CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 28-Jul-2023

Day Change Summary
	Previous	Current
	27-Jul-2023	28-Jul-2023	Change	Change %	Previous Week
Open	1,987.6	1,966.3	-21.3	-1.1%	1,971.2
High	2,012.7	1,996.4	-16.3	-0.8%	2,012.7
Low	1,958.1	1,959.5	1.4	0.1%	1,958.1
Close	1,966.2	1,991.0	24.8	1.3%	1,991.0
Range	54.6	36.9	-17.7	-32.4%	54.6
ATR	32.7	33.0	0.3	0.9%	0.0
Volume	209,790	158,482	-51,308	-24.5%	808,348

Daily Pivots for day following 28-Jul-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,093.0	2,078.9	2,011.3
R3	2,056.1	2,042.0	2,001.1
R2	2,019.2	2,019.2	1,997.8
R1	2,005.1	2,005.1	1,994.4	2,012.2
PP	1,982.3	1,982.3	1,982.3	1,985.8
S1	1,968.2	1,968.2	1,987.6	1,975.3
S2	1,945.4	1,945.4	1,984.2
S3	1,908.5	1,931.3	1,980.9
S4	1,871.6	1,894.4	1,970.7

Weekly Pivots for week ending 28-Jul-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,151.1	2,125.6	2,021.0
R3	2,096.5	2,071.0	2,006.0
R2	2,041.9	2,041.9	2,001.0
R1	2,016.4	2,016.4	1,996.0	2,029.2
PP	1,987.3	1,987.3	1,987.3	1,993.6
S1	1,961.8	1,961.8	1,986.0	1,974.6
S2	1,932.7	1,932.7	1,981.0
S3	1,878.1	1,907.2	1,976.0
S4	1,823.5	1,852.6	1,961.0

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	2.7%	32.2	1.6%	60%	False	False	161,669
10	2,012.7	1,938.0	74.7	3.8%	31.7	1.6%	71%	False	False	161,520
20	2,012.7	1,835.0	177.7	8.9%	32.7	1.6%	88%	False	False	176,650
40	2,012.7	1,760.0	252.7	12.7%	34.4	1.7%	91%	False	False	170,229
60	2,012.7	1,723.4	289.3	14.5%	33.9	1.7%	92%	False	False	113,606
80	2,012.7	1,723.4	289.3	14.5%	32.7	1.6%	92%	False	False	85,244

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
WS4	False
WS5	False
WS7	False
ID	True
OD	False
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	True
Bear Hook	False
Bull Hook	False
Stretch	8.6
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	2,153.2
2.618	2,093.0
1.618	2,056.1
1.000	2,033.3
0.618	2,019.2
HIGH	1,996.4
0.618	1,982.3
0.500	1,978.0
0.382	1,973.6
LOW	1,959.5
0.618	1,936.7
1.000	1,922.6
1.618	1,899.8
2.618	1,862.9
4.250	1,802.7

Fisher Pivots for day following 28-Jul-2023
Pivot	1 day	3 day
R1	1,986.7	1,989.1
PP	1,982.3	1,987.3
S1	1,978.0	1,985.4

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

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