CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 28-Sep-2023
Day Change Summary
Previous Current
27-Sep-2023 28-Sep-2023 Change Change % Previous Week
Open 1,781.9 1,798.3 16.4 0.9% 1,866.2
High 1,802.8 1,818.9 16.1 0.9% 1,871.1
Low 1,777.4 1,786.0 8.6 0.5% 1,791.9
Close 1,793.0 1,809.1 16.1 0.9% 1,792.7
Range 25.4 32.9 7.5 29.5% 79.2
ATR 27.5 27.9 0.4 1.4% 0.0
Volume 236,478 217,558 -18,920 -8.0% 891,198
Daily Pivots for day following 28-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,903.4 1,889.1 1,827.2
R3 1,870.5 1,856.2 1,818.1
R2 1,837.6 1,837.6 1,815.1
R1 1,823.3 1,823.3 1,812.1 1,830.5
PP 1,804.7 1,804.7 1,804.7 1,808.2
S1 1,790.4 1,790.4 1,806.1 1,797.6
S2 1,771.8 1,771.8 1,803.1
S3 1,738.9 1,757.5 1,800.1
S4 1,706.0 1,724.6 1,791.0
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 1,818.9 1,776.3 42.6 2.4% 25.7 1.4% 77% True False 202,169
10 1,892.7 1,776.3 116.4 6.4% 27.6 1.5% 28% False False 194,866
20 1,952.8 1,776.3 176.5 9.8% 26.8 1.5% 19% False False 160,983
40 2,007.6 1,776.3 231.3 12.8% 28.7 1.6% 14% False False 80,696
60 2,038.2 1,776.3 261.9 14.5% 30.1 1.7% 13% False False 53,835
80 2,038.2 1,776.3 261.9 14.5% 29.0 1.6% 13% False False 40,409
100 2,038.2 1,766.6 271.6 15.0% 28.2 1.6% 16% False False 32,327
120 2,038.2 1,739.6 298.6 16.5% 26.5 1.5% 23% False False 26,940
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
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
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,958.7
2.618 1,905.0
1.618 1,872.1
1.000 1,851.8
0.618 1,839.2
HIGH 1,818.9
0.618 1,806.3
0.500 1,802.5
0.382 1,798.6
LOW 1,786.0
0.618 1,765.7
1.000 1,753.1
1.618 1,732.8
2.618 1,699.9
4.250 1,646.2
Fisher Pivots for day following 28-Sep-2023
Pivot 1 day 3 day
R1 1,806.9 1,805.3
PP 1,804.7 1,801.4
S1 1,802.5 1,797.6

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

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