CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 08-Sep-2023

Day Change Summary
	Previous	Current
	07-Sep-2023	08-Sep-2023	Change	Change %	Previous Week
Open	1,875.2	1,858.9	-16.3	-0.9%	1,922.7
High	1,877.7	1,863.8	-13.9	-0.7%	1,924.7
Low	1,849.4	1,847.8	-1.6	-0.1%	1,847.8
Close	1,857.8	1,853.4	-4.4	-0.2%	1,853.4
Range	28.3	16.0	-12.3	-43.5%	76.9
ATR	31.4	30.3	-1.1	-3.5%	0.0
Volume	168,348	195,832	27,484	16.3%	765,016

Daily Pivots for day following 08-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,903.0	1,894.2	1,862.2
R3	1,887.0	1,878.2	1,857.8
R2	1,871.0	1,871.0	1,856.3
R1	1,862.2	1,862.2	1,854.9	1,858.6
PP	1,855.0	1,855.0	1,855.0	1,853.2
S1	1,846.2	1,846.2	1,851.9	1,842.6
S2	1,839.0	1,839.0	1,850.5
S3	1,823.0	1,830.2	1,849.0
S4	1,807.0	1,814.2	1,844.6

Weekly Pivots for week ending 08-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	2,106.0	2,056.6	1,895.7
R3	2,029.1	1,979.7	1,874.5
R2	1,952.2	1,952.2	1,867.5
R1	1,902.8	1,902.8	1,860.4	1,889.1
PP	1,875.3	1,875.3	1,875.3	1,868.4
S1	1,825.9	1,825.9	1,846.4	1,812.2
S2	1,798.4	1,798.4	1,839.3
S3	1,721.5	1,749.0	1,832.3
S4	1,644.6	1,672.1	1,811.1

High/Low/Range Statistics
Trading Days	High	Low	Range	Range %	Average Range	Average Range %	Close %	New High	New Low	Average Volume
5	1,934.0	1,847.8	86.2	4.7%	29.9	1.6%	6%	False	True	192,176
10	1,934.0	1,832.8	101.2	5.5%	29.2	1.6%	20%	False	False	179,116
20	1,939.3	1,832.8	106.5	5.7%	29.8	1.6%	19%	False	False	185,595
40	2,017.8	1,832.8	185.0	10.0%	31.1	1.7%	11%	False	False	177,473
60	2,017.8	1,825.1	192.7	10.4%	31.8	1.7%	15%	False	False	185,161
80	2,017.8	1,755.0	262.8	14.2%	32.8	1.8%	37%	False	False	151,262
100	2,017.8	1,723.4	294.4	15.9%	32.6	1.8%	44%	False	False	121,044
120	2,017.8	1,718.4	299.4	16.2%	32.6	1.8%	45%	False	False	100,916

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	7.0
Narrowest range in 113 trading days

Fibonacci Retracements and Extensions
4.250	1,931.8
2.618	1,905.7
1.618	1,889.7
1.000	1,879.8
0.618	1,873.7
HIGH	1,863.8
0.618	1,857.7
0.500	1,855.8
0.382	1,853.9
LOW	1,847.8
0.618	1,837.9
1.000	1,831.8
1.618	1,821.9
2.618	1,805.9
4.250	1,779.8

Fisher Pivots for day following 08-Sep-2023
Pivot	1 day	3 day
R1	1,855.8	1,871.8
PP	1,855.0	1,865.6
S1	1,854.2	1,859.5

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

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