
4.1483.6745.0684.6394.6784.1394.5966.4163.5126.7673.8363.707
45.8050.2549.6947.6953.6540.5241.8649.8549.4444.9636.1530.51
9.46410.05410.0629.59110.3498.3028.62410.08710.4399.1487.7986.558
Studies of Historical Gross Movement in Selected Markets, 1990–2002
275
CBT Soybean Oil January 1990 Through April 2002 (0.01 = $6.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131212121212121212
0.950.771.401.291.121.051.410.890.960.771.340.88
4.643.927.036.515.125.176.834.384.423.425.983.84
0.831.080.570.721.171.741.221.020.721.001.080.91
3.584.662.443.175.047.265.574.733.504.784.994.37
1.781.851.972.022.292.782.641.901.681.762.421.79
8.228.589.479.6810.1612.4212.409.117.928.2010.968.22
CBT Soybean Meal January 1990 Through April 2002 (0.10 = $10.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131313121212111112
7.476.8010.0612.5910.7811.6613.9511.218.7210.0911.095.60
4.413.835.766.846.016.907.426.244.785.886.342.98
7.6111.424.623.714.457.999.318.357.147.728.287.21
4.156.222.522.092.283.815.184.513.803.884.184.11
15.0818.2214.6816.3015.2319.6523.2619.5615.8617.8119.3712.81
8.5610.058.288.928.2910.7212.6010.758.589.7610.527.09
276
TRADING OPTIONS TO WIN
CBT Soybeans November 1989 Through June 2002 (1.00 = $50.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131313121212121313
21.9418.3827.9433.3728.9425.4644.3830.0821.9023.1926.5426.48
3.903.204.925.524.874.647.355.393.794.014.534.45
19.8524.6711.1040.1021.9437.0635.1328.7319.0439.1511.2315.37
3.434.221.877.593.475.645.904.843.216.481.962.75
41.7943.0639.0473.4650.8862.5279.5058.8140.9462.3337.7741.85
7.337.426.7913.118.3410.2813.2510.237.0010.496.497.20
NYBOT Sugar #11 October 1989 Through June 2002 (0.01 = $11.20)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131313121212131313
0.910.820.800.910.711.370.630.700.700.520.760.72
9.137.668.6410.708.8517.856.707.777.705.377.587.29
0.700.970.380.850.570.740.760.861.000.410.420.45
7.7111.134.078.944.915.887.868.499.794.504.714.76
1.611.791.181.761.282.111.391.561.700.941.191.17
16.8318.7912.7119.6413.7623.7214.5616.2617.489.8712.2912.05
Studies of Historical Gross Movement in Selected Markets, 1990–2002
277
CME/IMM Swiss Franc December 1989 Through May 2002 (0.01 = $12.50)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131312121212121213
2.211.801.552.042.521.542.813.732.833.702.732.27
3.252.662.162.923.692.254.075.444.015.173.833.31
2.152.931.842.382.381.752.112.221.501.462.241.15
2.994.052.673.403.402.493.033.092.041.983.011.62
4.364.733.394.424.903.304.915.944.325.164.973.42
6.246.714.826.327.094.757.108.536.047.166.854.92
CBT U.S. Treasury 10-Year Notes December 1990 Through May 2002(0.01 = $10.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131312121212121213
2.052.300.951.131.161.752.513.441.872.942.841.68
1.942.200.911.091.121.672.403.311.732.732.701.60
1.491.822.012.152.200.800.670.770.881.230.951.24
1.421.681.882.022.060.760.640.730.841.160.891.16
3.544.112.963.283.362.563.184.212.754.173.802.92
3.363.892.793.103.182.433.044.042.573.903.602.76
278
TRADING OPTIONS TO WIN
CBT U.S. Treasury 30-Year Bonds December 1990 Through May 2002(0.01 = $10.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131312121212121213
2.743.061.291.421.542.463.554.922.213.834.032.49
2.612.991.221.361.482.333.384.722.033.493.812.39
2.372.592.843.313.481.191.151.321.631.401.901.75
2.212.282.683.103.241.131.071.261.561.331.751.60
5.115.664.144.745.013.654.706.243.855.235.934.24
4.815.273.904.464.723.464.455.983.594.835.564.00
NYMEX RFG II Unleaded Gasoline November 1989 Through May 2002 (0.01 = $4.20)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131312121212121313
5.293.956.264.744.372.553.898.245.283.703.173.34
8.665.7810.697.036.363.946.7613.128.045.585.156.19
3.863.632.653.563.675.173.234.033.915.044.494.83
6.376.214.345.195.407.885.036.395.997.377.737.57
9.157.588.918.308.047.727.1212.279.198.747.668.16
15.0311.9915.0212.2211.7611.8211.7919.5114.0312.9612.8813.76
Studies of Historical Gross Movement in Selected Markets, 1990–2002
279
CBT Soft Red Winter Wheat December 1989 Through June 2002 (1.00 = $50.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131313121212121213
22.0615.4216.5832.9617.1016.6518.7118.4213.0421.6321.2514.40
6.334.275.588.505.045.295.696.033.916.616.553.97
17.3121.5413.9616.6519.6731.5224.8525.0415.4818.9624.2311.75
4.976.503.965.055.338.457.397.424.585.427.023.56
