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MRCI's Futures Highlight - EuroFX(CME)

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MRCI's Futures Highlight - EuroFX(CME)

MRCI hopes this profile of the CME EuroFX 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 EuroFX 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.

MRCI's Nearby Futures Range Detail for EuroFX(CME)
from 1/1999 - 2/2025
Calendar
Year		 Monday
Avg Rng		 Tuesday
Avg Rng		 Wednesday
Avg Rng		 Thursday
Avg Rng		 Friday
Avg Rng		 Yearly
Avg Rng
1999 0.83($1043) 0.76($955) 0.88($1101) 0.89($1113) 0.93($1162) 0.86($1075)
2000 0.80($1006) 0.94($1177) 0.90($1130) 1.00($1255) 1.10($1381) 0.95($1193)
2001 0.70($874) 0.87($1082) 0.84($1045) 0.93($1161) 0.86($1077) 0.84($1051)
2002 0.81($1018) 0.90($1125) 0.84($1045) 0.84($1044) 0.85($1057) 0.85($1059)
2003 1.20($1498) 1.10($1378) 1.12($1396) 1.22($1524) 1.18($1478) 1.16($1454)
2004 1.03($1291) 1.22($1520) 1.31($1635) 1.14($1421) 1.53($1907) 1.25($1559)
2005 1.09($1368) 1.11($1391) 1.13($1413) 1.10($1372) 1.21($1508) 1.13($1411)
2006 0.90($1130) 0.96($1203) 0.90($1131) 1.00($1248) 1.04($1294) 0.96($1203)
2007 0.74($929) 0.86($1077) 0.86($1079) 0.85($1069) 0.97($1217) 0.86($1077)
2008 2.00($2501) 2.03($2532) 1.83($2284) 2.00($2506) 1.78($2221) 1.93($2408)
2009 1.72($2151) 1.77($2219) 1.74($2174) 1.66($2076) 1.81($2265) 1.74($2177)
2010 1.47($1832) 1.69($2117) 1.47($1834) 1.56($1952) 1.56($1955) 1.55($1940)
2011 1.61($2016) 1.50($1873) 1.64($2053) 1.74($2179) 1.64($2055) 1.63($2035)
2012 1.00($1247) 1.07($1339) 1.05($1308) 1.15($1442) 1.23($1534) 1.10($1376)
2013 0.85($1060) 0.90($1122) 1.07($1335) 1.21($1515) 1.00($1250) 1.01($1257)
2014 0.66($824) 0.71($889) 0.77($965) 0.93($1159) 0.81($1015) 0.78($971)
2015 1.14($1423) 1.22($1526) 1.27($1583) 1.48($1850) 1.34($1674) 1.29($1613)
2016 0.81($1017) 0.83($1034) 0.93($1165) 1.03($1293) 1.11($1384) 0.94($1181)
2017 0.71($889) 0.83($1035) 0.81($1011) 0.84($1054) 0.82($1024) 0.80($1005)
2018 0.76($953) 0.89($1106) 0.87($1091) 0.95($1188) 0.89($1113) 0.87($1092)
2019 0.48($600) 0.51($634) 0.59($737) 0.63($793) 0.62($772) 0.57($708)
2020 0.85($1067) 0.88($1103) 0.85($1061) 0.96($1197) 0.83($1034) 0.87($1093)
2021 0.58($725) 0.63($786) 0.68($856) 0.63($791) 0.71($882) 0.65($809)
2022 0.97($1216) 1.03($1294) 1.05($1307) 1.21($1510) 1.02($1269) 1.06($1321)
2023 0.68($855) 0.78($979) 0.81($1017) 0.88($1105) 0.80($995) 0.79($993)
2024 0.58($729) 0.58($721) 0.70($870) 0.66($819) 0.67($836) 0.64($795)
2025 0.98($1219) 0.98($1227) 0.77($959) 0.81($1013) 0.80($1004) 0.86($1074)

What other characteristics do CME EuroFX 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.

