CME E-mini Russell 2000 Index Futures March 2024


Trading Metrics calculated at close of trading on 12-Oct-2023
Day Change Summary
Previous Current
11-Oct-2023 12-Oct-2023 Change Change % Previous Week
Open 1,808.5 1,811.8 3.3 0.2% 1,837.7
High 1,821.8 1,819.1 -2.7 -0.1% 1,837.7
Low 1,792.8 1,755.2 -37.6 -2.1% 1,740.0
Close 1,805.2 1,765.0 -40.2 -2.2% 1,778.7
Range 29.0 63.9 34.9 120.3% 97.7
ATR 29.5 31.9 2.5 8.3% 0.0
Volume 103 211 108 104.9% 1,169
Daily Pivots for day following 12-Oct-2023
Classic Woodie Camarilla DeMark
R4 1,971.5 1,932.1 1,800.1
R3 1,907.6 1,868.2 1,782.6
R2 1,843.7 1,843.7 1,776.7
R1 1,804.3 1,804.3 1,770.9 1,792.1
PP 1,779.8 1,779.8 1,779.8 1,773.6
S1 1,740.4 1,740.4 1,759.1 1,728.2
S2 1,715.9 1,715.9 1,753.3
S3 1,652.0 1,676.5 1,747.4
S4 1,588.1 1,612.6 1,729.9
Weekly Pivots for week ending 06-Oct-2023
Classic Woodie Camarilla DeMark
R4 2,078.6 2,026.3 1,832.4
R3 1,980.9 1,928.6 1,805.6
R2 1,883.2 1,883.2 1,796.6
R1 1,830.9 1,830.9 1,787.7 1,808.2
PP 1,785.5 1,785.5 1,785.5 1,774.1
S1 1,733.2 1,733.2 1,769.7 1,710.5
S2 1,687.8 1,687.8 1,760.8
S3 1,590.1 1,635.5 1,751.8
S4 1,492.4 1,537.8 1,725.0
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 1,821.8 1,742.2 79.6 4.5% 42.2 2.4% 29% False False 156
10 1,844.1 1,740.0 104.1 5.9% 38.3 2.2% 24% False False 198
20 1,906.1 1,740.0 166.1 9.4% 31.9 1.8% 15% False False 165
40 1,970.8 1,740.0 230.8 13.1% 24.3 1.4% 11% False False 85
60 2,052.8 1,740.0 312.8 17.7% 23.4 1.3% 8% False False 57
80 2,052.8 1,740.0 312.8 17.7% 21.6 1.2% 8% False False 43
100 2,052.8 1,740.0 312.8 17.7% 17.4 1.0% 8% False False 34
120 2,052.8 1,740.0 312.8 17.7% 14.5 0.8% 8% False False 28
Crabel Price Patterns
NR False
NR4 False
NR5 False
NR7 False
WS True
WS4 True
WS5 True
WS7 True
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 9.0
Widest range in 124 trading days
Fibonacci Retracements and Extensions
4.250 2,090.7
2.618 1,986.4
1.618 1,922.5
1.000 1,883.0
0.618 1,858.6
HIGH 1,819.1
0.618 1,794.7
0.500 1,787.2
0.382 1,779.6
LOW 1,755.2
0.618 1,715.7
1.000 1,691.3
1.618 1,651.8
2.618 1,587.9
4.250 1,483.6
Fisher Pivots for day following 12-Oct-2023
Pivot 1 day 3 day
R1 1,787.2 1,788.5
PP 1,779.8 1,780.7
S1 1,772.4 1,772.8

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

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