MRCI hopes this profile of the CME Canadian Dollar futures contract, with
its statistics and feature studies, will help you derive wise trading decisions from its presentation of
long-term perspective, computer analysis, and historical background. This additional history is designed
to complement the body of knowledge contained in any seasonal patterns and strategies published. The weekly
and monthly charts on this page depict prices for nearby contracts, which most closely reflect the
underlying cash market.
The table below offers a statistical analysis of historical daily trading in the CME Canadian Dollar futures.
The average range for each day of the week in each year and overall has been computed for purposes of comparison and
further insight into the dynamics of this market. (from futstats, but I don't currently have it available for include)
MRCI's Nearby Futures Range Detail for Canadian Dollar(CME) from 1/1976 - 3/2024
Calendar Year
Monday Avg Rng
Tuesday Avg Rng
Wednesday Avg Rng
Thursday Avg Rng
Friday Avg Rng
Yearly Avg Rng
1976
0.32($320)
0.29($293)
0.33($332)
0.28($278)
0.30($300)
0.30($305)
1977
0.29($294)
0.28($284)
0.28($282)
0.29($286)
0.26($258)
0.28($281)
1978
0.31($309)
0.29($292)
0.31($313)
0.29($292)
0.30($299)
0.30($301)
1979
0.30($295)
0.30($304)
0.29($292)
0.31($313)
0.28($280)
0.30($297)
1980
0.33($331)
0.33($326)
0.35($349)
0.34($337)
0.36($360)
0.34($340)
1981
0.33($328)
0.30($297)
0.30($300)
0.29($290)
0.31($309)
0.30($305)
1982
0.34($345)
0.36($357)
0.35($345)
0.36($362)
0.37($365)
0.35($355)
1983
0.16($165)
0.17($168)
0.16($160)
0.17($172)
0.19($185)
0.17($170)
1984
0.22($223)
0.22($222)
0.22($217)
0.21($205)
0.22($223)
0.22($218)
1985
0.29($287)
0.28($281)
0.25($253)
0.27($271)
0.28($284)
0.28($275)
1986
0.25($249)
0.27($270)
0.24($240)
0.28($283)
0.29($289)
0.27($266)
1987
0.26($258)
0.30($296)
0.28($278)
0.29($288)
0.26($264)
0.28($277)
1988
0.39($386)
0.33($332)
0.37($370)
0.33($327)
0.29($287)
0.34($340)
1989
0.25($251)
0.25($252)
0.27($272)
0.29($290)
0.31($312)
0.28($276)
1990
0.31($309)
0.30($303)
0.32($324)
0.35($354)
0.36($360)
0.33($330)
1991
0.21($205)
0.20($202)
0.22($219)
0.25($247)
0.23($229)
0.22($220)
1992
0.35($352)
0.36($360)
0.35($345)
0.33($330)
0.34($345)
0.35($347)
1993
0.34($335)
0.34($341)
0.35($347)
0.37($367)
0.34($338)
0.35($346)
1994
0.29($286)
0.31($307)
0.29($290)
0.29($291)
0.31($314)
0.30($298)
1995
0.36($359)
0.35($351)
0.30($303)
0.33($327)
0.36($358)
0.34($339)
1996
0.19($186)
0.20($204)
0.22($217)
0.22($225)
0.25($251)
0.22($217)
1997
0.24($238)
0.28($282)
0.27($272)
0.31($311)
0.30($296)
0.28($280)
1998
0.34($344)
0.34($336)
0.39($385)
0.40($404)
0.36($359)
0.37($366)
1999
0.37($369)
0.34($336)
0.35($347)
