MRCI's Futures Highlight

MRCI's Futures Highlight - EuroFX(CME)

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 - 8/2023
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	0.71($886)	0.78($975)	0.88($1103)	0.90($1127)	0.83($1036)	0.82($1030)

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 - 8/2023
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	0.98($1229)	1.04($1305)	1.05($1319)	1.12($1397)	1.11($1386)	1.06($1328)
Closed Up	583(51%)	625(49%)	650(51%)	631(50%)	623(50%)	3112(50%)
Closed Dn	558(48%)	636(50%)	618(48%)	612(49%)	612(49%)	3036(49%)
Closed Uchg	11(1%)	13(1%)	8(1%)	9(1%)	13(1%)	54(1%)
Gapped up	72(6%)	54(4%)	62(5%)	42(3%)	47(4%)	277(4%)
Un-filled Gaps Up	16(22%)	18(33%)	19(31%)	17(40%)	14(30%)	84(30%)
Gapped Down	93(8%)	68(5%)	54(4%)	66(5%)	43(3%)	324(5%)
Un-filled Gaps Down	28(30%)	25(37%)	20(37%)	21(32%)	16(37%)	110(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%
54	2824	268	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%
	2745	270	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 - Oct 18, 2021
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
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
1998	04/02/1998	105.37	10/08/1998	123.20	12/31/1998	117.17	111.40
1997	08/06/1997	103.44	01/02/1997	127.12	12/31/1997	108.74	112.91
1996	12/03/1996	124.31	01/02/1996	136.69	12/31/1996	126.89	130.03
1995	01/09/1995	124.96	03/08/1995	145.49	12/29/1995	136.20	136.74
1994	02/08/1994	110.67	10/25/1994	131.60	12/30/1994	126.24	120.98
1993	08/02/1993	111.89	04/26/1993	124.93	12/31/1993	112.45	118.35
1992	03/20/1992	116.14	09/02/1992	141.01	12/31/1992	120.73	125.58
1991	07/05/1991	106.17	02/11/1991	135.59	12/31/1991	128.85	118.29

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