|
 |
| 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.
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|
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 - 3/2024 |
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 |
0.73($913) |
0.83($1043) |
0.77($958) |
0.87($1089) |
0.84($1056) |
0.81($1014) |
| 2023 |
0.62($780) |
0.68($848) |
0.70($878) |
0.73($916) |
0.80($999) |
0.71($887) |
| 2024 |
0.33($406) |
0.60($754) |
0.52($648) |
0.56($694) |
0.54($671) |
0.52($645) |
|
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 - 3/2024 |
Summary
Item |
Monday
Summary |
Tuesday
Summary |
Wednesday
Summary |
Thursday
Summary |
Friday
Summary |
Yearly
Summary |
| Range |
0.67($842) |
0.69($867) |
0.71($885) |
0.73($911) |
0.75($941) |
0.71($890) |
| Closed Up |
1096(49%) |
1193(49%) |
1150(47%) |
1150(48%) |
1116(47%) |
5705(48%) |
| Closed Dn |
1103(49%) |
1206(49%) |
1254(51%) |
1219(51%) |
1242(52%) |
6024(51%) |
| Closed Uchg |
39(2%) |
43(2%) |
44(2%) |
32(1%) |
30(1%) |
188(2%) |
| Gapped up |
376(17%) |
394(16%) |
342(14%) |
326(14%) |
255(11%) |
1693(14%) |
| Un-filled Gaps Up |
203(54%) |
198(50%) |
190(56%) |
157(48%) |
130(51%) |
878(52%) |
| Gapped Down |
402(18%) |
381(16%) |
373(15%) |
336(14%) |
392(16%) |
1884(16%) |
| Un-filled Gaps Down |
236(59%) |
195(51%) |
182(49%) |
160(48%) |
184(47%) |
957(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% |
| 188 |
4999 |
606 |
77 |
15 |
4 |
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% |
| 5372 |
593 |
49 |
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 |
|
|
|
|
|
|
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 |
|
|
|
|
|
