MRCI's Futures Highlight - Swiss Franc(CME)

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 barchart

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. (from futstats, but I don't currently have it available for include)

MRCI's Nearby Futures Range Detail for Swiss Franc(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	0.17($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	0.61($760)	0.83($1039)	0.72($904)	0.94($1169)	0.81($1016)	0.79($988)

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. (from futstats, but I don't currently have it available for include)

MRCI's Nearby Futures Summary for Swiss Franc(CME) from 1/1976 - 3/2024
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	0.70($871)	0.73($914)	0.72($896)	0.77($965)	0.78($975)	0.74($925)
Closed Up	1131(50%)	1173(47%)	1242(50%)	1158(47%)	1149(47%)	5853(48%)
Closed Dn	1119(49%)	1275(51%)	1220(49%)	1248(51%)	1258(52%)	6120(50%)
Closed Uchg	33(1%)	43(2%)	34(1%)	42(2%)	28(1%)	180(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%
180	4970	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%
	5307	744	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

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

Scenario^SM Study for December Swiss Franc(CME) as of Jul 31, 2023
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	41	43	45	45	45	45	45	45	45	45
Closed Higher		15	19	18	18	20	26	19	22	26	22	21
Exceeded High		12	13	14	15	15	20	18	17	22	15	16
Scenario Percentage		80%	68%	78%	83%	75%	77%	95%	77%	85%	68%	76%
Avg Max Increase		4.83%	4.22%	4.69%	3.13%	5.25%	5.98%	5.57%	5.64%	4.04%	3.98%	2.04%
Max Increase		14.24%	11.04%	8.65%	9.43%	14.68%	18.56%	18.03%	11.77%	11.82%	9.17%	3.63%
Avg Days To Max Increase		17	19	16	17	20	15	20	17	17	11	8
Avg Max Decline		-1.16%	-1.40%	-1.59%	-1.58%	-1.08%	-0.97%	-1.68%	-1.25%	-1.47%	-0.81%	-0.56%
Max Decline		-2.87%	-7.48%	-3.53%	-5.96%	-4.30%	-3.49%	-7.31%	-5.63%	-4.51%	-2.12%	-2.23%
Avg Days to Max Decline		11	8	10	9	8	9	13	6	10	3	2
2023 Contract Condition		Yes		Yes	Yes		Yes	Yes
Action		No		Yes	Yes		Yes	Not Yet

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

Closed Lower

Penetrated Low

Scenario Percentage

79%

86%

88%

78%

68%

84%

77%

74%

89%

87%

54%

Avg Max Decline

3.57%

4.20%

4.08%

4.70%

3.90%

3.52%

3.64%

4.21%

3.56%

3.15%

1.94%

Max Decline

8.37%

12.55%

9.79%

9.67%

10.11%

7.33%

8.26%

13.81%

9.25%

7.78%

5.75%

Avg Days To Max Decline

Avg Max Increase

-1.03%

-1.17%

-1.18%

-0.80%

-1.65%

-0.58%

-1.33%

-1.34%

-1.89%

-0.95%

-0.43%

Max Increase

-3.95%

-5.62%

-3.63%

-4.25%

-4.35%

-3.38%

-4.14%

-4.11%

-5.61%

-3.67%

-1.43%

Avg Days to Max Increase

2023 Contract Condition

Yes

Action

Yes

High

112.63

113.84

113.82

112.94

115.60

115.84

114.37

118.68

Low

110.38

110.21

109.52

109.19

111.50

111.78

112.00

113.08

Close/Last

112.12

112.81

109.69

112.17

114.59

112.19

113.74

116.46

Moore Research Center, Inc.

Login

Main Menu

MRCI Online

Free Links

Newsflash