CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 10-Aug-2023

Day Change Summary
	Previous	Current
	09-Aug-2023	10-Aug-2023	Change	Change %	Previous Week
Open	1,953.7	1,940.2	-13.5	-0.7%	1,992.7
High	1,964.6	1,963.6	-1.0	-0.1%	2,017.8
Low	1,930.0	1,920.5	-9.5	-0.5%	1,955.2
Close	1,938.1	1,928.5	-9.6	-0.5%	1,965.5
Range	34.6	43.1	8.5	24.6%	62.6
ATR	32.9	33.6	0.7	2.2%	0.0
Volume	156,144	203,460	47,316	30.3%	890,100

Daily Pivots for day following 10-Aug-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,066.8	2,040.8	1,952.2
R3	2,023.7	1,997.7	1,940.4
R2	1,980.6	1,980.6	1,936.4
R1	1,954.6	1,954.6	1,932.5	1,946.1
PP	1,937.5	1,937.5	1,937.5	1,933.3
S1	1,911.5	1,911.5	1,924.5	1,903.0
S2	1,894.4	1,894.4	1,920.6
S3	1,851.3	1,868.4	1,916.6
S4	1,808.2	1,825.3	1,904.8

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	1,987.7	1,920.5	67.2	3.5%	34.8	1.8%	12%	False	True	176,118
10	2,017.8	1,920.5	97.3	5.0%	33.6	1.7%	8%	False	True	173,281
20	2,017.8	1,920.5	97.3	5.0%	32.5	1.7%	8%	False	True	169,350
40	2,017.8	1,825.1	192.7	10.0%	32.9	1.7%	54%	False	False	184,943
60	2,017.8	1,755.0	262.8	13.6%	33.9	1.8%	66%	False	False	139,817
80	2,017.8	1,723.4	294.4	15.3%	33.3	1.7%	70%	False	False	104,907
100	2,017.8	1,718.4	299.4	15.5%	33.2	1.7%	70%	False	False	83,980

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	8.3
Widest range in 10 trading days

Fibonacci Retracements and Extensions
4.250	2,146.8
2.618	2,076.4
1.618	2,033.3
1.000	2,006.7
0.618	1,990.2
HIGH	1,963.6
0.618	1,947.1
0.500	1,942.1
0.382	1,937.0
LOW	1,920.5
0.618	1,893.9
1.000	1,877.4
1.618	1,850.8
2.618	1,807.7
4.250	1,737.3

Fisher Pivots for day following 10-Aug-2023
Pivot	1 day	3 day
R1	1,942.1	1,944.8
PP	1,937.5	1,939.3
S1	1,933.0	1,933.9

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

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