CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 29-Sep-2023
Day Change Summary
Previous Current
28-Sep-2023 29-Sep-2023 Change Change % Previous Week
Open 1,798.3 1,811.9 13.6 0.8% 1,793.0
High 1,818.9 1,824.8 5.9 0.3% 1,824.8
Low 1,786.0 1,793.4 7.4 0.4% 1,776.3
Close 1,809.1 1,798.6 -10.5 -0.6% 1,798.6
Range 32.9 31.4 -1.5 -4.6% 48.5
ATR 27.9 28.1 0.3 0.9% 0.0
Volume 217,558 235,658 18,100 8.3% 1,070,434
Daily Pivots for day following 29-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,899.8 1,880.6 1,815.9
R3 1,868.4 1,849.2 1,807.2
R2 1,837.0 1,837.0 1,804.4
R1 1,817.8 1,817.8 1,801.5 1,811.7
PP 1,805.6 1,805.6 1,805.6 1,802.6
S1 1,786.4 1,786.4 1,795.7 1,780.3
S2 1,774.2 1,774.2 1,792.8
S3 1,742.8 1,755.0 1,790.0
S4 1,711.4 1,723.6 1,781.3
Weekly Pivots for week ending 29-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,945.4 1,920.5 1,825.3
R3 1,896.9 1,872.0 1,811.9
R2 1,848.4 1,848.4 1,807.5
R1 1,823.5 1,823.5 1,803.0 1,836.0
PP 1,799.9 1,799.9 1,799.9 1,806.1
S1 1,775.0 1,775.0 1,794.2 1,787.5
S2 1,751.4 1,751.4 1,789.7
S3 1,702.9 1,726.5 1,785.3
S4 1,654.4 1,678.0 1,771.9
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,824.8 1,776.3 48.5 2.7% 28.3 1.6% 46% True False 214,086
10 1,871.1 1,776.3 94.8 5.3% 27.2 1.5% 24% False False 196,163
20 1,952.8 1,776.3 176.5 9.8% 27.5 1.5% 13% False False 172,745
40 2,007.6 1,776.3 231.3 12.9% 28.8 1.6% 10% False False 86,579
60 2,038.2 1,776.3 261.9 14.6% 29.7 1.7% 9% False False 57,762
80 2,038.2 1,776.3 261.9 14.6% 29.1 1.6% 9% False False 43,354
100 2,038.2 1,766.6 271.6 15.1% 28.3 1.6% 12% False False 34,684
120 2,038.2 1,739.6 298.6 16.6% 26.5 1.5% 20% False False 28,903
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 False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 7.9
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,958.3
2.618 1,907.0
1.618 1,875.6
1.000 1,856.2
0.618 1,844.2
HIGH 1,824.8
0.618 1,812.8
0.500 1,809.1
0.382 1,805.4
LOW 1,793.4
0.618 1,774.0
1.000 1,762.0
1.618 1,742.6
2.618 1,711.2
4.250 1,660.0
Fisher Pivots for day following 29-Sep-2023
Pivot 1 day 3 day
R1 1,809.1 1,801.1
PP 1,805.6 1,800.3
S1 1,802.1 1,799.4

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

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