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MRCI's Futures Highlight - Swiss Franc(CME)

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MRCI's Futures Highlight - Swiss Franc(CME)

MRCI hopes this profile of the CME Swiss Franc 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 Swiss Franc 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 Swiss Franc(CME)
from 1/1976 - 2/2024
Calendar
Year
Monday
Avg Rng
Tuesday
Avg Rng
Wednesday
Avg Rng
Thursday
Avg Rng
Friday
Avg Rng
Yearly
Avg Rng
1976 0.17($207) 0.16($195) 0.17($207) 0.17($210) 0.13($159) 0.16($196)
1977 0.21($259) 0.23($293) 0.20($246) 0.22($273) 0.19($235) 0.21($261)
1978 0.71($892) 0.62($771) 0.66($819) 0.60($754) 0.65($810) 0.65($808)
1979 0.50($623) 0.49($607) 0.52($648) 0.51($637) 0.48($595) 0.50($622)
1980 0.61($757) 0.56($698) 0.59($736) 0.56($697) 0.58($724) 0.58($722)
1981 0.76($956) 0.63($790) 0.61($767) 0.67($835) 0.64($795) 0.66($827)
1982 0.60($746) 0.54($681) 0.48($605) 0.56($706) 0.55($687) 0.55($684)
1983 0.46($574) 0.41($506) 0.36($450) 0.33($417) 0.38($480) 0.39($484)
1984 0.38($474) 0.43($533) 0.37($459) 0.39($494) 0.39($487) 0.39($490)
1985 0.50($627) 0.53($667) 0.45($568) 0.52($648) 0.51($642) 0.50($630)
1986 0.70($869) 0.66($825) 0.60($745) 0.64($801) 0.65($811) 0.65($809)
1987 0.67($840) 0.72($904) 0.63($785) 0.71($884) 0.71($891) 0.69($860)
1988 0.53($665) 0.57($712) 0.61($757) 0.53($666) 0.71($893) 0.59($740)
1989 0.61($757) 0.66($828) 0.61($766) 0.64($797) 0.72($901) 0.65($810)
1990 0.82($1031) 0.73($918) 0.72($894) 0.82($1019) 0.75($941) 0.77($960)
1991 0.75($934) 0.76($948) 0.73($913) 0.71($889) 0.93($1159) 0.78($969)
1992 0.91($1141) 0.88($1102) 0.79($986) 0.97($1211) 1.07($1332) 0.92($1152)
1993 0.73($918) 0.71($886) 0.65($806) 0.72($897) 0.87($1088) 0.73($918)
1994 0.58($728) 0.66($826) 0.64($796) 0.66($829) 0.76($955) 0.66($829)
1995 0.91($1140) 0.93($1157) 0.97($1211) 1.15($1440) 1.06($1321) 1.00($1256)
1996 0.51($637) 0.63($791) 0.56($703) 0.58($731) 0.69($860) 0.60($746)
1997 0.59($740) 0.65($808) 0.57($718) 0.60($755) 0.72($897) 0.63($784)
1998 0.61($768) 0.56($703) 0.62($771) 0.70($875) 0.66($825) 0.63($788)
1999 0.57($711) 0.54($681) 0.65($806) 0.63($793) 0.62($775) 0.60($754)
2000 0.51($643) 0.61($758) 0.57($708) 0.63($786) 0.70($872) 0.60($756)
2001 0.47($587) 0.62($775) 0.56($695) 0.61($761) 0.57($708) 0.57($708)
2002 0.62($769) 0.68($849) 0.61($760) 0.61($767) 0.65($812) 0.63($792)
2003 0.89($1108) 0.82($1020) 0.83($1042) 0.91($1135) 0.89($1110) 0.87($1082)
2004 0.80($1005) 0.91($1143) 0.94($1177) 0.89($1111) 1.16($1445) 0.94($1179)
2005 0.78($973) 0.80($1004) 0.82($1029) 0.81($1018) 0.84($1046) 0.81($1015)
2006 0.66($829) 0.71($888) 0.67($833) 0.73($913) 0.78($978) 0.71($890)
2007 0.54($671) 0.64($795) 0.61($757) 0.61($763) 0.75($932) 0.63($786)
2008 1.39($1735) 1.33($1662) 1.35($1692) 1.44($1800) 1.33($1668) 1.37($1710)
2009 1.16($1447) 1.13($1410) 1.24($1555) 1.13($1409) 1.32($1645) 1.19($1492)
2010 1.01($1263) 1.21($1511) 0.98($1230) 1.15($1439) 1.12($1398) 1.10($1370)
2011 1.46($1824) 1.77($2218) 1.53($1913) 1.64($2047) 1.60($2003) 1.60($2005)
2012 0.81($1011) 0.86($1071) 0.87($1088) 0.93($1164) 1.09($1366) 0.91($1142)
2013 0.78($978) 0.88($1104) 0.98($1226) 1.11($1384) 0.98($1231) 0.95($1186)
2014 0.60($746) 0.66($821) 0.69($868) 0.85($1061) 0.74($924) 0.71($884)
2015 1.05($1310) 1.18($1476) 1.27($1591) 1.76($2203) 1.29($1615) 1.31($1642)
2016 0.71($885) 0.80($1005) 0.86($1076) 0.92($1153) 0.98($1220) 0.86($1071)
2017 0.64($804) 0.75($944) 0.74($926) 0.75($942) 0.73($912) 0.73($907)
2018 0.58($722) 0.64($802) 0.70($877) 0.77($965) 0.69($863) 0.68($847)
2019 0.52($653) 0.53($658) 0.56($698) 0.58($731) 0.55($692) 0.55($687)
2020 0.77($964) 0.79($986) 0.74($929) 0.79($984) 0.73($917) 0.77($956)
2021 0.69($859) 0.67($842) 0.68($846) 0.69($864) 0.68($849) 0.68($852)
2022 0.88($1097) 0.91($1134) 0.91($1139) 1.08($1348) 0.94($1171) 0.94($1180)
2023 0.78($969) 0.88($1099) 0.92($1154) 0.97($1217) 0.90($1127) 0.89($1117)
2024 0.64($800) 1.08($1348) 0.90($1130) 0.86($1080) 0.95($1182) 0.90($1127)