0.38($383)
0.38($375)
0.36($362)
2000
0.30($295)
0.30($296)
0.36($357)
0.34($345)
0.36($356)
0.33($331)
2001
0.30($298)
0.33($326)
0.36($359)
0.31($306)
0.33($326)
0.32($323)
2002
0.38($384)
0.40($399)
0.40($396)
0.35($354)
0.39($388)
0.38($385)
2003
0.64($637)
0.70($698)
0.65($649)
0.68($682)
0.68($684)
0.67($671)
2004
0.67($672)
0.65($652)
0.80($800)
0.73($729)
0.78($776)
0.73($727)
2005
0.68($684)
0.73($729)
0.73($728)
0.64($638)
0.75($755)
0.71($707)
2006
0.63($635)
0.71($706)
0.65($648)
0.70($697)
0.70($697)
0.68($677)
2007
0.75($752)
0.91($909)
0.83($835)
0.85($852)
0.94($937)
0.86($859)
2008
1.36($1365)
1.29($1285)
1.31($1314)
1.37($1367)
1.42($1418)
1.35($1349)
2009
1.34($1345)
1.30($1295)
1.32($1315)
1.23($1229)
1.37($1366)
1.31($1309)
2010
0.90($896)
1.18($1180)
1.08($1080)
1.09($1090)
1.16($1163)
1.09($1085)
2011
0.95($950)
1.06($1059)
1.04($1043)
0.99($995)
1.01($1008)
1.01($1013)
2012
0.59($594)
0.65($647)
0.63($632)
0.70($696)
0.72($718)
0.66($659)
2013
0.46($463)
0.53($535)
0.60($601)
0.67($666)
0.68($675)
0.59($589)
2014
0.50($503)
0.57($567)
0.62($615)
0.53($532)
0.66($659)
0.58($576)
2015
0.63($635)
0.72($720)
0.82($821)
0.75($745)
0.76($759)
0.74($737)
2016
0.61($610)
0.71($709)
0.77($770)
0.70($698)
0.75($755)
0.71($710)
2017
0.45($455)
0.53($525)
0.66($659)
0.52($522)
0.58($579)
0.55($550)
2018
0.46($459)
0.52($524)
0.62($621)
0.50($505)
0.58($583)
0.54($539)
2019
0.31($314)
0.35($354)
0.44($438)
0.35($351)
0.44($437)
0.38($380)
2020
0.59($591)
0.56($555)
0.58($583)
0.55($549)
0.49($493)
0.55($554)
2021
0.51($509)
0.54($536)
0.56($556)
0.60($600)
0.58($582)
0.56($557)
2022
0.65($647)
0.64($638)
0.59($594)
0.66($659)
0.65($653)
0.64($638)
2023
0.39($390)
0.48($475)
0.45($449)
0.45($454)
0.50($496)
0.45($454)
2024
0.27($271)
0.41($407)
0.36($358)
0.41($407)
0.41($407)
0.37($374)
What other characteristics do CME Canadian Dollar futures exhibit for various days of the
week? We ran various studies for the last 180 calendar days of trading prior to trading prior to
expiration for each contract. (from futstats, but I don't currently have it available for include)
MRCI's Nearby Futures Summary for Canadian Dollar(CME) from 1/1976 - 3/2024
Daily Percent Change Summary for Canadian Dollar(CME)
UNCH
>0%- <1%
+1%- <2%
+2%- <3%
+3%- <4%
+4%- <5%
+5%- <6%
+6%- <7%
+7%- <8%
+8%- <9%
+9%- <10%
+10%- <20%
>+20%
301
5573
193
12
0
1
1
0
0
0
0
0
0
<0%- >-1%
-1%- >-2%
-2%- >-3%
-3%- >-4%
-4%- >-5%
-5%- >-6%
-6%- >-7%
-7%- >-8%
-8%- >-9%
-9%- >-10%
-10%- >-20%
<-20%
5624
192
18
2
0
0
0
0
0
0
0
0
The table below represents yearly low, high, last yield in the cash market for the
CME Canadian Dollar futures contracts. Quotes are from daily cash market price activity.
