MRCI's Futures Highlight - Live Cattle(CME)

MRCI's Futures Highlight - Live Cattle(CME)

MRCI hopes this profile of the CME Live Cattle 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 CME Live Cattle 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 Live Cattle(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	0.890($356)	0.865($346)	0.903($361)	0.816($326)	0.750($300)	0.845($338)
1977	0.656($262)	0.594($238)	0.650($260)	0.603($241)	0.551($221)	0.610($244)
1978	1.064($426)	1.040($416)	1.042($417)	1.133($453)	1.017($407)	1.059($424)
1979	1.319($527)	1.370($548)	1.507($603)	1.360($544)	1.367($547)	1.385($554)
1980	1.274($510)	1.125($450)	1.111($444)	1.071($428)	1.114($446)	1.138($455)
1981	0.987($395)	1.012($405)	1.010($404)	0.915($366)	0.882($353)	0.962($385)
1982	0.946($379)	0.907($363)	0.980($392)	0.939($376)	0.906($362)	0.936($374)
1983	0.864($346)	0.862($345)	0.853($341)	0.844($337)	0.764($306)	0.837($335)
1984	0.713($285)	0.704($282)	0.670($268)	0.788($315)	0.695($278)	0.714($286)
1985	0.959($383)	1.005($402)	0.871($348)	0.850($340)	0.837($335)	0.904($362)
1986	1.047($419)	1.170($468)	1.067($427)	0.961($384)	0.884($353)	1.027($411)
1987	0.974($390)	0.916($366)	0.896($358)	0.931($372)	0.935($374)	0.930($372)
1988	1.077($431)	0.871($348)	0.926($370)	0.916($366)	0.861($345)	0.928($371)
1989	0.740($296)	0.744($298)	0.659($264)	0.632($253)	0.648($259)	0.684($274)
1990	0.626($250)	0.689($275)	0.667($267)	0.644($257)	0.597($239)	0.645($258)
1991	0.711($284)	0.669($268)	0.699($279)	0.773($309)	0.652($261)	0.700($280)
1992	0.703($281)	0.738($295)	0.676($270)	0.534($213)	0.522($209)	0.635($254)
1993	0.776($310)	0.722($289)	0.663($265)	0.641($256)	0.657($263)	0.691($276)
1994	0.921($368)	0.865($346)	0.793($317)	0.727($291)	0.713($285)	0.802($321)
1995	0.827($331)	0.892($357)	0.804($322)	0.801($320)	0.725($290)	0.810($324)
1996	0.913($365)	0.791($316)	0.895($358)	0.837($335)	0.765($306)	0.839($336)
1997	0.703($281)	0.752($301)	0.730($292)	0.701($280)	0.682($273)	0.714($286)
1998	0.929($372)	0.949($380)	0.938($375)	0.927($371)	0.861($344)	0.922($369)
1999	0.817($327)	0.730($292)	0.794($317)	0.809($324)	0.736($294)	0.777($311)
2000	0.535($214)	0.600($240)	0.651($260)	0.604($242)	0.575($230)	0.594($238)
2001	0.817($327)	0.862($345)	0.917($367)	0.862($345)	0.843($337)	0.861($344)
2002	0.885($354)	0.812($325)	0.809($324)	0.886($354)	0.839($335)	0.846($338)
2003	1.266($506)	1.321($528)	1.469($588)	1.144($458)	1.179($472)	1.278($511)
2004	1.319($528)	1.431($573)	1.624($650)	1.527($611)	1.329($532)	1.450($580)
2005	0.996($398)	0.918($367)	1.035($414)	1.022($409)	1.064($425)	1.007($403)
2006	1.177($471)	0.913($365)	1.066($427)	1.192($477)	1.118($447)	1.092($437)
2007	1.014($405)	1.040($416)	1.097($439)	1.230($492)	1.144($458)	1.106($443)
2008	1.495($598)	1.416($567)	1.545($618)	1.702($681)	1.543($617)	1.540($616)
2009	1.103($441)	1.154($462)	1.195($478)	1.196($478)	1.078($431)	1.146($459)
2010	1.116($447)	1.259($503)	1.183($473)	1.140($456)	1.134($454)	1.168($467)
2011	1.689($675)	1.684($674)	1.682($673)	1.946($778)	1.574($630)	1.715($686)
2012	1.220($488)	1.342($537)	1.398($559)	1.470($588)	1.313($525)	1.350($540)
2013	1.037($415)	1.065($426)	1.203($481)	1.189($476)	1.144($458)	1.128($451)
2014	1.711($685)	1.757($703)	2.013($805)	2.057($823)	1.924($770)	1.894($758)
2015	2.326($930)	2.301($920)	2.300($920)	2.349($940)	2.403($961)	2.335($934)
2016	2.222($889)	2.000($800)	1.936($774)	2.057($823)	2.113($845)	2.062($825)
2017	1.914($765)	2.133($853)	2.004($801)	2.039($816)	1.820($728)	1.983($793)
2018	1.793($717)	1.576($630)	1.650($660)	1.813($725)	1.764($706)	1.718($687)
2019	1.576($630)	1.426($570)	1.376($551)	1.353($541)	1.591($637)	1.463($585)
2020	2.288($915)	1.999($800)	2.003($801)	1.920($768)	2.055($822)	2.049($820)
2021	1.610($644)	1.616($647)	1.477($591)	1.515($606)	1.375($550)	1.518($607)
2022	1.755($702)	1.357($543)	1.565($626)	1.283($513)	1.388($555)	1.463($585)
2023	1.879($752)	1.831($732)	1.946($778)	1.947($779)	1.809($724)	1.883($753)
2024	2.131($852)	2.274($910)	1.567($627)	2.440($976)	1.988($795)	2.079($832)

