|
 |
| 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.
|
|
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 - 4/2023 |
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 |
0.064($160) |
0.068($169) |
0.078($195) |
0.072($179) |
0.076($191) |
0.072($179) |
| 2023 |
0.137($343) |
0.103($257) |
0.121($302) |
0.099($248) |
0.099($247) |
0.111($277) |
|
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 - 4/2023 |
Summary
Item |
Monday
Summary |
Tuesday
Summary |
Wednesday
Summary |
Thursday
Summary |
Friday
Summary |
Yearly
Summary |
| Range |
0.057($143) |
0.062($155) |
0.061($152) |
0.063($158) |
0.071($178) |
0.063($157) |
| Closed Up |
711(36%) |
866(41%) |
918(43%) |
902(43%) |
853(41%) |
4250(41%) |
| Closed Dn |
799(41%) |
788(37%) |
736(35%) |
751(36%) |
813(39%) |
3887(37%) |
| Closed Uchg |
438(22%) |
478(22%) |
477(22%) |
439(21%) |
418(20%) |
2250(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 |
159(8%) |
167(8%) |
126(6%) |
134(6%) |
142(7%) |
728(7%) |
| Un-filled Gaps Down |
70(44%) |
39(23%) |
24(19%) |
35(26%) |
45(32%) |
213(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% |
| 2250 |
4246 |
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% |
| 3887 |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