39.3736.9630.5449.6236.7748.1743.5643.4628.5240.5845.4826.15
11.3010.779.5413.5510.3713.7513.0813.458.4912.0313.577.53
KCBT Hard Red Winter Wheat December 1989 Through June 2002 (1.00 = $50.00)
JanFebMarAprMayJunJulAugSepOctNovDec
Years
AverageUp
Average %Up
AverageDown
Average %Down
AverageRange
Average %Range
131313131313121212121213
19.4218.8514.7336.7317.5421.7716.7316.7114.9023.8325.0212.94
5.284.974.579.004.766.654.995.354.447.117.563.45
14.3517.1211.2914.2918.0429.1926.3827.7113.3317.0620.0010.88
4.085.003.084.174.507.227.367.653.634.705.503.20
33.7735.9626.0251.0235.5850.9643.1044.4228.2340.9045.0223.83
9.379.977.6613.189.2613.8712.3412.998.0611.8113.056.65
APPENDIX B
Distribution ofContract Highs andLows in SelectedMarkets,1980–2002
n addition to historical gross movement, another type of study that hasbeen very useful to me over the years, particularly as an adjunct to nonseasonal analysis, is a distribution study of when various markets maketheir yearly highs and lows. I imagine that someone must have publishedthis or a similar study, but I’ve never seen it . . . so here it is, tables for thesame 30 markets that appear in Appendix A. There are a couple of goodways to use these data, but, before we check on them, a few notes about thetables are in order.These are not whole-month studies, as other studies in the text havebeen. These are actual month; if a contract in a market made its high on thelast trading day of the contract, then that’s the way it’s scored in the accompanying tables. In the other style of studies, as in Appendix A for example,I omitted data from late in the life of the contract to avoid introducing skewsinto the gross movement figures.The letters down the left-hand side of the tables are the standard futures contract month designators:
I
F, JanuaryK, MayU, September
G, FebruaryM, JuneV, October
H, MarchN, JulyX, November
J, AprilQ, AugustZ, December
The month names across the top of the tables are the months in which thehighs and lows occurred. The numbers within the table are the numbers oftimes contract highs or lows occurred in the named month (the column).280
Contract Highs and Lows in Selected Markets, 1980–2002
281
If we look at, say, March NYBOT cocoa in February, the G row, we seethat this contract has made its lifetime high during February twice, and itslifetime low on four occasions. This example is a trifle deceiving, for thesetables only consider the last year in the life of the contracts in calculatingcontract lifetime highs and lows. This policy may be a tiny bit distortive formarkets whose contracts can live for years—bonds and notes, crude oil,and so forth—but this restriction was chosen to keep in line with our definition of trading as a capital commitment lasting no longer than one year.One good way of deriving useful information from the tables is to lookacross the rows. When you see a string of three or four months in which thecontract never or almost never makes a contract high, it’s reasonable to include this fact in your analysis if you are considering writing call options ona non-seasonal basis. Naturally, this will be just a supplementary conditionfor the other parts of a non-seasonal analysis. September Canadian dollar isa good example of not making contract highs during the summer months.Similarly, if a string of consecutive months constitutes the majority of thetime that a contract has made lifetime highs or lows, writing options nonseasonally in the other direction may be a profitable move, if other historical and present-day market conditions are in line. July heating oil offers anexample of this bunching of contract highs during the first three months ofthe year.There are several other inferences that may be drawn from these tables.August gold, for instance, makes its lifetime low in September, that singlemonth, about half the time, but does so only infrequently after that point.We might well consider this to be an indicator that writing longish-datedAugust puts after September has passed is a worthwhile idea, other marketconditions concurring. There’s never any one right way to apply a set of datato trading, and the trader should—once again—keep an open mind as towhether and how a particular data set, as here, may be put to profitable use.Please note that some markets did not exist in 1980 (Australian dollar,natural gas) and therefore contain fewer year’s data.
