CME E-mini Russell 2000 Index Futures September 2023

Trading Metrics calculated at close of trading on 12-Sep-2023

Day Change Summary
	Previous	Current
	11-Sep-2023	12-Sep-2023	Change	Change %	Previous Week
Open	1,853.2	1,856.8	3.6	0.2%	1,922.7
High	1,870.4	1,866.3	-4.1	-0.2%	1,924.7
Low	1,851.6	1,850.2	-1.4	-0.1%	1,847.8
Close	1,857.3	1,854.9	-2.4	-0.1%	1,853.4
Range	18.8	16.1	-2.7	-14.4%	76.9
ATR	29.4	28.5	-1.0	-3.2%	0.0
Volume	290,352	190,799	-99,553	-34.3%	765,016

Daily Pivots for day following 12-Sep-2023
	Classic	Woodie	Camarilla	DeMark
R4	1,905.4	1,896.3	1,863.8
R3	1,889.3	1,880.2	1,859.3
R2	1,873.2	1,873.2	1,857.9
R1	1,864.1	1,864.1	1,856.4	1,860.6
PP	1,857.1	1,857.1	1,857.1	1,855.4
S1	1,848.0	1,848.0	1,853.4	1,844.5
S2	1,841.0	1,841.0	1,851.9
S3	1,824.9	1,831.9	1,850.5
S4	1,808.8	1,815.8	1,846.0

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	1,895.7	1,847.8	47.9	2.6%	22.0	1.2%	15%	False	False	203,916
10	1,934.0	1,847.8	86.2	4.6%	26.4	1.4%	8%	False	False	191,384
20	1,934.0	1,832.8	101.2	5.5%	28.9	1.6%	22%	False	False	193,050
40	2,017.8	1,832.8	185.0	10.0%	30.3	1.6%	12%	False	False	181,057
60	2,017.8	1,825.1	192.7	10.4%	31.0	1.7%	15%	False	False	183,978
80	2,017.8	1,755.0	262.8	14.2%	32.4	1.7%	38%	False	False	157,270
100	2,017.8	1,723.4	294.4	15.9%	32.5	1.7%	45%	False	False	125,855
120	2,017.8	1,718.4	299.4	16.1%	32.2	1.7%	46%	False	False	104,906

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	True
3BNR	True
4BNR	True
8BNR	False
Bear Hook	False
Bull Hook	False
Stretch	6.1
Narrowest range in 2 trading days

Fibonacci Retracements and Extensions
4.250	1,934.7
2.618	1,908.4
1.618	1,892.3
1.000	1,882.4
0.618	1,876.2
HIGH	1,866.3
0.618	1,860.1
0.500	1,858.3
0.382	1,856.4
LOW	1,850.2
0.618	1,840.3
1.000	1,834.1
1.618	1,824.2
2.618	1,808.1
4.250	1,781.8

Fisher Pivots for day following 12-Sep-2023
Pivot	1 day	3 day
R1	1,858.3	1,859.1
PP	1,857.1	1,857.7
S1	1,856.0	1,856.3

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

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