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MRCI's Futures Highlight - Eurodollars(CME)

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MRCI's Futures Highlight - Eurodollars(CME)

MRCI hopes this profile of the CME Eurodollars 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 Eurodollars 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 Eurodollars(CME)
from 1/1982 - 5/2022
Calendar
Year
Monday
Avg Rng
Tuesday
Avg Rng
Wednesday
Avg Rng
Thursday
Avg Rng
Friday
Avg Rng
Yearly
Avg Rng
1982 0.387($967) 0.289($723) 0.265($663) 0.300($749) 0.303($757) 0.307($768)
1983 0.160($400) 0.141($352) 0.131($327) 0.137($343) 0.122($305) 0.138($344)
1984 0.139($346) 0.134($335) 0.141($352) 0.144($361) 0.176($439) 0.147($367)
1985 0.126($314) 0.137($343) 0.153($381) 0.148($370) 0.178($445) 0.148($371)
1986 0.095($237) 0.095($237) 0.102($256) 0.110($276) 0.108($270) 0.102($255)
1987 0.122($306) 0.169($423) 0.126($315) 0.137($343) 0.148($370) 0.141($352)
1988 0.071($179) 0.089($222) 0.092($230) 0.088($221) 0.125($313) 0.093($234)
1989 0.096($239) 0.124($310) 0.098($246) 0.116($291) 0.178($445) 0.123($307)
1990 0.062($154) 0.075($186) 0.069($173) 0.075($189) 0.102($254) 0.077($192)
1991 0.062($155) 0.071($177) 0.069($172) 0.068($171) 0.099($248) 0.074($185)
1992 0.063($159) 0.077($191) 0.073($182) 0.083($208) 0.100($249) 0.079($198)
1993 0.034($86) 0.042($104) 0.038($94) 0.043($108) 0.055($138) 0.042($106)
1994 0.052($130) 0.069($174) 0.064($160) 0.068($171) 0.088($220) 0.069($172)
1995 0.041($102) 0.060($149) 0.058($145) 0.066($165) 0.079($197) 0.061($152)
1996 0.030($76) 0.046($116) 0.040($100) 0.044($110) 0.059($147) 0.044($110)
1997 0.023($59) 0.034($86) 0.030($74) 0.034($85) 0.038($96) 0.032($80)
1998 0.035($88) 0.036($90) 0.038($96) 0.044($109) 0.047($118) 0.040($100)
1999 0.027($68) 0.034($84) 0.033($83) 0.034($84) 0.044($110) 0.035($86)
2000 0.025($63) 0.032($81) 0.032($79) 0.038($94) 0.040($100) 0.033($84)
2001 0.044($110) 0.073($182) 0.076($189) 0.068($171) 0.073($182) 0.067($168)
2002 0.040($101) 0.054($135) 0.058($144) 0.057($142) 0.056($140) 0.053($133)
2003 0.027($67) 0.030($75) 0.031($78) 0.033($81) 0.033($83) 0.031($77)
2004 0.026($65) 0.031($77) 0.031($77) 0.029($72) 0.044($110) 0.032($80)
2005 0.023($56) 0.031($77) 0.028($70) 0.033($81) 0.035($86) 0.030($75)
2006 0.026($66) 0.034($84) 0.035($88) 0.033($84) 0.037($94) 0.033($84)
2007 0.042($105) 0.050($125) 0.050($124) 0.050($125) 0.053($132) 0.049($122)
2008 0.112($280) 0.136($341) 0.129($322) 0.128($319) 0.122($306) 0.126($314)
2009 0.045($112) 0.049($123) 0.050($126) 0.051($127) 0.058($145) 0.051($127)
2010 0.029($71) 0.032($80) 0.032($81) 0.033($81) 0.030($74) 0.031($78)
2011 0.025($62) 0.026($64) 0.031($78) 0.031($77) 0.026($64) 0.028($69)
2012 0.017($42) 0.018($46) 0.018($45) 0.019($47) 0.019($48) 0.018($46)
2013 0.012($30) 0.011($27) 0.012($30) 0.012($29) 0.011($28) 0.012($29)
2014 0.007($17) 0.008($19) 0.008($20) 0.009($21) 0.008($19) 0.008($19)
2015 0.015($38) 0.016($39) 0.019($47) 0.017($43) 0.019($46) 0.017($43)
2016 0.020($51) 0.020($49) 0.028($71) 0.020($51) 0.027($68) 0.023($58)
2017 0.016($39) 0.016($41) 0.020($49) 0.017($44) 0.017($44) 0.017($43)
2018 0.022($56) 0.022($56) 0.025($63) 0.026($64) 0.024($61) 0.024($60)
2019 0.029($73) 0.031($78) 0.036($89) 0.037($92) 0.036($90) 0.034($85)
2020 0.036($90) 0.031($77) 0.029($72) 0.033($82) 0.033($82) 0.032($80)
2021 0.011($28) 0.010($25) 0.012($30) 0.011($27) 0.012($29) 0.011($28)
2022 0.062($154) 0.055($138) 0.054($135) 0.065($163) 0.063($158) 0.060($149)

