CME E-mini Russell 2000 Index Futures September 2023


Trading Metrics calculated at close of trading on 11-Aug-2023
Day Change Summary
Previous Current
10-Aug-2023 11-Aug-2023 Change Change % Previous Week
Open 1,940.2 1,930.5 -9.7 -0.5% 1,965.3
High 1,963.6 1,938.5 -25.1 -1.3% 1,977.0
Low 1,920.5 1,918.3 -2.2 -0.1% 1,918.3
Close 1,928.5 1,931.2 2.7 0.1% 1,931.2
Range 43.1 20.2 -22.9 -53.1% 58.7
ATR 33.6 32.7 -1.0 -2.9% 0.0
Volume 203,460 155,476 -47,984 -23.6% 839,711
Daily Pivots for day following 11-Aug-2023
Classic Woodie Camarilla DeMark
R4 1,989.9 1,980.8 1,942.3
R3 1,969.7 1,960.6 1,936.8
R2 1,949.5 1,949.5 1,934.9
R1 1,940.4 1,940.4 1,933.1 1,945.0
PP 1,929.3 1,929.3 1,929.3 1,931.6
S1 1,920.2 1,920.2 1,929.3 1,924.8
S2 1,909.1 1,909.1 1,927.5
S3 1,888.9 1,900.0 1,925.6
S4 1,868.7 1,879.8 1,920.1
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 1,977.0 1,918.3 58.7 3.0% 33.0 1.7% 22% False True 167,942
10 2,017.8 1,918.3 99.5 5.2% 32.0 1.7% 13% False True 172,981
20 2,017.8 1,918.3 99.5 5.2% 31.8 1.6% 13% False True 167,250
40 2,017.8 1,825.1 192.7 10.0% 32.2 1.7% 55% False False 181,333
60 2,017.8 1,755.0 262.8 13.6% 33.8 1.7% 67% False False 142,406
80 2,017.8 1,723.4 294.4 15.2% 33.2 1.7% 71% False False 106,850
100 2,017.8 1,718.4 299.4 15.5% 33.1 1.7% 71% False False 85,534
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 8.4
Narrowest range in 13 trading days
Fibonacci Retracements and Extensions
4.250 2,024.4
2.618 1,991.4
1.618 1,971.2
1.000 1,958.7
0.618 1,951.0
HIGH 1,938.5
0.618 1,930.8
0.500 1,928.4
0.382 1,926.0
LOW 1,918.3
0.618 1,905.8
1.000 1,898.1
1.618 1,885.6
2.618 1,865.4
4.250 1,832.5
Fisher Pivots for day following 11-Aug-2023
Pivot 1 day 3 day
R1 1,930.3 1,941.5
PP 1,929.3 1,938.0
S1 1,928.4 1,934.6

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

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