What other characteristics do CME Swiss Franc 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 Swiss Franc(CME)
from 1/1976 - 2/2024
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 0.70($871) 0.73($915) 0.72($897) 0.77($964) 0.78($975) 0.74($925)
Closed Up 1130(50%) 1171(47%) 1238(50%) 1156(47%) 1148(47%) 5843(48%)
Closed Dn 1115(49%) 1272(51%) 1218(49%) 1244(51%) 1254(52%) 6103(50%)
Closed Uchg 33(1%) 42(2%) 34(1%) 42(2%) 28(1%) 179(1%)
Gapped up 318(14%) 328(13%) 320(13%) 282(12%) 235(10%) 1483(12%)
Un-filled Gaps Up 170(53%) 129(39%) 135(42%) 134(48%) 102(43%) 670(45%)
Gapped Down 365(16%) 371(15%) 303(12%) 309(13%) 320(13%) 1668(14%)
Un-filled Gaps Down 188(52%) 172(46%) 117(39%) 112(36%) 125(39%) 714(43%)

Daily Percent Change Summary for Swiss Franc(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%
179 4960 773 95 10 2 2 0 0 0 0 1 0
<0%-
>-1%
-1%-
>-2%
-2%-
>-3%
-3%-
>-4%
-4%-
>-5%
-5%-
>-6%
-6%-
>-7%
-7%-
>-8%
-8%-
>-9%
-9%-
>-10%
-10%-
>-20%

<-20%
5291 743 56 11 1 0 0 0 1 0 0 0

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

Swiss Franc: NY 3:30PM - Jul 31, 2023
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2022 10/21/2022
11/03/2022
98.55 01/13/2022 109.99 12/30/2022 108.11 104.84
2021 04/01/2021 105.57 01/06/2021 114.19 12/31/2021 109.67 109.42
2020 03/20/2020 101.01 12/31/2020 113.71 12/31/2020 113.02 106.70
2019 04/26/2019 97.69 12/31/2019 103.67 12/31/2019 103.45 100.66
2018 11/13/2018 98.74 02/16/2018 108.85 12/31/2018 101.91 102.23
2017 01/03/2017 96.78 09/08/2017 106.12 12/29/2017 102.60 101.62
2016 12/15/2016 96.65 05/03/2016 105.87 12/30/2016 98.15 101.53
2015 11/27/2015 96.83 01/15/2015 136.00 12/31/2015 99.74 103.99
2014 12/31/2014 100.57 03/13/2014 114.96 12/31/2014 100.58 109.35
2013 05/22/2013 101.65 12/27/2013 113.70 12/31/2013 112.08 107.94
2012 07/24/2012 100.27 02/24/2012 111.97 12/31/2012 109.21 106.70
2011 01/11/2011 102.20 08/09/2011 141.50 12/30/2011 106.62 113.19
2010 06/01/2010 85.25 12/31/2010 107.50 12/31/2010 107.00 96.24
2009 03/12/2009 83.57 11/26/2009 100.82 12/31/2009 96.57 92.38
2008 11/21/2008 81.32 03/17/2008 103.66 12/31/2008 93.39 92.67
2007 01/31/2007 79.54 11/23/2007 91.84 12/31/2007 88.20 83.44
2006 02/28/2006 75.53 12/05/2006 84.17 12/29/2006 82.02 79.89
2005 11/16/2005
11/17/2005
75.27 01/03/2005 87.96 12/30/2005 76.11 80.35
2004 04/26/2004 75.60 12/30/2004 88.61 12/31/2004 87.73 80.63
2003 08/26/2003 70.06 12/31/2003 81.23 12/31/2003 80.66 74.49
2002 01/31/2002
02/01/2002
58.06 12/31/2002 72.41 12/31/2002 72.28 64.53
2001 07/06/2001 54.91 09/21/2001 63.77 12/31/2001 60.30 59.31
2000 10/26/2000 54.66 01/06/2000 64.72 12/29/2000 61.92 59.28
1999 12/30/1999 62.47 01/15/1999 74.08 12/31/1999 62.81 66.54
1998 07/10/1998 64.70 10/08/1998 78.00 12/31/1998 72.69 69.09

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