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MRCI's Futures Highlight - Japanese Yen(CME)

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MRCI's Futures Highlight - Japanese Yen(CME)

MRCI hopes this profile of the CME Japanese Yen 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 Japanese Yen 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 Japanese Yen(CME)
from 1/1976 - 5/2022
Calendar
Year
Monday
Avg Rng
Tuesday
Avg Rng
Wednesday
Avg Rng
Thursday
Avg Rng
Friday
Avg Rng
Yearly
Avg Rng
1976 0.07($92) 0.05($58) 0.06($78) 0.05($63) 0.22($269) 0.08($97)
1977 0.16($201) 0.15($184) 0.17($209) 0.16($204) 0.14($174) 0.16($194)
1978 0.44($553) 0.37($468) 0.43($543) 0.41($509) 0.42($528) 0.42($520)
1979 0.40($494) 0.34($429) 0.36($445) 0.39($484) 0.42($519) 0.38($474)
1980 0.39($493) 0.45($560) 0.42($526) 0.36($445) 0.42($521) 0.41($510)
1981 0.51($643) 0.43($534) 0.38($475) 0.42($529) 0.39($482) 0.43($532)
1982 0.43($534) 0.38($481) 0.37($456) 0.41($512) 0.40($502) 0.40($496)
1983 0.35($438) 0.32($395) 0.29($357) 0.26($331) 0.30($374) 0.30($378)
1984 0.23($284) 0.25($309) 0.25($314) 0.23($284) 0.29($360) 0.25($310)
1985 0.32($396) 0.29($364) 0.27($341) 0.32($398) 0.30($372) 0.30($374)
1986 0.56($702) 0.49($617) 0.49($615) 0.50($628) 0.58($729) 0.53($657)
1987 0.57($709) 0.63($783) 0.54($669) 0.61($765) 0.59($739) 0.59($733)
1988 0.51($634) 0.57($712) 0.64($800) 0.54($673) 0.63($787) 0.58($723)
1989 0.63($793) 0.60($748) 0.60($749) 0.63($783) 0.69($856) 0.63($785)
1990 0.61($757) 0.61($762) 0.59($736) 0.65($815) 0.63($786) 0.62($771)
1991 0.58($729) 0.60($753) 0.56($704) 0.63($791) 0.59($737) 0.59($743)
1992 0.54($677) 0.53($663) 0.55($684) 0.55($684) 0.60($756) 0.55($692)
1993 0.68($850) 0.78($971) 0.81($1010) 0.83($1038) 0.83($1042) 0.79($984)
1994 0.81($1008) 0.76($951) 0.78($978) 0.79($992) 0.87($1090) 0.80($1004)
1995 1.02($1276) 0.95($1194) 1.16($1453) 1.31($1638) 1.18($1481) 1.13($1412)
1996 0.52($652) 0.56($700) 0.56($703) 0.57($715) 0.60($748) 0.56($704)
1997 0.61($759) 0.75($943) 0.74($922) 0.77($966) 0.89($1117) 0.75($943)
1998 0.79($992) 0.95($1188) 1.10($1373) 1.08($1348) 0.98($1225) 0.98($1229)
1999 0.99($1239) 0.93($1161) 0.88($1106) 0.87($1087) 0.83($1042) 0.90($1125)
2000 0.75($939) 0.67($841) 0.74($931) 0.69($862) 0.86($1074) 0.74($929)
2001 0.58($726) 0.59($740) 0.67($837) 0.74($922) 0.68($852) 0.65($817)
2002 0.78($975) 0.78($978) 0.74($924) 0.79($988) 0.85($1063) 0.79($986)
2003 0.83($1036) 0.82($1022) 0.76($953) 0.72($897) 0.71($882) 0.77($957)
2004 0.81($1010) 0.89($1112) 0.98($1220) 0.87($1088) 1.00($1249) 0.91($1138)
2005 0.78($971) 0.81($1009) 0.81($1007) 0.77($964) 0.77($968) 0.79($984)
2006 0.72($904) 0.75($941) 0.77($963) 0.68($850) 0.86($1073) 0.76($947)
2007 0.68($854) 0.73($916) 0.79($989) 0.82($1024) 0.83($1033) 0.77($966)
2008 1.57($1966) 1.48($1851) 1.44($1802) 1.49($1859) 1.61($2010) 1.52($1896)
2009 1.33($1660) 1.35($1693) 1.53($1909) 1.48($1854) 1.65($2063) 1.47($1836)
2010 0.99($1238) 1.23($1536) 1.18($1478) 1.36($1698) 1.22($1529) 1.20($1500)
2011 1.14($1426) 1.04($1300) 1.01($1264) 1.20($1499) 1.19($1482) 1.11($1393)
2012 0.86($1076) 0.86($1078) 0.90($1131) 0.93($1163) 1.02($1273) 0.92($1146)
2013 1.03($1287) 1.13($1408) 1.10($1373) 1.40($1747) 1.24($1551) 1.18($1474)
2014 0.62($769) 0.66($830) 0.71($893) 0.66($830) 0.72($904) 0.68($846)
2015 0.61($764) 0.63($787) 0.68($853) 0.65($815) 0.73($917) 0.66($827)
2016 0.91($1132) 1.03($1282) 1.08($1349) 1.08($1352) 1.22($1525) 1.07($1332)
2017 0.65($817) 0.76($945) 0.80($1001) 0.77($959) 0.75($932) 0.75($933)
2018 0.54($677) 0.61($766) 0.64($798) 0.64($805) 0.57($711) 0.60($752)
2019 0.46($573) 0.46($579) 0.49($614) 0.61($760) 0.52($644) 0.51($634)
2020 0.75($939) 0.64($802) 0.61($760) 0.63($785) 0.70($872) 0.66($829)
2021 0.48($597) 0.49($608) 0.51($631) 0.47($583) 0.53($665) 0.49($617)
2022 0.66($824) 0.65($819) 0.68($849) 0.74($920) 0.66($825) 0.68($848)