What other characteristics do CME Live Cattle 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 Live Cattle(CME) from 1/1976 - 3/2024
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	1.171($469)	1.148($459)	1.169($468)	1.166($467)	1.114($446)	1.154($461)
Closed Up	1070(47%)	1205(49%)	1207(48%)	1208(49%)	1312(54%)	6002(50%)
Closed Dn	1162(51%)	1220(49%)	1230(49%)	1191(49%)	1051(43%)	5854(48%)
Closed Uchg	56(2%)	56(2%)	52(2%)	42(2%)	55(2%)	261(2%)
Gapped up	391(17%)	254(10%)	299(12%)	269(11%)	236(10%)	1449(12%)
Un-filled Gaps Up	132(34%)	64(25%)	106(35%)	98(36%)	89(38%)	489(34%)
Gapped Down	344(15%)	253(10%)	284(11%)	217(9%)	220(9%)	1318(11%)
Un-filled Gaps Down	138(40%)	83(33%)	75(26%)	50(23%)	59(27%)	405(31%)

Daily Percent Change Summary for Live Cattle(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%
261	4358	1265	344	29	4	2	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%
	4318	1145	352	30	7	1	1	0	0	0	0	0

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

The table below represents Scenario Analysis for the December Live Cattle(CME) futures contracts.

Scenario^SM Study for April Live Cattle(CME) as of Oct 30, 2023
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		23	27	32	19	23	27	31	29	28	28	23
Exceeded High		20	26	24	16	22	20	26	26	24	22	18
Scenario Percentage		87%	96%	75%	84%	96%	74%	84%	90%	86%	79%	78%
Avg Max Increase		4.25%	3.70%	3.09%	3.17%	3.72%	4.00%	4.90%	4.85%	6.28%	6.14%	4.63%
Max Increase		11.22%	7.69%	5.41%	10.35%	8.55%	12.19%	12.39%	15.44%	17.14%	17.78%	15.80%
Avg Days To Max Increase		22	20	17	17	18	20	18	20	19	13	13
Avg Max Decline		-1.44%	-0.96%	-1.46%	-1.47%	-2.06%	-1.25%	-1.98%	-1.57%	-1.58%	-1.47%	-0.87%
Max Decline		-3.66%	-3.41%	-7.69%	-3.52%	-8.67%	-3.62%	-6.20%	-4.00%	-4.87%	-4.16%	-2.31%
Avg Days to Max Decline		10	7	8	18	12	10	11	13	10	8	2
2024 Contract Condition		Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Not Yet

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

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Tested Years

Closed Lower

Penetrated Low

Scenario Percentage

55%

67%

83%

69%

71%

61%

62%

50%

82%

71%

73%

Avg Max Decline

4.72%

4.23%

5.34%

4.78%

4.40%

3.98%

6.23%

7.05%

7.41%

9.24%

5.56%

Max Decline

12.45%

8.72%

10.48%

17.53%

15.87%

13.03%

14.30%

10.53%

23.89%

24.29%

20.02%

Avg Days To Max Decline

Avg Max Increase

-1.22%

-1.46%

-1.70%

-1.24%

-2.23%

-1.51%

-0.52%

-2.02%

-2.11%

-1.86%

-1.06%

Max Increase

-4.45%

-4.22%

-4.31%

-4.40%

-8.96%

-3.35%

-1.60%

-4.32%

-5.34%

-4.89%

-3.09%

Avg Days to Max Increase

2024 Contract Condition

Yes

Action

High

179.050

182.885

188.430

193.330

193.900

199.830

197.830

Low

175.000

174.950

182.280

186.580

188.850

191.530

182.080

Close/Last

178.700

182.530

188.385

189.735

192.680

195.500

185.735

Moore Research Center, Inc.

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