CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 27-Oct-2023
Day Change Summary
Previous Current
26-Oct-2023 27-Oct-2023 Change Change % Previous Week
Open 1,659.2 1,666.3 7.1 0.4% 1,692.4
High 1,681.2 1,676.3 -4.9 -0.3% 1,701.2
Low 1,649.0 1,638.8 -10.2 -0.6% 1,638.8
Close 1,664.5 1,645.1 -19.4 -1.2% 1,645.1
Range 32.2 37.5 5.3 16.5% 62.4
ATR 33.5 33.8 0.3 0.9% 0.0
Volume 301,070 253,281 -47,789 -15.9% 1,213,275
Daily Pivots for day following 27-Oct-2023
Classic Woodie Camarilla DeMark
R4 1,765.9 1,743.0 1,665.7
R3 1,728.4 1,705.5 1,655.4
R2 1,690.9 1,690.9 1,652.0
R1 1,668.0 1,668.0 1,648.5 1,660.7
PP 1,653.4 1,653.4 1,653.4 1,649.8
S1 1,630.5 1,630.5 1,641.7 1,623.2
S2 1,615.9 1,615.9 1,638.2
S3 1,578.4 1,593.0 1,634.8
S4 1,540.9 1,555.5 1,624.5
Weekly Pivots for week ending 27-Oct-2023
Classic Woodie Camarilla DeMark
R4 1,848.9 1,809.4 1,679.4
R3 1,786.5 1,747.0 1,662.3
R2 1,724.1 1,724.1 1,656.5
R1 1,684.6 1,684.6 1,650.8 1,673.2
PP 1,661.7 1,661.7 1,661.7 1,656.0
S1 1,622.2 1,622.2 1,639.4 1,610.8
S2 1,599.3 1,599.3 1,633.7
S3 1,536.9 1,559.8 1,627.9
S4 1,474.5 1,497.4 1,610.8
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,701.2 1,638.8 62.4 3.8% 30.8 1.9% 10% False True 242,655
10 1,792.9 1,638.8 154.1 9.4% 34.1 2.1% 4% False True 243,357
20 1,818.2 1,638.8 179.4 10.9% 36.5 2.2% 4% False True 239,233
40 1,952.8 1,638.8 314.0 19.1% 32.0 1.9% 2% False True 205,989
60 2,007.6 1,638.8 368.8 22.4% 31.4 1.9% 2% False True 137,464
80 2,038.2 1,638.8 399.4 24.3% 31.4 1.9% 2% False True 103,130
100 2,038.2 1,638.8 399.4 24.3% 30.6 1.9% 2% False True 82,530
120 2,038.2 1,638.8 399.4 24.3% 29.7 1.8% 2% False True 68,776
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 6.1
Widest range in 6 trading days
Fibonacci Retracements and Extensions
4.250 1,835.7
2.618 1,774.5
1.618 1,737.0
1.000 1,713.8
0.618 1,699.5
HIGH 1,676.3
0.618 1,662.0
0.500 1,657.6
0.382 1,653.1
LOW 1,638.8
0.618 1,615.6
1.000 1,601.3
1.618 1,578.1
2.618 1,540.6
4.250 1,479.4
Fisher Pivots for day following 27-Oct-2023
Pivot 1 day 3 day
R1 1,657.6 1,664.2
PP 1,653.4 1,657.8
S1 1,649.3 1,651.5

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

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