282
TRADING OPTIONS TO WIN
CME/IMM Australian Dollar (AD)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
04
31
32
01
10
31
01
11
02
20
02
31
M
HiLo
03
10
10
11
32
43
20
01
01
11
02
21
U
HiLo
22
01
21
11
10
02
01
22
43
11
00
21
Z
HiLo
20
01
33
11
11
02
01
01
11
30
02
42
CME/IMM British Pound (BP)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
12
43
22
51
22
03
03
03
12
21
10
40
M
HiLo
10
12
11
22
22
25
21
12
44
22
21
20
U
HiLo
20
14
22
30
11
02
13
14
42
22
11
41
Z
HiLo
41
34
10
32
01
02
03
03
11
41
43
21
CME/IMM Canadian Dollar (CD)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
32
22
25
43
24
11
21
12
10
10
22
10
M
HiLo
11
13
10
23
23
23
52
24
22
10
21
10
U
HiLo
11
13
11
12
12
01
11
23
21
83
32
12
Z
HiLo
76
23
30
01
21
01
01
12
00
21
33
23
283
Contract Highs and Lows in Selected Markets, 1980–2002
NYBOT Cocoa (CC)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
01
24
07
32
41
12
30
20
31
10
02
21
K
HiLo
01
22
02
22
16
71
20
11
32
10
02
22
N
HiLo
00
21
01
01
21
210
12
51
61
10
12
11
U
HiLo
20
31
01
01
20
15
31
05
03
70
21
13
Z
HiLo
83
11
02
01
20
24
22
01
31
00
13
23
NYBOT Coffee “C” (KC)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
21
22
33
56
30
11
14
11
11
02
11
20
K
HiLo
21
21
10
04
33
64
25
11
10
03
10
30
N
HiLo
21
10
10
01
50
22
19
43
33
02
00
31
U
HiLo
31
11
10
02
30
11
12
24
25
54
00
32
Z
HiLo
63
22
30
01
30
01
13
01
02
12
02
65
NYMEX/COMEX High-Grade Copper (HG)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
36
52
30
22
00
02
01
32
21
11
01
12
H
HiLo
14
11
54
54
20
13
11
22
21
11
00
11
K
HiLo
12
20
31
00
56
27
31
22
21
11
00
11
N
HiLo
12
20
20
01
12
34
55
54
31
02
00
01
U
HiLo
22
20
10
11
11
14
11
11
75
57
00
00
Z
HiLo
43
21
40
12
11
13
01
21
31
01
03
45
284
TRADING OPTIONS TO WIN
CBT Corn (C)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
11
04
12
51
21
53
32
23
01
21
12
01
K
HiLo
12
04
23
00
32
94
43
11
00
11
11
01
N
HiLo
10
02
21
00
00
23
511
73
00
21
11
20
U
HiLo
20
00
31
00
20
32
25
15
25
30
24
20
Z
HiLo
42
10
41
10
10
42
22
24
01
02
14
24
NYBOT Cotton #2 (CT)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
H
HiLo
00
25
21
34
31
41
10
34
21
01
11
02
K
HiLo
01
03
21
23
41
83
11
24
21
01
11
02
N
HiLo
01
12
21
02
30
32
47
45
20
21
11
00
V
HiLo
10
00
20
10
30
30
11
35
23
04
45
13
Z
HiLo
43
02
20
00
30
21
11
43
21
02
05
33
285
Contract Highs and Lows in Selected Markets, 1980–2002
NYMEX Light Sweet Crude (CL)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
01
25
11
10
10
11
12
20
00
32
31
35
G
HiLo
65
00
23
02
10
10
12
20
00
42
10
04
H
HiLo
43
23
00
14
21
10
12
20
00
42
10
03
J
HiLo
23
02
53
00
34
11
11
10
00
42
10
02
K
HiLo
13
12
23
50
00
33
11
00
00
42
10
04
M
HiLo
13
12
12
20
41
00
23
11
10
41
11
04
N
HiLo
12
12
02
00
30
63
00
13
10
41
11
04
Q
HiLo
12
12
01
01
20
22
66
00
11
52
11
01
U
HiLo
12
02
01
01
20
11
14
72
00
62
11
03
V
HiLo
12
03
11
11
30
11
04
31
52
00
42
02
X
HiLo
03
03
11
11
20
11
03
30
21
63
00
33
Z
HiLo
23
04
11
11
20
11
12
20
10
63
24
00
286
TRADING OPTIONS TO WIN
CME Feeder Cattle (FC)Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
F
HiLo
102
22
02
