CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 07-Aug-2023

Day Change Summary
	Previous	Current
	04-Aug-2023	07-Aug-2023	Change	Change %	Previous Week
Open	1,969.7	1,965.3	-4.4	-0.2%	1,992.7
High	1,987.7	1,977.0	-10.7	-0.5%	2,017.8
Low	1,958.7	1,950.6	-8.1	-0.4%	1,955.2
Close	1,965.5	1,967.5	2.0	0.1%	1,965.5
Range	29.0	26.4	-2.6	-9.0%	62.6
ATR	32.6	32.2	-0.4	-1.4%	0.0
Volume	196,355	142,588	-53,767	-27.4%	890,100

Daily Pivots for day following 07-Aug-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,044.2	2,032.3	1,982.0
R3	2,017.8	2,005.9	1,974.8
R2	1,991.4	1,991.4	1,972.3
R1	1,979.5	1,979.5	1,969.9	1,985.5
PP	1,965.0	1,965.0	1,965.0	1,968.0
S1	1,953.1	1,953.1	1,965.1	1,959.1
S2	1,938.6	1,938.6	1,962.7
S3	1,912.2	1,926.7	1,960.2
S4	1,885.8	1,900.3	1,953.0

Weekly Pivots for week ending 04-Aug-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,167.3	2,129.0	1,999.9
R3	2,104.7	2,066.4	1,982.7
R2	2,042.1	2,042.1	1,977.0
R1	2,003.8	2,003.8	1,971.2	1,991.7
PP	1,979.5	1,979.5	1,979.5	1,973.4
S1	1,941.2	1,941.2	1,959.8	1,929.1
S2	1,916.9	1,916.9	1,954.0
S3	1,854.3	1,878.6	1,948.3
S4	1,791.7	1,816.0	1,931.1

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	2,017.8	1,950.6	67.2	3.4%	30.1	1.5%	25%	False	True	172,232
10	2,017.8	1,950.6	67.2	3.4%	31.9	1.6%	25%	False	True	171,148
20	2,017.8	1,906.0	111.8	5.7%	30.7	1.6%	55%	False	False	170,912
40	2,017.8	1,825.1	192.7	9.8%	31.9	1.6%	74%	False	False	194,776
60	2,017.8	1,750.0	267.8	13.6%	33.5	1.7%	81%	False	False	130,800
80	2,017.8	1,723.4	294.4	15.0%	32.9	1.7%	83%	False	False	98,140
100	2,017.8	1,718.4	299.4	15.2%	33.9	1.7%	83%	False	False	78,564

Crabel Price Patterns
NR	True
NR4	True
NR5	True
NR7	True
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	9.1
Narrowest range in 9 trading days

Fibonacci Retracements and Extensions
4.250	2,089.2
2.618	2,046.1
1.618	2,019.7
1.000	2,003.4
0.618	1,993.3
HIGH	1,977.0
0.618	1,966.9
0.500	1,963.8
0.382	1,960.7
LOW	1,950.6
0.618	1,934.3
1.000	1,924.2
1.618	1,907.9
2.618	1,881.5
4.250	1,838.4

Fisher Pivots for day following 07-Aug-2023
Pivot	1 day	3 day
R1	1,966.3	1,969.2
PP	1,965.0	1,968.6
S1	1,963.8	1,968.1

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

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