Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Futures Highlight - Canadian Dollar(CME)

MRC Logo
MRCI's Futures Highlight - Canadian Dollar(CME)

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.

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved
Some data provided by Commodity Research Bureau

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 - 7/2020
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 0.71($710) 0.62($619) 0.65($646) 0.59($593) 0.56($562) 0.62($624)

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 - 7/2020
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 0.46($458) 0.49($486) 0.50($500) 0.49($488) 0.51($511) 0.49($489)
Closed Up 991(48%) 1096(49%) 1082(48%) 1079(49%) 1068(49%) 5316(48%)
Closed Dn 1021(49%) 1097(49%) 1114(49%) 1081(49%) 1062(48%) 5375(49%)
Closed Uchg 54(3%) 57(3%) 58(3%) 51(2%) 70(3%) 290(3%)
Gapped up 265(13%) 301(13%) 302(13%) 292(13%) 277(13%) 1437(13%)
Un-filled Gaps Up 115(43%) 116(39%) 106(35%) 111(38%) 79(29%) 527(37%)
Gapped Down 266(13%) 369(16%) 297(13%) 318(14%) 257(12%) 1507(14%)
Un-filled Gaps Down 119(45%) 131(36%) 121(41%) 108(34%) 86(33%) 565(37%)

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%
290 5120 182 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%
5177 178 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 - Jun 08, 2020
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
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
81.63
12/31/2018 73.32 77.19
2017 05/05/2017 72.49 09/08/2017 82.92 12/29/2017 79.54 77.10
2016 01/20/2016 68.10 05/03/2016 80.26 12/30/2016 74.46 75.57
2015 12/18/2015 71.43 01/02/2015 86.24 12/31/2015 72.34 78.31
2014 12/16/2014 85.67 01/02/2014 94.44 12/31/2014 86.05 90.58
2013 12/20/2013 93.14 01/11/2013 101.89 12/31/2013 94.16 97.12
2012 06/04/2012 95.72 09/14/2012 103.81 12/31/2012 100.77 100.05
2011 10/04/2011 93.84 07/26/2011 106.30 12/30/2011 98.08 101.16
2010 05/25/2010 92.13 12/31/2010 100.76 12/31/2010 100.20 97.12
2009 03/09/2009 76.54 10/15/2009 97.97 12/31/2009 95.01 88.07
2008 10/28/2008 76.83 02/28/2008 102.96 12/31/2008 81.84 94.31
2007 02/08/2007 84.20 11/07/2007 110.38 12/31/2007 100.14 93.55
2006 01/19/2006 84.77 05/31/2006 91.48 12/29/2006 85.74 88.20
2005 05/16/2005 78.53 12/14/2005 87.50 12/30/2005 86.01 82.61
2004 05/18/2004 71.42 11/26/2004 85.33 12/31/2004 83.35 77.02
2003 01/02/2003 63.39 12/31/2003 77.88 12/31/2003 77.18 71.67
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
62.36
01/02/2001 67.03 12/31/2001 62.79 64.60
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 67.34
1998 08/27/1998 63.31 03/11/1998 71.10 12/31/1998 65.30 67.49
1997 12/24/1997
12/29/1997
69.49
69.49
01/22/1997 74.90 12/31/1997 69.98 72.22
1996 02/20/1996 72.17 11/08/1996 75.22 12/31/1996 72.95 73.35
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
76.31
12/30/1994 71.32 73.23

Banner

Login

Newsflash

Quotes and Charts! https://www.mrci.com/ohlc/ohlc-all.php

MRCI is delighted to provide our new Futures SuperCharts via End-of-Day Commodity Quotes pages.

There are now links not only to the Nearby Weekly and Monthly charts for each particular commodity but also to the daily Superchart for each delivery month --- over which you can even hover!

No more toggling from one section to another.  Now MRCI's tables of daily OHLC, volume, and open interest data offer you immediate access to the relevant charts

--- all in one place and at your fingertips.  Try it --- you'll like it!

To learn more about the features of Futures SuperCharts, please visit: https://www.mrci.com/tutorials/supercharts.pdf