MRCI's Futures Highlight

MRCI's Futures Highlight - Cocoa(ICE)

MRCI's Futures Highlight - Cocoa(ICE)

MRCI hopes this profile of the ICE Cocoa 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 barchart

The table below offers a statistical analysis of historical daily trading in the ICE Cocoa 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 Cocoa(ICE) from 1/1976 - 5/2024
Calendar Year	Monday Avg Rng	Tuesday Avg Rng	Wednesday Avg Rng	Thursday Avg Rng	Friday Avg Rng	Yearly Avg Rng
1976	62($618)	61($605)	58($578)	60($599)	55($545)	59($589)
1977	109($1089)	107($1068)	105($1048)	100($1001)	108($1083)	106($1057)
1978	80($803)	85($846)	82($823)	84($838)	68($677)	80($797)
1979	68($683)	68($678)	70($704)	65($650)	62($617)	67($666)
1980	64($636)	57($570)	54($537)	58($581)	59($589)	58($582)
1981	47($470)	50($500)	49($494)	53($534)	51($512)	50($502)
1982	43($430)	41($409)	42($421)	40($396)	45($450)	42($421)
1983	61($606)	59($586)	59($590)	57($573)	59($594)	59($590)
1984	60($602)	64($640)	59($593)	64($641)	63($629)	62($621)
1985	43($430)	41($406)	38($385)	38($378)	37($369)	39($393)
1986	40($404)	37($365)	36($364)	42($416)	36($364)	38($382)
1987	32($316)	31($309)	29($291)	27($268)	28($283)	29($293)
1988	32($318)	37($367)	36($355)	37($367)	37($368)	36($356)
1989	31($310)	35($346)	33($325)	32($323)	34($335)	33($328)
1990	39($387)	41($407)	35($355)	36($362)	40($401)	38($382)
1991	27($266)	25($255)	27($273)	27($270)	30($302)	27($273)
1992	25($245)	27($268)	28($279)	28($275)	26($262)	27($266)
1993	27($272)	23($234)	25($253)	26($255)	27($269)	26($256)
1994	37($373)	32($317)	35($345)	30($299)	35($345)	34($335)
1995	24($236)	25($254)	23($228)	24($242)	26($259)	24($244)
1996	22($223)	23($226)	24($240)	22($223)	22($217)	23($226)
1997	32($319)	34($343)	28($278)	35($351)	30($300)	32($318)
1998	29($289)	26($262)	27($266)	28($275)	25($251)	27($269)
1999	30($296)	33($325)	29($291)	33($330)	29($285)	31($306)
2000	22($224)	19($193)	20($202)	24($238)	22($224)	22($216)
2001	32($323)	33($329)	35($345)	36($360)	35($347)	34($341)
2002	47($472)	42($419)	44($436)	40($402)	43($434)	43($432)
2003	55($554)	57($571)	60($598)	66($659)	56($556)	59($588)
2004	41($406)	43($433)	49($492)	45($446)	46($459)	45($448)
2005	36($360)	26($264)	33($334)	33($331)	35($349)	33($327)
2006	32($321)	30($303)	28($279)	29($292)	28($283)	29($295)
2007	44($435)	46($456)	42($423)	46($464)	42($417)	44($439)
2008	101($1011)	85($853)	93($930)	104($1039)	82($825)	93($930)
2009	92($917)	80($800)	96($963)	89($895)	85($855)	89($886)
2010	74($736)	85($848)	73($734)	74($744)	85($851)	78($783)
2011	84($836)	91($911)	88($883)	85($846)	83($827)	86($862)
2012	76($760)	79($791)	71($705)	69($692)	65($645)	72($718)
2013	49($486)	46($455)	44($443)	49($494)	44($437)	46($463)
2014	47($468)	46($459)	50($495)	50($495)	50($504)	48($484)
2015	51($511)	53($531)	55($552)	51($513)	54($544)	53($530)
2016	74($737)	57($570)	61($614)	66($658)	71($705)	65($655)
2017	61($611)	58($578)	53($527)	60($598)	56($563)	57($575)
2018	83($828)	72($718)	76($756)	72($715)	73($733)	75($749)
2019	59($590)	56($559)	55($547)	58($583)	59($586)	57($573)
2020	72($716)	71($708)	63($627)	68($681)	71($707)	69($687)
2021	61($607)	57($572)	55($546)	59($590)	59($587)	58($580)
2022	59($593)	52($522)	56($556)	59($593)	57($570)	57($566)
2023	73($734)	71($708)	61($614)	62($618)	63($630)	66($659)
2024	606($6058)	525($5249)	475($4750)	474($4736)	452($4515)	503($5029)