What other characteristics do CME Japanese Yen 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 Japanese Yen(CME)
from 1/1976 - 5/2022
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 0.67($844) 0.69($863) 0.71($885) 0.73($908) 0.75($937) 0.71($888)
Closed Up 1067(49%) 1152(49%) 1110(47%) 1103(48%) 1076(47%) 5508(48%)
Closed Dn 1050(49%) 1151(49%) 1197(51%) 1172(51%) 1188(52%) 5758(50%)
Closed Uchg 39(2%) 43(2%) 44(2%) 31(1%) 28(1%) 185(2%)
Gapped up 373(17%) 394(17%) 342(15%) 325(14%) 255(11%) 1689(15%)
Un-filled Gaps Up 203(54%) 198(50%) 190(56%) 157(48%) 130(51%) 878(52%)
Gapped Down 400(19%) 381(16%) 371(16%) 335(15%) 392(17%) 1879(16%)
Un-filled Gaps Down 235(59%) 195(51%) 182(49%) 159(47%) 184(47%) 955(51%)

Daily Percent Change Summary for Japanese Yen(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%
185 4829 584 74 14 3 3 0 0 1 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%
5138 562 48 8 2 0 0 0 0 0 0 0

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

Japanese Yen: NY 3:30PM - Apr 29, 2022
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2021 11/24/2021 86.57 01/05/2021
01/06/2021
97.47 12/31/2021 86.88 91.08
2020 02/20/2020 89.11 03/09/2020 98.76 12/31/2020 96.91 93.72
2019 04/24/2019 88.98 08/26/2019 95.73 12/31/2019 92.08 91.75
2018 10/04/2018 87.31 03/26/2018 95.61 12/31/2018 91.25 90.57
2017 01/03/2017 84.35 09/08/2017 93.17 12/29/2017 88.74 89.19
2016 01/29/2016 82.17 06/24/2016 100.88 12/30/2016 85.48 92.20
2015 06/05/2015 79.43 01/16/2015 86.35 12/31/2015 83.20 82.64
2014 12/08/2014 82.04 02/04/2014 99.24 12/31/2014 83.49 94.68
2013 12/30/2013 94.87 01/02/2013 115.53 12/31/2013 94.94 102.55
2012 12/31/2012 115.23 02/01/2012 131.53 12/31/2012 115.23 125.33
2011 04/06/2011 116.93 10/31/2011 132.78 12/30/2011 129.95 125.60
2010 05/04/2010
05/05/2010
105.27 11/01/2010 124.67 12/31/2010 123.15 114.28
2009 04/06/2009 98.57 11/27/2009 117.88 12/31/2009 107.51 106.97
2008 01/02/2008 89.26 12/17/2008 114.76 12/31/2008 110.31 97.05
2007 06/22/2007 80.55 11/26/2007 93.27 12/31/2007 89.53 85.02
2006 10/13/2006 83.42 05/17/2006 91.76 12/29/2006 84.01 85.99
2005 12/05/2005 82.37 01/17/2005 98.34 12/30/2005 84.77 90.92
2004 05/14/2004 87.04 12/02/2004 98.20 12/31/2004 97.63 92.55
2003 03/21/2003 82.05 12/09/2003 93.69 12/31/2003 93.13 86.47
2002 01/31/2002 74.00 07/16/2002 86.55 12/31/2002 84.18 80.05
2001 12/27/2001 75.71 01/04/2001 88.05 12/31/2001 76.01 82.30
2000 12/29/2000 86.93 01/04/2000 98.48 12/29/2000 87.41 92.74
