CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 27-Sep-2023
Day Change Summary
Previous Current
26-Sep-2023 27-Sep-2023 Change Change % Previous Week
Open 1,803.3 1,781.9 -21.4 -1.2% 1,866.2
High 1,804.1 1,802.8 -1.3 -0.1% 1,871.1
Low 1,776.3 1,777.4 1.1 0.1% 1,791.9
Close 1,777.9 1,793.0 15.1 0.8% 1,792.7
Range 27.8 25.4 -2.4 -8.6% 79.2
ATR 27.6 27.5 -0.2 -0.6% 0.0
Volume 205,143 236,478 31,335 15.3% 891,198
Daily Pivots for day following 27-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,867.3 1,855.5 1,807.0
R3 1,841.9 1,830.1 1,800.0
R2 1,816.5 1,816.5 1,797.7
R1 1,804.7 1,804.7 1,795.3 1,810.6
PP 1,791.1 1,791.1 1,791.1 1,794.0
S1 1,779.3 1,779.3 1,790.7 1,785.2
S2 1,765.7 1,765.7 1,788.3
S3 1,740.3 1,753.9 1,786.0
S4 1,714.9 1,728.5 1,779.0
Weekly Pivots for week ending 22-Sep-2023
Classic Woodie Camarilla DeMark
R4 2,056.2 2,003.6 1,836.3
R3 1,977.0 1,924.4 1,814.5
R2 1,897.8 1,897.8 1,807.2
R1 1,845.2 1,845.2 1,800.0 1,831.9
PP 1,818.6 1,818.6 1,818.6 1,811.9
S1 1,766.0 1,766.0 1,785.4 1,752.7
S2 1,739.4 1,739.4 1,778.2
S3 1,660.2 1,686.8 1,770.9
S4 1,581.0 1,607.6 1,749.1
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,826.8 1,776.3 50.5 2.8% 25.3 1.4% 33% False False 202,466
10 1,892.7 1,776.3 116.4 6.5% 27.5 1.5% 14% False False 195,115
20 1,952.8 1,776.3 176.5 9.8% 26.3 1.5% 9% False False 150,127
40 2,019.3 1,776.3 243.0 13.6% 28.7 1.6% 7% False False 75,263
60 2,038.2 1,776.3 261.9 14.6% 30.0 1.7% 6% False False 50,210
80 2,038.2 1,776.3 261.9 14.6% 29.0 1.6% 6% False False 37,689
100 2,038.2 1,766.6 271.6 15.1% 28.0 1.6% 10% False False 30,152
120 2,038.2 1,739.6 298.6 16.7% 26.2 1.5% 18% False False 25,127
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID True
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 5.9
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,910.8
2.618 1,869.3
1.618 1,843.9
1.000 1,828.2
0.618 1,818.5
HIGH 1,802.8
0.618 1,793.1
0.500 1,790.1
0.382 1,787.1
LOW 1,777.4
0.618 1,761.7
1.000 1,752.0
1.618 1,736.3
2.618 1,710.9
4.250 1,669.5
Fisher Pivots for day following 27-Sep-2023
Pivot 1 day 3 day
R1 1,792.0 1,792.2
PP 1,791.1 1,791.3
S1 1,790.1 1,790.5

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

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