CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 14-Aug-2023

Day Change Summary
	Previous	Current
	11-Aug-2023	14-Aug-2023	Change	Change %	Previous Week
Open	1,930.5	1,932.3	1.8	0.1%	1,965.3
High	1,938.5	1,939.3	0.8	0.0%	1,977.0
Low	1,918.3	1,907.2	-11.1	-0.6%	1,918.3
Close	1,931.2	1,928.1	-3.1	-0.2%	1,931.2
Range	20.2	32.1	11.9	58.9%	58.7
ATR	32.7	32.6	0.0	-0.1%	0.0
Volume	155,476	176,572	21,096	13.6%	839,711

Daily Pivots for day following 14-Aug-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,021.2	2,006.7	1,945.8
R3	1,989.1	1,974.6	1,936.9
R2	1,957.0	1,957.0	1,934.0
R1	1,942.5	1,942.5	1,931.0	1,933.7
PP	1,924.9	1,924.9	1,924.9	1,920.5
S1	1,910.4	1,910.4	1,925.2	1,901.6
S2	1,892.8	1,892.8	1,922.2
S3	1,860.7	1,878.3	1,919.3
S4	1,828.6	1,846.2	1,910.4

Weekly Pivots for week ending 11-Aug-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,118.3	2,083.4	1,963.5
R3	2,059.6	2,024.7	1,947.3
R2	2,000.9	2,000.9	1,942.0
R1	1,966.0	1,966.0	1,936.6	1,954.1
PP	1,942.2	1,942.2	1,942.2	1,936.2
S1	1,907.3	1,907.3	1,925.8	1,895.4
S2	1,883.5	1,883.5	1,920.4
S3	1,824.8	1,848.6	1,915.1
S4	1,766.1	1,789.9	1,898.9

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,969.0	1,907.2	61.8	3.2%	34.2	1.8%	34%	False	True	174,739
10	2,017.8	1,907.2	110.6	5.7%	32.2	1.7%	19%	False	True	173,485
20	2,017.8	1,907.2	110.6	5.7%	31.7	1.6%	19%	False	True	169,065
40	2,017.8	1,825.1	192.7	10.0%	32.1	1.7%	53%	False	False	179,442
60	2,017.8	1,755.0	262.8	13.6%	33.6	1.7%	66%	False	False	145,343
80	2,017.8	1,723.4	294.4	15.3%	33.4	1.7%	70%	False	False	109,056
100	2,017.8	1,718.4	299.4	15.5%	32.8	1.7%	70%	False	False	87,277

Crabel Price Patterns
NR	False
NR4	False
NR5	False
NR7	False
WS	True
WS4	False
WS5	False
WS7	False
ID	False
OD	True
IDnr4	False
2BNR	False
3BNR	False
4BNR	False
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	8.4
Widest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	2,075.7
2.618	2,023.3
1.618	1,991.2
1.000	1,971.4
0.618	1,959.1
HIGH	1,939.3
0.618	1,927.0
0.500	1,923.3
0.382	1,919.5
LOW	1,907.2
0.618	1,887.4
1.000	1,875.1
1.618	1,855.3
2.618	1,823.2
4.250	1,770.8

Fisher Pivots for day following 14-Aug-2023
Pivot	1 day	3 day
R1	1,926.5	1,935.4
PP	1,924.9	1,933.0
S1	1,923.3	1,930.5

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

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