1999 05/19/1999 80.25 12/23/1999 98.62 12/31/1999 97.82 88.32
1998 08/11/1998 67.84 12/31/1998 88.63 12/31/1998 88.51 76.85
1997 12/15/1997 76.09 06/11/1997 90.02 12/31/1997 76.65 82.67
1996 12/31/1996 86.02 01/02/1996 96.74 12/31/1996 86.17 91.91
1995 09/19/1995 95.59 04/19/1995 125.37 12/29/1995 96.64 106.94
1994 01/05/1994 88.00 11/02/1994 104.01 12/30/1994 100.25 98.03
1993 01/13/1993 79.23 08/17/1993 99.61 12/31/1993 89.38 90.32
1992 04/02/1992
04/27/1992
74.10 09/30/1992 84.28 12/31/1992 80.08 79.01

The table below represents Scenario Analysis for the December Japanese Yen(CME) futures contracts.

ScenarioSM Study for September Japanese Yen(CME) as of Apr 01, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 36 38 40 44 45 45 45 45 45 45
Closed Higher   14 15 17 16 23 19 23 19 21 21 23
Exceeded High   13 12 12 11 18 15 17 17 13 16 14
Scenario Percentage   93% 80% 71% 69% 78% 79% 74% 89% 62% 76% 61%
Avg Max Increase   3.93% 4.35% 3.62% 4.51% 6.06% 4.04% 4.13% 4.18% 4.56% 3.20% 2.56%
Max Increase   13.76% 8.75% 13.24% 10.42% 19.60% 10.41% 10.48% 15.22% 10.40% 7.20% 8.13%
Avg Days To Max Increase   19 20 12 17 17 16 14 16 18 12 9
Avg Max Decline   -1.20% -0.73% -0.69% -1.36% -0.77% -0.83% -1.00% -1.23% -1.24% -1.42% -0.48%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -4.26% -4.06% -2.72% -3.97% -2.67%
Avg Days to Max Decline   12 7 13 13 7 6 7 6 13 6 3
2022 Contract Condition     Yes   Yes Yes            
Action     Yes   No 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 36 38 40 44 45 45 45 45 45 45
Closed Lower   19 21 21 24 21 26 22 26 24 24 22
Penetrated Low   18 19 17 21 18 21 18 20 18 18 12
Scenario Percentage   95% 90% 81% 88% 86% 81% 82% 77% 75% 75% 55%
Avg Max Decline   4.34% 4.03% 3.58% 3.85% 4.77% 3.58% 4.33% 4.08% 3.95% 2.83% 2.08%
Max Decline   11.44% 10.06% 8.78% 9.65% 10.51% 9.36% 13.18% 8.68% 15.17% 15.70% 6.64%
Avg Days To Max Decline   20 14 14 21 15 15 16 16 15 10 10
Avg Max Increase   -1.10% -0.72% -0.27% -1.25% -0.62% -0.95% -0.43% -0.89% -0.81% -1.10% -0.51%
Max Increase   -4.18% -2.95% -1.77% -4.05% -4.35% -3.00% -1.94% -2.12% -2.64% -3.88% -2.28%
Avg Days to Max Increase   10 10 4 10 6 10 3 7 6 5 4
2022 Contract Condition   Yes   Yes     Yes Yes        
Action   Yes   Yes     Not Yet          
High 91.91 90.48 89.02 89.18 88.53 87.99 87.73 82.56        
Low 89.62 87.71 87.04 87.08 86.31 86.49 80.50 82.09        
Close/Last 90.09 88.19 88.82 87.29 87.42 87.58 82.77 82.09        

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