CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 31-Jul-2023

Day Change Summary
	Previous	Current
	28-Jul-2023	31-Jul-2023	Change	Change %	Previous Week
Open	1,966.3	1,992.7	26.4	1.3%	1,971.2
High	1,996.4	2,015.7	19.3	1.0%	2,012.7
Low	1,959.5	1,985.4	25.9	1.3%	1,958.1
Close	1,991.0	2,013.6	22.6	1.1%	1,991.0
Range	36.9	30.3	-6.6	-17.9%	54.6
ATR	33.0	32.8	-0.2	-0.6%	0.0
Volume	158,482	171,527	13,045	8.2%	808,348

Daily Pivots for day following 31-Jul-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,095.8	2,085.0	2,030.3
R3	2,065.5	2,054.7	2,021.9
R2	2,035.2	2,035.2	2,019.2
R1	2,024.4	2,024.4	2,016.4	2,029.8
PP	2,004.9	2,004.9	2,004.9	2,007.6
S1	1,994.1	1,994.1	2,010.8	1,999.5
S2	1,974.6	1,974.6	2,008.0
S3	1,944.3	1,963.8	2,005.3
S4	1,914.0	1,933.5	1,996.9

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	2,015.7	1,958.1	57.6	2.9%	33.6	1.7%	96%	True	False	170,064
10	2,015.7	1,957.7	58.0	2.9%	31.2	1.6%	96%	True	False	164,644
20	2,015.7	1,835.0	180.7	9.0%	33.2	1.6%	99%	True	False	174,804
40	2,015.7	1,788.7	227.0	11.3%	34.4	1.7%	99%	True	False	174,489
60	2,015.7	1,723.4	292.3	14.5%	33.7	1.7%	99%	True	False	116,459
80	2,015.7	1,723.4	292.3	14.5%	32.7	1.6%	99%	True	False	87,388

Crabel Price Patterns
NR	True
NR4	False
NR5	False
NR7	False
WS	False
WS4	False
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	8.9
Narrowest range in 3 trading days

Fibonacci Retracements and Extensions
4.250	2,144.5
2.618	2,095.0
1.618	2,064.7
1.000	2,046.0
0.618	2,034.4
HIGH	2,015.7
0.618	2,004.1
0.500	2,000.6
0.382	1,997.0
LOW	1,985.4
0.618	1,966.7
1.000	1,955.1
1.618	1,936.4
2.618	1,906.1
4.250	1,856.6

Fisher Pivots for day following 31-Jul-2023
Pivot	1 day	3 day
R1	2,009.3	2,004.7
PP	2,004.9	1,995.8
S1	2,000.6	1,986.9

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

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