CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 05-Oct-2023
Day Change Summary
Previous Current
04-Oct-2023 05-Oct-2023 Change Change % Previous Week
Open 1,739.5 1,740.3 0.8 0.0% 1,793.0
High 1,748.4 1,748.8 0.4 0.0% 1,824.8
Low 1,720.7 1,728.8 8.1 0.5% 1,776.3
Close 1,743.0 1,743.6 0.6 0.0% 1,798.6
Range 27.7 20.0 -7.7 -27.8% 48.5
ATR 30.6 29.9 -0.8 -2.5% 0.0
Volume 277,939 229,240 -48,699 -17.5% 1,070,434
Daily Pivots for day following 05-Oct-2023
Classic Woodie Camarilla DeMark
R4 1,800.4 1,792.0 1,754.6
R3 1,780.4 1,772.0 1,749.1
R2 1,760.4 1,760.4 1,747.3
R1 1,752.0 1,752.0 1,745.4 1,756.2
PP 1,740.4 1,740.4 1,740.4 1,742.5
S1 1,732.0 1,732.0 1,741.8 1,736.2
S2 1,720.4 1,720.4 1,739.9
S3 1,700.4 1,712.0 1,738.1
S4 1,680.4 1,692.0 1,732.6
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 1,720.7 104.1 6.0% 35.1 2.0% 22% False False 252,246
10 1,824.8 1,720.7 104.1 6.0% 30.4 1.7% 22% False False 227,207
20 1,892.7 1,720.7 172.0 9.9% 28.1 1.6% 13% False False 222,806
40 1,983.0 1,720.7 262.3 15.0% 29.3 1.7% 9% False False 112,205
60 2,038.2 1,720.7 317.5 18.2% 29.6 1.7% 7% False False 74,849
80 2,038.2 1,720.7 317.5 18.2% 29.9 1.7% 7% False False 56,173
100 2,038.2 1,720.7 317.5 18.2% 28.8 1.7% 7% False False 44,940
120 2,038.2 1,720.7 317.5 18.2% 26.9 1.5% 7% False False 37,450
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 7.1
Narrowest range in 9 trading days
Fibonacci Retracements and Extensions
4.250 1,833.8
2.618 1,801.2
1.618 1,781.2
1.000 1,768.8
0.618 1,761.2
HIGH 1,748.8
0.618 1,741.2
0.500 1,738.8
0.382 1,736.4
LOW 1,728.8
0.618 1,716.4
1.000 1,708.8
1.618 1,696.4
2.618 1,676.4
4.250 1,643.8
Fisher Pivots for day following 05-Oct-2023
Pivot 1 day 3 day
R1 1,742.0 1,748.2
PP 1,740.4 1,746.7
S1 1,738.8 1,745.1

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

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