CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 11-Sep-2023
Day Change Summary
Previous Current
08-Sep-2023 11-Sep-2023 Change Change % Previous Week
Open 1,878.1 1,870.3 -7.8 -0.4% 1,940.5
High 1,883.0 1,889.5 6.5 0.3% 1,943.0
Low 1,866.8 1,870.3 3.5 0.2% 1,866.8
Close 1,872.3 1,875.8 3.5 0.2% 1,872.3
Range 16.2 19.2 3.0 18.5% 76.2
ATR 29.6 28.8 -0.7 -2.5% 0.0
Volume 139,570 356,137 216,567 155.2% 163,080
Daily Pivots for day following 11-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,936.1 1,925.2 1,886.4
R3 1,916.9 1,906.0 1,881.1
R2 1,897.7 1,897.7 1,879.3
R1 1,886.8 1,886.8 1,877.6 1,892.3
PP 1,878.5 1,878.5 1,878.5 1,881.3
S1 1,867.6 1,867.6 1,874.0 1,873.1
S2 1,859.3 1,859.3 1,872.3
S3 1,840.1 1,848.4 1,870.5
S4 1,820.9 1,829.2 1,865.2
Weekly Pivots for week ending 08-Sep-2023
Classic Woodie Camarilla DeMark
R4 2,122.6 2,073.7 1,914.2
R3 2,046.4 1,997.5 1,893.3
R2 1,970.2 1,970.2 1,886.3
R1 1,921.3 1,921.3 1,879.3 1,907.7
PP 1,894.0 1,894.0 1,894.0 1,887.2
S1 1,845.1 1,845.1 1,865.3 1,831.5
S2 1,817.8 1,817.8 1,858.3
S3 1,741.6 1,768.9 1,851.3
S4 1,665.4 1,692.7 1,830.4
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,943.0 1,866.8 76.2 4.1% 27.2 1.5% 12% False False 103,843
10 1,952.8 1,866.8 86.0 4.6% 27.4 1.5% 10% False False 52,367
20 1,958.7 1,852.3 106.4 5.7% 29.2 1.6% 22% False False 26,372
40 2,038.2 1,852.3 185.9 9.9% 29.9 1.6% 13% False False 13,261
60 2,038.2 1,844.0 194.2 10.4% 30.2 1.6% 16% False False 8,891
80 2,038.2 1,772.4 265.8 14.2% 29.1 1.5% 39% False False 6,669
100 2,038.2 1,739.6 298.6 15.9% 26.8 1.4% 46% False False 5,336
120 2,038.2 1,732.5 305.7 16.3% 26.3 1.4% 47% False False 4,446
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR True
3BNR True
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.1
Widest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,971.1
2.618 1,939.8
1.618 1,920.6
1.000 1,908.7
0.618 1,901.4
HIGH 1,889.5
0.618 1,882.2
0.500 1,879.9
0.382 1,877.6
LOW 1,870.3
0.618 1,858.4
1.000 1,851.1
1.618 1,839.2
2.618 1,820.0
4.250 1,788.7
Fisher Pivots for day following 11-Sep-2023
Pivot 1 day 3 day
R1 1,879.9 1,881.8
PP 1,878.5 1,879.8
S1 1,877.2 1,877.8

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

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