What other characteristics do CME Eurodollars 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 Eurodollars(CME)
from 1/1982 - 5/2022
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 0.057($141) 0.062($154) 0.060($149) 0.063($157) 0.071($177) 0.062($156)
Closed Up 701(37%) 840(40%) 892(43%) 879(43%) 832(41%) 4144(41%)
Closed Dn 772(40%) 768(37%) 717(34%) 731(36%) 792(39%) 3780(37%)
Closed Uchg 435(23%) 476(23%) 474(23%) 435(21%) 413(20%) 2233(22%)
Gapped up 157(8%) 151(7%) 196(9%) 158(8%) 130(6%) 792(8%)
Un-filled Gaps Up 51(32%) 44(29%) 41(21%) 58(37%) 44(34%) 238(30%)
Gapped Down 157(8%) 166(8%) 126(6%) 133(7%) 142(7%) 724(7%)
Un-filled Gaps Down 69(44%) 39(23%) 24(19%) 35(26%) 45(32%) 212(29%)

Daily Percent Change Summary for Eurodollars(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%
2233 4140 4 0 0 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%
3780 0 0 0 0 0 0 0 0 0 0 0

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

3-Mth Eurodollar Deposit Rate - Mar 31, 2022
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2021 12/27-12/29/2021 99.625 09/13/2021 99.885 12/31/2021 99.655 99.825
2020 01/16-01/17/2020 98.255 12/18/2020
12/28-12/31/2020
99.830 12/31/2020 99.830 99.461
2019 01/02/2019
01/08/2019
01/10/2019
97.290 12/31/2019 98.265 12/31/2019 98.265 97.754
2018 12/06/2018 97.180 01/02-01/03/2018 98.210 12/31/2018 97.290 97.605
2017 12/21-12/22/2017
12/26/2017
98.205 01/03/2017
02/06/2017
02/08/2017
98.945 12/29/2017 98.240 98.661
2016 12/22-12/23/2016
12/27/2016
98.930 02/16-06/22/2016 99.350 12/30/2016 98.960 99.222
2015 12/11-12/31/2015 99.300 01/02-06/18/2015 99.700 12/31/2015 99.300 99.657
2014 12/18-12/31/2014 99.700 06/10-12/17/2014 99.760 12/31/2014 99.700 99.749
2013 01/02/2013 99.690 11/20-12/31/2013 99.730 12/31/2013 99.730 99.719
2012 01/03-01/11/2012 99.435 12/11-12/31/2012 99.690 12/31/2012 99.690 99.556
2011 08/15/2011 99.430 06/07/2011 99.810 12/30/2011 99.445 99.681
2010 05/12/2010 99.150 05/03/2010 99.790 12/31/2010 99.715 99.623
2009 01/05/2009 98.400 09/08/2009 99.765 12/31/2009 99.640 99.194
2008 10/10/2008 95.183 12/24/2008
12/26/2008
98.700 12/31/2008 98.575 97.076
2007 09/07/2007 94.275 12/31/2007 95.298 12/31/2007 95.298 94.707
2006 07/19/2006 94.480 01/02/2006 95.490 12/29/2006 94.640 94.806
2005 12/30/2005 95.465 01/03/2005 97.475 12/30/2005 95.465 96.433
2004 12/31/2004 97.435 04/09/2004
04/12/2004
98.940 12/31/2004 97.435 98.373
2003 01/03/2003
01/06/2003
98.610 06/25/2003 99.000 12/31/2003 98.848 98.787
2002 03/26/2002 97.952 12/26/2002 98.705 12/31/2002 98.620 98.207
2001 01/02/2001 93.598 12/26/2001 98.250 12/31/2001 98.120 96.213
2000 06/02/2000 93.130 01/03-01/27/2000 94.060 12/29/2000 93.598 93.477
1999 10/21-10/22/1999 93.777 01/25-01/27/1999
03/23/1999
95.033 12/30/1999 93.997 94.587
1998 01/02/1998 94.313 10/22/1998 94.938 12/29/1998 94.813 94.550
1997 12/01-12/10/1997
12/29/1997
94.188 02/18-02/25/1997 94.688 12/31/1997 94.313 94.392
1996 07/08-07/10/1996
07/30/1996
09/06/1996
94.438 02/08-02/16/1996
02/22-02/28/1996
03/05-03/07/1996
94.875 12/31/1996 94.563 94.622
1995 01/03/1995 93.625 12/20-12/29/1995 94.500 12/29/1995 94.500 94.092
1994 12/19/1994 93.563 01/10-02/01/1994 96.875 12/30/1994 93.625 95.364
1993 11/02-12/06/1993 96.625 02/19-03/04/1993
04/21-05/13/1993
09/03-09/28/1993
96.938 12/31/1993 96.750 96.821
1992 12/16/1992 96.500 12/30/1992
12/31/1992
96.688 12/31/1992 96.688 96.615

