CME E-mini Russell 2000 Index Futures March 2024


Trading Metrics calculated at close of trading on 21-Sep-2023
Day Change Summary
Previous Current
20-Sep-2023 21-Sep-2023 Change Change % Previous Week
Open 1,864.4 1,840.0 -24.4 -1.3% 1,905.0
High 1,883.6 1,843.1 -40.5 -2.2% 1,907.1
Low 1,844.9 1,816.4 -28.5 -1.5% 1,878.3
Close 1,846.4 1,817.7 -28.7 -1.6% 1,885.9
Range 38.7 26.7 -12.0 -31.0% 28.8
ATR 23.4 23.9 0.5 2.0% 0.0
Volume 40 84 44 110.0% 92
Daily Pivots for day following 21-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,905.8 1,888.5 1,832.4
R3 1,879.1 1,861.8 1,825.0
R2 1,852.4 1,852.4 1,822.6
R1 1,835.1 1,835.1 1,820.1 1,830.4
PP 1,825.7 1,825.7 1,825.7 1,823.4
S1 1,808.4 1,808.4 1,815.3 1,803.7
S2 1,799.0 1,799.0 1,812.8
S3 1,772.3 1,781.7 1,810.4
S4 1,745.6 1,755.0 1,803.0
Weekly Pivots for week ending 15-Sep-2023
Classic Woodie Camarilla DeMark
R4 1,976.8 1,960.2 1,901.7
R3 1,948.0 1,931.4 1,893.8
R2 1,919.2 1,919.2 1,891.2
R1 1,902.6 1,902.6 1,888.5 1,896.5
PP 1,890.4 1,890.4 1,890.4 1,887.4
S1 1,873.8 1,873.8 1,883.3 1,867.7
S2 1,861.6 1,861.6 1,880.6
S3 1,832.8 1,845.0 1,878.0
S4 1,804.0 1,816.2 1,870.1
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,906.1 1,816.4 89.7 4.9% 26.5 1.5% 1% False True 152
10 1,907.1 1,816.4 90.7 5.0% 20.0 1.1% 1% False True 80
20 1,970.8 1,816.4 154.4 8.5% 19.1 1.1% 1% False True 43
40 2,052.8 1,816.4 236.4 13.0% 20.5 1.1% 1% False True 22
60 2,052.8 1,816.4 236.4 13.0% 19.0 1.0% 1% False True 15
80 2,052.8 1,799.5 253.3 13.9% 15.4 0.8% 7% False False 11
100 2,052.8 1,772.1 280.7 15.4% 12.3 0.7% 16% False False 9
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 4.2
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,956.6
2.618 1,913.0
1.618 1,886.3
1.000 1,869.8
0.618 1,859.6
HIGH 1,843.1
0.618 1,832.9
0.500 1,829.8
0.382 1,826.6
LOW 1,816.4
0.618 1,799.9
1.000 1,789.7
1.618 1,773.2
2.618 1,746.5
4.250 1,702.9
Fisher Pivots for day following 21-Sep-2023
Pivot 1 day 3 day
R1 1,829.8 1,850.0
PP 1,825.7 1,839.2
S1 1,821.7 1,828.5

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

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