Canadian Dollar: NY 3:30PM - Nov 7, 2022
Period Low(Jan-Dec)
Period High(Jan-Dec)
Last Day
Average
Year
Date
Price
Date
Price
Date
Price
Price
2021
12/20/2021
77.14
06/01/2021
83.29
12/31/2021
79.14
79.82
2020
03/19/2020
68.18
12/15/2020
78.82
12/31/2020
78.62
74.65
2019
01/02/2019
73.20
12/31/2019
77.21
12/31/2019
77.00
75.39
2018
12/31/2018
73.18
01/31/2018 02/02/2018
81.63
12/31/2018
73.32
77.18
2017
05/05/2017
72.49
09/08/2017
82.92
12/29/2017
79.54
77.11
2016
01/20/2016
68.10
05/03/2016
80.26
12/30/2016
74.46
75.56
2015
12/18/2015
71.43
01/02/2015
86.24
12/31/2015
72.34
78.28
2014
12/16/2014
85.67
01/02/2014
94.44
12/31/2014
86.05
90.55
2013
12/20/2013
93.14
01/11/2013
101.89
12/31/2013
94.16
97.10
2012
06/04/2012
95.72
09/14/2012
103.81
12/31/2012
100.77
100.06
2011
10/04/2011
93.84
07/26/2011
106.30
12/30/2011
98.08
101.15
2010
05/25/2010
92.13
12/31/2010
100.76
12/31/2010
100.20
97.13
2009
03/09/2009
76.54
10/15/2009
97.97
12/31/2009
95.01
88.10
2008
10/28/2008
76.83
02/28/2008
102.96
12/31/2008
81.84
94.30
2007
02/08/2007
84.20
11/07/2007
110.38
12/31/2007
100.14
93.58
2006
01/19/2006
84.77
05/31/2006
91.48
12/29/2006
85.74
88.19
2005
05/16/2005
78.53
12/14/2005
87.50
12/30/2005
86.01
82.62
2004
05/18/2004
71.42
11/26/2004
85.33
12/31/2004
83.35
77.04
2003
01/02/2003
63.39
12/31/2003
77.88
12/31/2003
77.18
71.69
2002
01/21/2002
61.76
06/28/2002
66.51
12/31/2002
63.57
63.71
2001
11/09/2001 11/12/2001
62.36
01/02/2001
67.03
12/31/2001
62.79
64.59
2000
11/20/2000
64.10
01/27/2000
69.81
12/29/2000
66.62
67.36
1999
01/13/1999
64.72
05/06/1999
69.44
12/31/1999
69.20
67.35
1998
08/27/1998
63.31
03/11/1998
71.10
12/31/1998
65.30
67.48
1997
12/24/1997 12/29/1997
69.49
01/22/1997
74.90
12/31/1997
69.98
72.21
1996
02/20/1996
72.17
11/08/1996
75.22
12/31/1996
72.95
73.34
1995
01/20/1995
70.21
10/03/1995
75.26
12/29/1995
73.29
72.90
1994
12/29/1994
71.06
01/19/1994 01/20/1994
76.31
12/30/1994
71.32
73.22
1993
12/20/1993
74.35
03/04/1993
80.53
12/31/1993
75.57
77.53
1992
11/24/1992
77.64
01/07/1992
87.61
12/31/1992
78.75
82.79
1991
01/25/1991
85.91
11/01/1991
89.31
12/31/1991
86.55
87.28
1990
02/14/1990
82.83
08/23/1990
88.41
12/31/1990
86.19
85.74
1989
05/25/1989 05/30/1989
82.75
12/28/1989
86.45
12/29/1989
86.36
84.48
1988
01/04/1988
77.10
12/05/1988
84.34
12/30/1988
83.85
81.30
1987
01/07/1987
72.39
10/19/1987
77.12
12/31/1987
76.94
75.45
The table below represents Scenario Analysis for the
March Canadian Dollar(CME) futures contracts.
The focus on a single market each month can provide you more in-depth knowledge of how it trades. What if you knew such things as ... (1) average daily ranges by day of week (2)Â how often it tends to close higher/lower by day of week (3)Â how often it tends to gap up/down (4)Â historical summary of daily % of price change