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

ScenarioSM Study for December Eurodollars(CME) as of Mar 04, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 39 40 40 40 40 40 40 40 40 40
Closed Higher   26 21 17 24 22 26 25 29 27 27 17
Exceeded High   18 20 12 20 17 21 25 26 25 16 8
Scenario Percentage   69% 95% 71% 83% 77% 81% 100% 90% 93% 59% 47%
Avg Max Increase   0.44% 0.38% 0.50% 0.56% 0.52% 0.57% 0.48% 0.63% 0.40% 0.32% 0.27%
Max Increase   1.14% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.56% 0.74%
Avg Days To Max Increase   14 18 18 14 18 16 16 16 13 12 10
Avg Max Decline   -0.13% -0.25% -0.13% -0.07% -0.12% -0.08% -0.08% -0.14% -0.09% -0.09% -0.02%
Max Decline   -0.39% -0.96% -0.40% -0.47% -0.60% -0.39% -0.34% -0.81% -0.45% -0.60% -0.11%
Avg Days to Max Decline   7 12 7 5 4 9 8 7 6 9 2
2022 Contract Condition                        
Action                        
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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 39 40 40 40 40 40 40 40 40 40
Closed Lower   12 18 23 15 18 14 13 10 13 12 21
Penetrated Low   9 15 14 13 11 6 8 4 8 9 13
Scenario Percentage   75% 83% 61% 87% 61% 43% 62% 40% 62% 75% 62%
Avg Max Decline   0.41% 0.56% 0.73% 0.61% 0.34% 0.19% 0.25% 0.68% 0.36% 0.19% 0.19%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.68% 0.76%
Avg Days To Max Decline   18 17 17 17 16 10 16 21 21 13 10
Avg Max Increase   -0.16% -0.10% -0.12% -0.08% -0.18% -0.09% -0.12% -0.16% -0.08% -0.04% -0.01%
Max Increase   -0.41% -0.33% -0.41% -0.20% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.03%
Avg Days to Max Increase   6 6 6 6 6 13 7 7 12 5 2
2022 Contract Condition   Yes Yes Yes                
Action   Yes Not Yet                  
High 99.065 98.965 98.590 98.545                
Low 98.900 98.465 97.880 98.100                
Close/Last 98.955 98.535 98.275 98.170                

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