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| MRCI's Futures Highlight - Canadian Dollar(CME) |
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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.
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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)
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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) |
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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)
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MRCI's Nearby Futures Summary for Canadian Dollar(CME)
from 1/1976 - 3/2024 |
Summary
Item |
Monday
Summary |
Tuesday
Summary |
Wednesday
Summary |
Thursday
Summary |
Friday
Summary |
Yearly
Summary |
| Range |
0.46($461) |
0.49($489) |
0.50($502) |
0.49($493) |
0.51($514) |
0.49($492) |
| Closed Up |
1080(48%) |
1190(49%) |
1184(48%) |
1173(49%) |
1153(48%) |
5780(49%) |
| Closed Dn |
1101(49%) |
1193(49%) |
1203(49%) |
1175(49%) |
1164(49%) |
5836(49%) |
| Closed Uchg |
56(3%) |
60(2%) |
61(2%) |
53(2%) |
71(3%) |
301(3%) |
| Gapped up |
266(12%) |
301(12%) |
302(12%) |
293(12%) |
277(12%) |
1439(12%) |
| Un-filled Gaps Up |
115(43%) |
116(39%) |
106(35%) |
111(38%) |
79(29%) |
527(37%) |
| Gapped Down |
266(12%) |
369(15%) |
298(12%) |
318(13%) |
257(11%) |
1508(13%) |
| 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% |
| 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 |
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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.
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| 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 |
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