Stretch	8.4
Widest range in 35 trading days

Fibonacci Retracements and Extensions
4.250	2,244.8
2.618	2,155.6
1.618	2,101.0
1.000	2,067.3
0.618	2,046.4
HIGH	2,012.7
0.618	1,991.8
0.500	1,985.4
0.382	1,979.0
LOW	1,958.1
0.618	1,924.4
1.000	1,903.5
1.618	1,869.8
2.618	1,815.2
4.250	1,726.1

Fisher Pivots for day following 27-Jul-2023
Pivot	1 day	3 day
R1	1,985.4	1,985.4
PP	1,979.0	1,979.0
S1	1,972.6	1,972.6

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

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