|
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.
|
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 - 3/2024 |
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 |
339($3385) |
260($2602) |
291($2913) |
280($2797) |
310($3095) |
294($2935) |
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 - 3/2024 |
Summary Item |
Monday Summary |
Tuesday Summary |
Wednesday Summary |
Thursday Summary |
Friday Summary |
Yearly Summary |
Range |
53($529) |
51($513) |
51($511) |
52($520) |
51($514) |
52($517) |
Closed Up |
1041(46%) |
1232(50%) |
1283(51%) |
1237(51%) |
1158(48%) |
5951(49%) |
Closed Dn |
1204(53%) |
1215(49%) |
1178(47%) |
1164(48%) |
1188(50%) |
5949(49%) |
Closed Uchg |
38(2%) |
37(1%) |
34(1%) |
42(2%) |
45(2%) |
196(2%) |
Gapped up |
259(11%) |
273(11%) |
282(11%) |
287(12%) |
276(12%) |
1377(11%) |
Un-filled Gaps Up |
117(45%) |
111(41%) |
116(41%) |
116(40%) |
107(39%) |
567(41%) |
Gapped Down |
421(18%) |
433(17%) |
377(15%) |
331(14%) |
326(14%) |
1888(16%) |
Un-filled Gaps Down |
156(37%) |
142(33%) |
129(34%) |
118(36%) |
99(30%) |
644(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 |
2768 |
1711 |
849 |
388 |
126 |
61 |
24 |
11 |
7 |
2 |
4 |
0 |
<0%- >-1% |
-1%- >-2% |
-2%- >-3% |
-3%- >-4% |
-4%- >-5% |
-5%- >-6% |
-6%- >-7% |
-7%- >-8% |
-8%- >-9% |
-9%- >-10% |
-10%- >-20% |
<-20% |
2718 |
1808 |
866 |
355 |
125 |
43 |
16 |
8 |
6 |
4 |
0 |
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.
|
ScenarioSM 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 |
|
|
|
|
|
|
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 |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
28 |
22 |
22 |
24 |
27 |
25 |
24 |
17 |
23 |
31 |
21 |
Penetrated Low |
|
25 |
20 |
17 |
20 |
24 |
18 |
20 |
12 |
21 |
22 |
11 |
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 |
|
17 |
18 |
22 |
17 |
18 |
16 |
20 |
19 |
17 |
12 |
10 |
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 |
|
7 |
9 |
13 |
9 |
11 |
8 |
12 |
15 |
10 |
5 |
4 |
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 |
|
|
|
|
|
|