What other characteristics do ICE Cocoa 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 Cocoa(ICE) from 1/1976 - 5/2024
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	56($560)	54($544)	54($536)	55($546)	54($536)	54($544)
Closed Up	1044(46%)	1238(50%)	1290(52%)	1240(51%)	1165(49%)	5977(49%)
Closed Dn	1209(53%)	1218(49%)	1180(47%)	1170(48%)	1190(50%)	5967(49%)
Closed Uchg	38(2%)	37(1%)	34(1%)	42(2%)	45(2%)	196(2%)
Gapped up	259(11%)	273(11%)	283(11%)	288(12%)	278(12%)	1381(11%)
Un-filled Gaps Up	117(45%)	111(41%)	116(41%)	116(40%)	107(38%)	567(41%)
Gapped Down	422(18%)	434(17%)	377(15%)	333(14%)	326(14%)	1892(16%)
Un-filled Gaps Down	157(37%)	142(33%)	129(34%)	118(35%)	99(30%)	645(34%)

Daily Percent Change Summary for Cocoa(ICE)
UNCH	>0%- <1%	+1%- <2%	+2%- <3%	+3%- <4%	+4%- <5%	+5%- <6%	+6%- <7%	+7%- <8%	+8%- <9%	+9%- <10%	+10%- <20%	>+20%
196	2772	1713	855	393	126	64	25	14	7	3	5	0
	<0%- >-1%	-1%- >-2%	-2%- >-3%	-3%- >-4%	-4%- >-5%	-5%- >-6%	-6%- >-7%	-7%- >-8%	-8%- >-9%	-9%- >-10%	-10%- >-20%	<-20%
	2722	1812	866	356	126	45	18	8	7	4	3	0

The table below represents yearly low, high, last yield in the cash market for the ICE Cocoa futures contracts. Quotes are from daily cash market price activity.

Cocoa: Metric - Jun 08, 2020
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
2019	08/16/2019	2113	11/15/2019	2778	12/31/2019	2538	2386
2018	01/05/2018	2102	04/25/2018	3165	12/31/2018	2429	2627
2017	12/15/2017 12/18/2017 12/19/2017 12/20/2017 12/21/2017 12/22/2017	2112 2112 2112 2112 2112 2112	01/03/2017	2678	12/29/2017	2140	2295
2016	12/12/2016 12/13/2016 12/14/2016 12/15/2016	2495 2495 2495 2495	04/29/2016 05/02/2016 05/03/2016 05/04/2016 05/05/2016	3603 3603 3603 3603 3603	12/30/2016	2638	3221
2015	01/30/2015 02/02/2015 02/03/2015 02/04/2015 02/05/2015	3018 3018 3018 3018 3018	12/07/2015 12/08/2015 12/09/2015 12/10/2015	3715 3715 3715 3715	12/31/2015	3535	3398
2014	01/17/2014	2979	09/26/2014 09/29/2014 09/30/2014 10/01/2014 10/02/2014	3679 3679 3679 3679 3679	12/31/2014	3251	3353
2013	03/15/2013 03/18/2013 03/19/2013 03/20/2013 03/21/2013	2390 2390 2390 2390 2390	12/27/2013	3151	12/31/2013	3090	2673
2012	01/13/2012	2234	09/14/2012	3053	12/31/2012	2539	2662
2011	12/28/2011	2275	03/04/2011 03/07/2011 03/08/2011 03/09/2011 03/10/2011	4257 4257 4257 4257 4257	12/30/2011	2359	3345
2010	09/10/2010 09/13/2010 09/14/2010 09/15/2010 09/16/2010	3197 3197 3197 3197 3197	01/21/2010	3954	12/31/2010	3485	3482
2009	03/02/2009	2560	12/16/2009	3931	12/31/2009	3764	3157
2008	11/12/2008	2254	07/01/2008	3593	12/31/2008	3060	2868
2007	01/18/2007	1826	12/19/2007	2447	12/31/2007	2414	2188
2006	02/27/2006	1677	07/11/2006	2017	12/29/2006	1898	1782
2005	09/26/2005	1535	03/18/2005	2074	12/30/2005	1714	1695
2004	05/17/2004	1526	11/09/2004	2044	12/31/2004	1770	1730
2003	10/17/2003	1614	01/31/2003	2686	12/31/2003	1763	2003
2002	01/18/2002	1524	10/10/2002	2711	12/31/2002	2336	2012
2001	01/03/2001	925	11/29/2001	1596	12/31/2001	1565	1263
2000	12/11/2000	876	06/22/2000	1106	12/29/2000	930	989
1999	12/22/1999	988	01/15/1999	1616	12/30/1999	1017	1239
1998	12/30/1998	1583	05/14/1998	1949	12/30/1998	1583	1769
1997	02/13/1997	1412	12/15/1997	1930	12/31/1997	1802	1694
1996	03/14/1996	1393	06/18/1996	1623	12/31/1996	1534	1533
1995	12/29/1995	1419	02/24/1995	1751	12/29/1995	1419	1579
1994	02/02/1994	1403	07/15/1994	1795	12/30/1994	1582	1578

