CME Group Inc (CME)
CME Group Inc. (Chicago Mercantile Exchange, Chicago Board of Trade, New York Mercantile Exchange, The Commodity Exchange) is an American global markets company. It is the world's largest financial derivatives exchange, and trades in asset classes that include agricultural products, currencies, energy, interest rates, metals, stock indexes and cryptocurrencies futures.
Stock Price Trends
Stock price trends estimated using linear regression.
Key facts
- The primary trend is increasing.
- The growth rate of the primary trend is 23.71% per annum.
- CME price at the close of July 26, 2024 was $200.54 and was lower than the bottom border of the primary price channel by $15.77 (7.29%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 24.15% per annum.
- CME price at the close of July 26, 2024 was inside the secondary price channel.
- The direction of the secondary trend is opposite to the direction of the primary trend. This indicates a possible reversal in the direction of the primary trend.
Linear Regression Model
Model equation:
Yi = α + β × Xi + εi
Top border of price channel:
Exp(Yi) = Exp(a + b × Xi + 2 × s)
Bottom border of price channel:
Exp(Yi) = Exp(a + b × Xi – 2 × s)
where:
i - observation number
Yi - natural logarithm of CME price
Xi - time index, 1 day interval
σ - standard deviation of εi
a - estimator of α
b - estimator of β
s - estimator of σ
Exp() - calculates the exponent of e
Primary Trend
Start date: September 21, 2022
End date: April 26, 2024
a = 4.3781
b = 0.0006
s = 0.0324
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0006) – 1
= 23.71%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0324) – 1
= 13.83%
September 21, 2022 calculations
Top border of price channel:
Exp(Y794)
= Exp(a + b × X794 + 2 × s)
= Exp(a + b × 1,150 + 2 × s)
= Exp(4.3781 + 0.0006 × 1,150 + 2 × 0.0324)
= Exp(5.1134)
= $166.23
Bottom border of price channel:
Exp(Y794)
= Exp(a + b × X794 – 2 × s)
= Exp(a + b × 1,150 – 2 × s)
= Exp(4.3781 + 0.0006 × 1,150 – 2 × 0.0324)
= Exp(4.9838)
= $146.03
April 26, 2024 calculations
Top border of price channel:
Exp(Y1,195)
= Exp(a + b × X1,195 + 2 × s)
= Exp(a + b × 1,733 + 2 × s)
= Exp(4.3781 + 0.0006 × 1,733 + 2 × 0.0324)
= Exp(5.4532)
= $233.51
Bottom border of price channel:
Exp(Y1,195)
= Exp(a + b × X1,195 – 2 × s)
= Exp(a + b × 1,733 – 2 × s)
= Exp(4.3781 + 0.0006 × 1,733 – 2 × 0.0324)
= Exp(5.3237)
= $205.13
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 23.71% per annum.
- CME price at the close of July 26, 2024 was $200.54 and was lower than the bottom border of the primary price channel by $15.77 (7.29%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: February 22, 2024
End date: July 25, 2024
a = 6.6527
b = -0.0008
s = 0.0158
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0008) – 1
= -24.15%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0158) – 1
= 6.53%
February 22, 2024 calculations
Top border of price channel:
Exp(Y1,150)
= Exp(a + b × X1,150 + 2 × s)
= Exp(a + b × 1,669 + 2 × s)
= Exp(6.6527 + -0.0008 × 1,669 + 2 × 0.0158)
= Exp(5.4202)
= $225.92
Bottom border of price channel:
Exp(Y1,150)
= Exp(a + b × X1,150 – 2 × s)
= Exp(a + b × 1,669 – 2 × s)
= Exp(6.6527 + -0.0008 × 1,669 – 2 × 0.0158)
= Exp(5.3569)
= $212.07
July 25, 2024 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(6.6527 + -0.0008 × 1,823 + 2 × 0.0158)
= Exp(5.3035)
= $201.04
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(6.6527 + -0.0008 × 1,823 – 2 × 0.0158)
= Exp(5.2403)
= $188.72
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 24.15% per annum.
- CME price at the close of July 26, 2024 was inside the secondary price channel.