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MRCI's Futures Highlight - British Pound(CME)

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MRCI's Futures Highlight - British Pound(CME)

MRCI hopes this profile of the CME British Pound 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 British Pound 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 British Pound(CME)
from 1/1976 - 9/2020
Calendar
Year
Monday
Avg Rng
Tuesday
Avg Rng
Wednesday
Avg Rng
Thursday
Avg Rng
Friday
Avg Rng
Yearly
Avg Rng
1976 1.17($730) 0.97($607) 1.06($665) 1.06($665) 0.91($569) 1.04($647)
1977 0.65($408) 0.49($308) 0.52($327) 0.47($296) 0.42($265) 0.51($319)
1978 1.24($776) 1.27($794) 1.43($892) 1.37($858) 1.47($916) 1.36($849)
1979 1.49($932) 1.74($1088) 1.47($920) 1.53($955) 1.43($896) 1.53($959)
1980 1.90($1188) 1.74($1090) 1.75($1094) 1.56($973) 1.71($1068) 1.73($1082)
1981 2.65($1657) 2.13($1331) 2.19($1367) 2.23($1392) 2.17($1358) 2.27($1419)
1982 1.69($1058) 1.56($975) 1.35($844) 1.42($888) 1.52($951) 1.51($942)
1983 1.43($894) 1.10($686) 1.07($667) 1.13($707) 1.08($676) 1.16($723)
1984 1.23($767) 1.24($776) 1.22($763) 1.19($742) 1.24($778) 1.22($765)
1985 1.71($1070) 1.77($1109) 1.70($1066) 1.78($1114) 1.64($1024) 1.72($1076)
1986 1.51($943) 1.42($887) 1.25($781) 1.44($901) 1.47($916) 1.42($885)
1987 1.36($852) 1.42($888) 1.19($744) 1.36($849) 1.45($904) 1.35($847)
1988 1.44($897) 1.53($957) 1.42($888) 1.21($758) 1.58($985) 1.44($897)
1989 1.58($990) 1.62($1011) 1.43($896) 1.53($958) 1.62($1013) 1.56($973)
1990 1.50($939) 1.41($883) 1.27($796) 1.45($905) 1.59($991) 1.44($903)
1991 1.85($1154) 1.71($1070) 1.61($1005) 1.57($982) 2.08($1303) 1.76($1103)
1992 1.94($1213) 1.72($1075) 1.82($1137) 1.95($1222) 2.22($1386) 1.93($1204)
1993 1.52($949) 1.61($1005) 1.39($866) 1.57($980) 1.73($1081) 1.56($976)
1994 0.94($587) 0.88($553) 0.98($613) 1.05($655) 1.14($712) 1.00($625)
1995 1.11($691) 1.09($680) 1.06($664) 1.40($877) 1.34($839) 1.20($751)
1996 0.69($430) 0.75($469) 0.82($510) 0.80($502) 0.89($554) 0.79($494)
1997 1.16($728) 1.12($700) 1.20($748) 1.12($700) 1.16($724) 1.15($720)
1998 1.06($661) 0.93($581) 1.00($623) 1.13($705) 1.16($722) 1.05($658)
1999 0.92($573) 0.99($617) 0.99($621) 1.03($643) 0.92($574) 0.97($606)
2000 0.97($605) 1.10($687) 1.07($668) 1.12($700) 1.26($789) 1.11($691)
2001 0.85($531) 1.00($625) 1.00($622) 1.02($639) 1.04($648) 0.98($615)
2002 1.01($631) 1.18($739) 1.02($637) 0.99($622) 1.00($625) 1.04($652)
2003 1.30($815) 1.35($845) 1.38($863) 1.37($858) 1.35($841) 1.35($845)
2004 1.46($915) 1.86($1160) 1.86($1165) 1.69($1057) 1.98($1238) 1.78($1111)
2005 1.48($927) 1.40($872) 1.54($961) 1.45($909) 1.50($935) 1.47($921)
2006 1.32($827) 1.43($893) 1.26($787) 1.46($910) 1.56($978) 1.41($880)
2007 1.27($795) 1.32($825) 1.50($940) 1.31($819) 1.43($895) 1.37($856)
2008 2.65($1658) 2.45($1532) 2.43($1519) 2.21($1381) 2.30($1438) 2.41($1505)
2009 2.36($1475) 2.38($1490) 2.20($1372) 2.36($1477) 2.27($1418) 2.31($1446)
2010 1.57($982) 1.79($1119) 1.56($974) 1.72($1076) 1.73($1082) 1.68($1048)
2011 1.39($870) 1.48($922) 1.57($982) 1.47($919) 1.38($863) 1.46($912)
2012 0.83($522) 0.92($575) 1.00($623) 1.06($660) 1.17($729) 1.00($623)
2013 0.93($584) 1.03($645) 1.30($813) 1.25($779) 1.22($765) 1.15($718)
2014 0.82($515) 0.91($571) 1.00($628) 0.88($553) 0.90($562) 0.91($567)
2015 1.06($664) 1.26($787) 1.36($852) 1.32($825) 1.30($814) 1.26($790)
2016 1.44($898) 1.58($989) 1.31($816) 1.48($927) 1.88($1175) 1.54($962)
2017 0.93($584) 1.17($728) 0.99($621) 1.06($663) 1.09($679) 1.05($656)
2018 1.03($645) 1.13($708) 1.13($703) 1.19($742) 1.09($683) 1.12($697)
2019 0.86($536) 1.13($707) 0.96($602) 1.09($683) 1.10($686) 1.03($644)
2020 1.30($810) 1.39($872) 1.31($818) 1.37($858) 1.41($882) 1.36($848)