The table below represents Scenario Analysis for the July Cocoa(ICE) futures contracts.

Scenario^SM Study for December Cocoa(ICE) as of Jun 26, 2023
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		16	23	23	21	18	20	21	26	22	14	24
Exceeded High		15	16	18	15	15	17	18	14	15	11	12
Scenario Percentage		94%	70%	78%	71%	83%	85%	86%	54%	68%	79%	50%
Avg Max Increase		10.70%	10.40%	9.28%	9.07%	10.75%	8.66%	10.81%	9.38%	9.28%	8.54%	7.01%
Max Increase		29.56%	28.24%	27.39%	21.31%	20.34%	23.43%	22.98%	20.13%	28.13%	24.57%	24.48%
Avg Days To Max Increase		16	18	17	19	16	15	14	13	15	13	8
Avg Max Decline		-1.96%	-2.42%	-3.55%	-3.09%	-4.22%	-3.34%	-4.39%	-2.81%	-3.26%	-2.74%	-0.79%
Max Decline		-9.11%	-6.90%	-6.94%	-7.04%	-11.33%	-13.39%	-13.88%	-6.74%	-9.29%	-7.83%	-8.68%
Avg Days to Max Decline		5	10	10	10	13	9	13	5	9	6	3
2023 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.

Tested Month

Dec

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Tested Years

Closed Lower

Penetrated Low

Scenario Percentage

89%

91%

77%

83%

89%

72%

83%

71%

91%

71%

52%

Avg Max Decline

7.33%

9.44%

11.61%

9.94%

7.45%

8.15%

8.58%

8.06%

9.47%

6.53%

5.45%

Max Decline

16.73%

24.40%

27.24%

25.77%

17.36%

20.77%

25.69%

16.80%

27.01%

20.91%

12.21%

Avg Days To Max Decline

Avg Max Increase

-2.22%

-3.31%

-2.84%

-2.67%

-3.43%

-3.61%

-3.27%

-5.70%

-2.08%

-2.33%

-2.59%

Max Increase

-8.89%

-22.72%

-11.66%

-6.72%

-14.59%

-8.79%

-9.63%

-14.93%

-6.10%

-9.98%

-6.67%

Avg Days to Max Increase

2023 Contract Condition

Action

High

2616

2665

2749

2853

2956

3071

3277

Low

2458

2508

2578

2602

2794

2866

3002

Close/Last

2556

2617

2742

2841

2927

3010

3217

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