CME E-mini Russell 2000 Index Futures December 2023


Trading Metrics calculated at close of trading on 15-Nov-2023
Day Change Summary
Previous Current
14-Nov-2023 15-Nov-2023 Change Change % Previous Week
Open 1,712.2 1,807.9 95.7 5.6% 1,767.3
High 1,808.2 1,838.5 30.3 1.7% 1,772.3
Low 1,707.1 1,801.6 94.5 5.5% 1,687.4
Close 1,805.2 1,808.5 3.3 0.2% 1,711.5
Range 101.1 36.9 -64.2 -63.5% 84.9
ATR 38.5 38.3 -0.1 -0.3% 0.0
Volume 399,970 337,190 -62,780 -15.7% 1,046,154
Daily Pivots for day following 15-Nov-2023
Classic Woodie Camarilla DeMark
R4 1,926.9 1,904.6 1,828.8
R3 1,890.0 1,867.7 1,818.6
R2 1,853.1 1,853.1 1,815.3
R1 1,830.8 1,830.8 1,811.9 1,842.0
PP 1,816.2 1,816.2 1,816.2 1,821.8
S1 1,793.9 1,793.9 1,805.1 1,805.1
S2 1,779.3 1,779.3 1,801.7
S3 1,742.4 1,757.0 1,798.4
S4 1,705.5 1,720.1 1,788.2
Weekly Pivots for week ending 10-Nov-2023
Classic Woodie Camarilla DeMark
R4 1,978.4 1,929.9 1,758.2
R3 1,893.5 1,845.0 1,734.8
R2 1,808.6 1,808.6 1,727.1
R1 1,760.1 1,760.1 1,719.3 1,741.9
PP 1,723.7 1,723.7 1,723.7 1,714.7
S1 1,675.2 1,675.2 1,703.7 1,657.0
S2 1,638.8 1,638.8 1,695.9
S3 1,553.9 1,590.3 1,688.2
S4 1,469.0 1,505.4 1,664.8
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,838.5 1,687.4 151.1 8.4% 46.9 2.6% 80% True False 273,261
10 1,838.5 1,675.4 163.1 9.0% 42.9 2.4% 82% True False 254,513
20 1,838.5 1,638.8 199.7 11.0% 36.5 2.0% 85% True False 250,322
40 1,838.5 1,638.8 199.7 11.0% 35.8 2.0% 85% True False 236,879
60 1,952.8 1,638.8 314.0 17.4% 33.2 1.8% 54% False False 191,153
80 2,038.2 1,638.8 399.4 22.1% 32.9 1.8% 42% False False 143,431
100 2,038.2 1,638.8 399.4 22.1% 32.3 1.8% 42% False False 114,760
120 2,038.2 1,638.8 399.4 22.1% 31.3 1.7% 42% False False 95,650
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 5.6
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,995.3
2.618 1,935.1
1.618 1,898.2
1.000 1,875.4
0.618 1,861.3
HIGH 1,838.5
0.618 1,824.4
0.500 1,820.1
0.382 1,815.7
LOW 1,801.6
0.618 1,778.8
1.000 1,764.7
1.618 1,741.9
2.618 1,705.0
4.250 1,644.8
Fisher Pivots for day following 15-Nov-2023
Pivot 1 day 3 day
R1 1,820.1 1,794.5
PP 1,816.2 1,780.5
S1 1,812.4 1,766.5

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

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