October Futures Seasonality: The Bear Killer
October Futures Seasonality: The Bear Killer
October has been called “the bear killer” as it usually kicks off a market rally in the end of the year. What can traders and investors expect?
September is finally over. After another bad month for stocks (not unusual) and bonds (atypical), we now arrive at a crucial turning point in the markets, at least from a seasonality perspective. October has been called “the bear killer” for a good reason.
Not only does it kick off the usual rally into the end of the year (the S&P 500 has rallied 5.5% in the fourth quarter over the past decade), but 7 of the 18 bear markets since World War II have ended in October. And with bearish sentiment reaching an important threshold, October may indeed be another "bear killer."
Monthly Futures Seasonality Summary – October 2023
Monthly Seasonality in S&P 500 (/ES)
October is a bullish month for /ES, on a seasonal basis. Over the past five years, it has been the fifth-best month of the year for the index, averaging a gain of 1.39%. Over the past 10 years, it has been the third-best month of the year, averaging a gain of 2.29%.
Monthly Seasonality in NASDAQ 100 (/NQ)
October is a bullish month for /NQ, on a seasonal basis. Over the past five years, it has been the seventh-best month of the year for the index, averaging a gain of 0.74%. Over the past 10 years, it has been the third-best month of the year, averaging a gain of 2.58%.
Monthly Seasonality in Treasury Notes (/ZN)
October is a bullish month for /ZN, on a seasonal basis. Over the past five years, it has been the second- best month of the year for the notes, averaging a gain of 8.42%. Over the past 10 years, it has been the best month of the year, averaging a gain of 5.54%.
Monthly Seasonality in Treasury Bonds (/ZB)
October is a bullish month for /ZB, on a seasonal basis. Over the past five years, it has been the second- best month of the year for the bonds, averaging a gain of 5.58%. Over the past 10 years, it has been the second-best month of the year, averaging a gain of 3.7%.
Monthly Seasonality in Crude Oil (/CL)
October is a bearish month for /CL, on a seasonal basis. Over the past five years, it has been the sixth-worst month of the year for the energy product, averaging a loss of 0.28%. Over the past 10 years, it has been the fourth-worst month of the year, averaging a loss of 1.32%.
Monthly Seasonality in Gold (/GC)
October is a slightly bullish month for /GC, on a seasonal basis. Over the past five years, it has been the fifth-best month of the year for the precious metal, averaging a gain of 1.05%. Over the past 10 years, it has been the seventh-best month of the year, averaging a gain of 0.02%.
Monthly Seasonality in Euro (/6E)
October is a bearish month for /6E, on a seasonal basis. Over the past five years, it has been the seventh-worst month of the year for the pair, averaging a loss of 0.04%. Over the past 10 years, it has been the third-worst month of the year, averaging a loss of 0.58%. 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)
October is a mixed month for /VX, on a seasonal basis. Over the past five years, it has been the seventh-best month of the year for volatility, averaging a gain of 2.15%. Over the past 10 years, it has been the fourth-worst month of the year, averaging a loss of 2.48%.
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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