What other characteristics do CME British Pound 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 British Pound(CME)
from 1/1976 - 9/2020
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 1.35($844) 1.37($854) 1.33($834) 1.36($851) 1.42($886) 1.37($854)
Closed Up 1095(52%) 1151(50%) 1173(51%) 1104(49%) 1064(47%) 5587(50%)
Closed Dn 997(47%) 1110(48%) 1087(47%) 1127(50%) 1153(51%) 5474(49%)
Closed Uchg 31(1%) 49(2%) 54(2%) 38(2%) 41(2%) 213(2%)
Gapped up 325(15%) 329(14%) 333(14%) 272(12%) 226(10%) 1485(13%)
Un-filled Gaps Up 182(56%) 141(43%) 151(45%) 116(43%) 99(44%) 689(46%)
Gapped Down 324(15%) 325(14%) 280(12%) 278(12%) 303(13%) 1510(13%)
Un-filled Gaps Down 148(46%) 141(43%) 111(40%) 108(39%) 117(39%) 625(41%)

Daily Percent Change Summary for British Pound(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%
213 5017 515 41 12 2 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%
4889 512 62 7 2 1 0 1 0 0 0 0

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

British Pound: NY 3:30PM - Jun 08, 2020
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2019 09/03/2019 119.58 12/13/2019 135.14 12/31/2019 132.57 127.66
2018 12/12/2018 124.73 04/17/2018 143.80 12/31/2018 127.60 133.50
2017 01/16/2017 119.84 09/20/2017 136.60 12/29/2017 135.06 128.87
2016 10/07/2016 118.39 06/24/2016 150.62 12/30/2016 123.23 135.47
2015 04/13/2015 145.65 06/18/2015 159.34 12/31/2015 147.44 152.85
2014 12/23/2014 154.88 07/15/2014 171.90 12/31/2014 155.77 164.79
2013 07/09/2013 148.12 12/31/2013 165.82 12/31/2013 165.71 156.44
2012 01/13/2012 152.34 09/21/2012 163.09 12/31/2012 162.39 158.50
2011 10/06/2011 152.71 04/28/2011 167.47 12/30/2011 155.35 160.40
2010 05/20/2010 142.32 01/19/2010 164.59 12/31/2010 156.08 154.55
2009 01/23/2009 135.04 08/05/2009 170.42 12/31/2009 161.49 156.72
2008 12/31/2008 143.54 03/14/2008 203.94 12/31/2008 146.12 185.29
2007 03/06/2007 191.86 11/09/2007 211.61 12/31/2007 198.48 200.20
2006 01/03/2006 171.91 12/01/2006 198.47 12/29/2006 195.78 184.37
2005 11/28/2005 170.47 03/08/2005 193.26 12/30/2005 172.08 181.95
2004 05/14/2004 174.82 12/16/2004 195.53 12/31/2004 191.88 183.32
2003 04/07/2003 154.63 12/31/2003 179.44 12/31/2003 178.60 163.58
2002 01/28/2002
01/29/2002
140.44
140.44
12/31/2002 161.33 12/31/2002 161.00 150.34
2001 06/12/2001 136.88 01/08/2001 151.00 12/31/2001 145.55 144.02
2000 09/12/2000 139.55 01/21/2000 165.81 12/29/2000 149.26 151.52
1999 07/09/1999 154.75 10/22/1999 167.91 12/31/1999 161.50 161.72
1998 08/17/1998 160.85 10/08/1998 173.65 12/31/1998 166.28 165.72
1997 08/08/1997 156.78 11/12/1997 171.45 12/31/1997 164.80 163.86
1996 05/01/1996 148.98 12/31/1996 171.63 12/31/1996 171.40 156.22
1995 12/08/1995 152.13 03/06/1995 165.70 12/29/1995 155.07 157.86
1994 02/10/1994 145.45 11/02/1994 164.40 12/30/1994 156.60 153.20

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