MRCI's Nearby Futures Summary for EuroFX(CME)
from 1/1999 - 2/2025
Summary
Item		 Monday
Summary		 Tuesday
Summary		 Wednesday
Summary		 Thursday
Summary		 Friday
Summary		 Yearly
Summary
Range 0.96($1204) 1.02($1278) 1.04($1294) 1.09($1368) 1.08($1356) 1.04($1301)
Closed Up 618(51%) 657(49%) 684(51%) 668(50%) 664(50%) 3291(50%)
Closed Dn 591(48%) 682(50%) 658(49%) 650(49%) 649(49%) 3230(49%)
Closed Uchg 12(1%) 13(1%) 9(1%) 9(1%) 13(1%) 56(1%)
Gapped up 73(6%) 55(4%) 63(5%) 43(3%) 47(4%) 281(4%)
Un-filled Gaps Up 16(22%) 18(33%) 19(30%) 17(40%) 14(30%) 84(30%)
Gapped Down 96(8%) 68(5%) 54(4%) 66(5%) 44(3%) 328(5%)
Un-filled Gaps Down 29(30%) 25(37%) 20(37%) 21(32%) 16(36%) 111(34%)

Daily Percent Change Summary for EuroFX(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%
56 2999 272 18 2 0 0 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%
2935 274 20 1 0 0 0 0 0 0 0 0

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

EuroFX - May 31, 2024
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2023 10/03/2023 104.49 07/18/2023 112.75 12/29/2023 110.38 108.16
2022 09/28/2022 95.36 02/10/2022 114.95 12/30/2022 107.04 105.30
2021 11/24/2021 111.86 01/06/2021 123.49 12/31/2021 113.68 118.23
2020 03/23/2020 106.36 12/30/2020 123.10 12/31/2020 122.15 114.19
2019 10/01/2019 108.79 01/10/2019 115.68 12/31/2019 112.09 111.93
2018 11/12/2018 112.12 02/16/2018 125.53 12/31/2018 114.63 118.07
2017 01/03/2017 103.44 09/08/2017 120.90 12/29/2017 120.00 113.01
2016 12/20/2016 103.51 05/03/2016 116.16 12/30/2016 105.16 110.68
2015 03/13/2015 104.58 01/02/2015 121.07 12/31/2015 108.70 110.97
2014 12/31/2014 120.99 05/08/2014 139.92 12/31/2014 120.99 132.82
2013 04/04/2013 127.47 12/27/2013 138.95 12/31/2013 137.54 132.84
2012 07/24/2012 120.43 02/24/2012
02/29/2012		 134.87 12/31/2012 131.87 128.59
2011 12/29/2011 128.58 05/04/2011 149.40 12/30/2011 129.43 139.21
2010 06/07/2010 118.77 01/13/2010 145.80 12/31/2010 133.89 132.62
2009 03/04/2009 124.56 11/25/2009 151.44 12/31/2009 143.25 139.48
2008 10/27/2008
10/28/2008		 123.33 07/15/2008 160.38 12/31/2008 139.77 147.12
2007 01/12/2007 128.68 11/23/2007 149.67 12/31/2007 145.87 137.12
2006 01/02/2006 118.02 12/04/2006 133.67 12/29/2006 131.97 125.70
2005 11/15/2005 116.41 01/03/2005 135.81 12/30/2005 118.37 124.42
2004 04/26/2004 117.60 12/30/2004 136.66 12/31/2004 135.67 124.45
2003 01/02/2003 103.36 12/31/2003 126.49 12/31/2003 125.88 113.34
2002 02/01/2002 85.65 12/31/2002 105.05 12/31/2002 104.93 94.63
2001 07/06/2001 83.52 01/05/2001 95.92 12/31/2001 89.12 89.58
2000 10/26/2000 82.30 01/06/2000 104.13 12/29/2000 94.22 92.37
1999 12/06/1999 99.92 01/04/1999 118.90 12/31/1999 100.88 106.54

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US stock indices have still continued into new all-time highs, and some international stock markets have also been trending higher. Are there certain times of the year that have consistently provided incredible opportunities? But which way and when? MRCI has just released the 2024 Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russell 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.