uploaded image
Image courtesy of Shutterstock

Monthly Futures Seasonality, May 2024: Sell in May and Go Away?

By:Christopher Vecchio, CFA

Sell in May and go away? Not so fast.

  • April proved to be a massive disappointment f for U.S. equity markets.
  • May is a bullish month for the S&P 500.
  • It's a bearish month for Treasury notes.

After five consecutive months of gains, April proved to be a massive disappointment from a seasonal perspective for U.S. equity markets.

At one point in April, the Nasdaq 100 erased all its gains year-to-date, if only to underscore how poorly price action unfolded despite the promising historical backdrop

The bull market might be still alive

That said, historical price data still suggests that the bull market may not be dead yet. April marked the end of a five-month winning streak. Since 1950, there have been 30 prior instances of five green months failing to continue the rally into a sixth month.

On average, one month later, the S&P 500 was higher 73% of the time for a gain of 1.9%; three months later, the S&P 500 averaged a gain 3.9%, rallying 83% of the time. The correction seen in April is not unique and does not necessarily suggest that a new bear market has begun, if history is any sort of guide.

What about "sell in May and go away," the popular axiom peddled by financial media? It’s a fun turn of phrase, but nothing more. The May-July window has produced positive returns over the past 10 and 20 years for both the S&P 500 and Nasdaq 100. The appropriate catchphrase should be "buy through July."

Monthly futures seasonality summary – May 2024 

Monthly Seasonality Summary

Monthly seasonality in S&P 500 (/ES) 

/ES

May is a bullish month for /ES, on a seasonal basis. Over the past 10 years, it has been the fifth-best month of the year for the index, averaging a gain of 1.01%. Over the past 20 years, it has been the sixth-worst month of the year, averaging a gain of 0.53%.  

Monthly seasonality in Nasdaq 100 (/NQ) 

/NQ

May is a bullish month for /NQ, on a seasonal basis. Over the past 10 years, it has been the fourth-best month for the index, averaging a gain of 1.92%. Over the past 20 years, it has been the sixth-best month, averaging a gain of 1.44%.  

Monthly seasonality in Treasury notes (/ZN) 

/ZN

May is a bearish month for /ZN, on a seasonal basis. Over the past 10 years, it has been the third-worst month of the year for the notes, averaging a loss of 1.95%. Over the past 20 years, it has been the sixth-worst month, averaging a loss of 0.14%.  

Monthly seasonality in Treasury bonds (/ZB) 

/ZB

May is a neutral month for /ZB, on a seasonal basis. Over the past 10 years, it has been the sixth-worst month for the bonds, averaging a loss of 0.3%. Over the past 20 years, it has been the sixth-best month of the year, averaging a gain of 0.02%. 

Monthly seasonality in crude oil (/CL) 

/CL

May is a very bullish month for /CL, on a seasonal basis. Over the past 10 years, it has been the best month of the year for crude, averaging a gain of 8.14%. Over the past 20 years, it has also been the best month, averaging a gain of 4.4%.  

 Monthly seasonality in gold (/GC) 

/GC

May is a bearish month for /GC, on a seasonal basis. Over the past 10 years, it has been the third-worst month of the year for the precious metal, averaging a loss of 0.4%. Over the past 20 years, it has been the second-worst month, averaging a loss of 0.49%. 

Monthly seasonality in the euro (/6E) 

/6E

May is a very bearish month for /6E, on a seasonal basis. Over the past 10 years, it has been the fourth-worst month of the year for the pair, averaging a loss of 0.51%. Over the past 20 years, it has been the worst month, averaging a loss of 0.97%. Note: the time series for Euro futures (/6E) does not extend beyond 2018; the data series has been backfilled using EUR/USD spot rates as a proxy. 

Monthly seasonality in VIX (/VX) 

/VX

May is a neutral month for /VX, on a seasonal basis. Over the past 10 years, it has been the fourth worst month of the year for volatility, averaging a loss of 3.11%. Over the past 20 years, it has been the sixth-best month, averaging a gain of 2.78%. 

Christopher Vecchio, CFA, tastylive’s head of futures and forex, has been trading for nearly 20 years. He has consulted with multinational firms on FX hedging and lectured at Duke Law School on FX derivatives. Vecchio searches for high-convexity opportunities at the crossroads of macroeconomics and global politics. He hosts Futures Power Hour Monday-Friday and Let Me Explain on Tuesdays, and co-hosts Overtime, Monday-Thursday. @cvecchiofx

For live daily programming, market news and commentary, visit tastylive or the YouTube channels tastylive (for options traders), and tastyliveTrending for stocks, futures, forex & macro. 

Trade with a better brokeropen a tastytrade account today. tastylive, Inc. and tastytrade, Inc. are separate but affiliated companies. 


Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Related Posts

tastylive content is created, produced, and provided solely by tastylive, Inc. (“tastylive”) and is for informational and educational purposes only. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures contract, digital asset, other product, transaction, or investment strategy is suitable for any person. Trading securities, futures products, and digital assets involve risk and may result in a loss greater than the original amount invested. tastylive, through its content, financial programming or otherwise, does not provide investment or financial advice or make investment recommendations. Investment information provided may not be appropriate for all investors and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance. tastylive is not in the business of transacting securities trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any particular client’s situation or investment objectives. Supporting documentation for any claims (including claims made on behalf of options programs), comparisons, statistics, or other technical data, if applicable, will be supplied upon request. tastylive is not a licensed financial adviser, registered investment adviser, or a registered broker-dealer.  Options, futures, and futures options are not suitable for all investors.  Prior to trading securities, options, futures, or futures options, please read the applicable risk disclosures, including, but not limited to, the Characteristics and Risks of Standardized Options Disclosure and the Futures and Exchange-Traded Options Risk Disclosure found on tastytrade.com/disclosures.

tastytrade, Inc. ("tastytrade”) is a registered broker-dealer and member of FINRA, NFA, and SIPC. tastytrade was previously known as tastyworks, Inc. (“tastyworks”). tastytrade offers self-directed brokerage accounts to its customers. tastytrade does not give financial or trading advice, nor does it make investment recommendations. You alone are responsible for making your investment and trading decisions and for evaluating the merits and risks associated with the use of tastytrade’s systems, services or products. tastytrade is a wholly-owned subsidiary of tastylive, Inc.

tastytrade has entered into a Marketing Agreement with tastylive (“Marketing Agent”) whereby tastytrade pays compensation to Marketing Agent to recommend tastytrade’s brokerage services. The existence of this Marketing Agreement should not be deemed as an endorsement or recommendation of Marketing Agent by tastytrade. tastytrade and Marketing Agent are separate entities with their own products and services. tastylive is the parent company of tastytrade.

tastycrypto is provided solely by tasty Software Solutions, LLC. tasty Software Solutions, LLC is a separate but affiliate company of tastylive, Inc. Neither tastylive nor any of its affiliates are responsible for the products or services provided by tasty Software Solutions, LLC. Cryptocurrency trading is not suitable for all investors due to the number of risks involved. The value of any cryptocurrency, including digital assets pegged to fiat currency, commodities, or any other asset, may go to zero.

© copyright 2013 - 2024 tastylive, Inc. All Rights Reserved.  Applicable portions of the Terms of Use on tastylive.com apply.  Reproduction, adaptation, distribution, public display, exhibition for profit, or storage in any electronic storage media in whole or in part is prohibited under penalty of law, provided that you may download tastylive’s podcasts as necessary to view for personal use. tastylive was previously known as tastytrade, Inc. tastylive is a trademark/servicemark owned by tastylive, Inc.