Monthly Futures Seasonality, September 2024: Typically Terrible
Monthly Futures Seasonality, September 2024: Typically Terrible
Cross-asset performance seems crisis-like—everything but dollars and Treasuries goes down.
August saw a sharp rise in volatility, at least temporarily, and a modest rise in U.S. equity markets when all was said and done. Despite the rebound in share prices and drop in volatility, anxiety remains and technical structures remain shaky at best.
Historically, September is not the month to provide relief for nervous hands. The worst month of the year for both the S&P 500 and Nasdaq 100 is likewise the worst month of the year for gold. If history is any guide, bonds and the U.S. dollar may find new reasons to rally. Cumulatively, the seasonal cross-asset performance speaks to crisis-like flows, whereby everything not dollars or Treasuries goes down.
Monthly futures seasonality summary–September 2024
Monthly seasonality in S&P 500 (/ES)
September is a very bearish month for /ES, on a seasonal basis. Over the past 10 years, it has been the worst month of the year for the index, averaging a loss of 1.65%. Over the past 20 years, it has been the worst month of the year, averaging a loss of 0.56%.
Monthly Seasonality in Nasdaq 100 (/NQ)
September is a bearish month for /NQ, on a seasonal basis. Over the past 10 years, it has been the worst month of the year for the index, averaging a loss of 1.8%. Over the past 20 years, it has been the worst month of the year, averaging a loss of 0.18%. 
Monthly seasonality in Treasury notes (/ZN)
September is a bullish month for /ZN, on a seasonal basis. Over the past 10 years, it has been the best month of the year for the 10-year notes, averaging a gain of 6.93%. Over the past 20y ears, it has been the second-best month of the year, averaging a gain of 3.05%.
Monthly seasonality in Treasury bonds (/ZB)
September is a bullish month for /ZB, on a seasonal basis. Over the past 10 years, it has been the best month of the year for the 30-year bonds, averaging a gain of 5.33%. Over the past 20 years, it has been the second-best month of the year, averaging a gain of 2.16%.
Monthly seasonality in crude oil (/CL)
September is a slightly bullish month for /CL, on a seasonal basis. Over the past 10 years, it has been the sixth best month of the year for the energy product, averaging a gain of 0.83%. Over the past 20 years, it has been the fifth-worst month of the year, averaging a gain of 0.06%.
Monthly seasonality in gold (/GC)
September is a bearish month for /GC, on a seasonal basis. Over the past 10 years, it has been the worst month of the year for the precious metal, averaging a loss of 3.02%. Over the past 20 years, it has been the worst month of the year, averaging a loss of 0.54%.
Monthly seasonality in euro (/6E)
September is a bearish month for /6E, on a seasonal basis. Over the past 10 years, it has been the worst month of the year for the pair, averaging a loss of 1.37%. Over the past 20-years, it has been the fourth worst month of the year, averaging a loss of -0.36%. 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)
September is a bullish month for /VX, on a seasonal basis. Over the past 10 years, it has been the fifth-best month of the year for volatility, averaging a gain of 8.26%. Over the past 20 years, it has been the third best month of the year, averaging a gain of 7.12%.
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
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