Monthly Futures Seasonality for December: The Bull Could Slow
Monthly Futures Seasonality for December: The Bull Could Slow
November was a typically strong month, and December may be shaping up to be the same
Election or not, U.S. equity markets have been trading alongside their usual seasonal trends for most of 2024. November was a typically strong month, and December may be shaping up to be the same: In election years since 1950, the S&P 500 is up in December 83.3% of the time. Similarly, December rarely produces a noteworthy bearish performance and has yielded the worst month of the year only once since 1950.
But an asymmetric wrinkle has occurred in the data series in recent years: While stocks have been up six of the past 10 Decembers, each of the S&P 500 and Nasdaq 100 have averaged negative returns in December over the past decade. Volatility also typically begins to turn higher in anticipation of what has been a historically rockier first quarter of the new year.
Monthly futures seasonality summary – December 2024
Monthly seasonality in S&P 500 (/ES)
December is a mixed month for /ES, on a seasonal basis. Over the past 10 years, it has been the second-worst month of the year for the index, averaging a loss of 0.21%. Over the past 20 years, it has been the sixth best month of the year, averaging a gain of 0.85%.
Monthly seasonality in Nasdaq 100 (/NQ)
December is a mixed if not slightly bearish month for /NQ, on a seasonal basis. Over the past 10 years, it has been the second-worst month of the year for the index, averaging a loss of 0.71%. Over the past 20 years, it has been the fifth-worst month of the year, averaging a gain of 0.42%.
Monthly seasonality in Treasury notes (/ZN)
December is a bullish month for /ZN, on a seasonal basis. Over the past 10 years, it has been the sixth best of the year for the 10 year notes, averaging a gain of 1.41%. Over the past 20 years, it has been the fourth best month of the year, averaging a gain of 2%.
Monthly seasonality in Treasury bonds (/ZB)
December is a mixed month for /ZB, on a seasonal basis. Over the past 10 years, it has been the sixth-best month of the year for the 30-year bonds, averaging a gain of 0.15%. Over the past 20 years, it has been the sixth-worst month of the year, averaging a loss of 0.02%.
Monthly seasonality in crude oil (/CL)
December is a slightly bearish month for /CL, on a seasonal basis. Over the past 10 years, it has been the sixth-worst month of the year for the energy product, averaging a loss of 0.22%. Over the past 20 years, it has been the fourth-worst month of the year, averaging a loss of 0.06%.
Monthly seasonality in gold (/GC)
December is a very bullish month for /GC, on a seasonal basis. Over the past 10 years, it has been the second-best month of the year for the precious metal, averaging a gain of 2.64%. Over the past 20 years, it has been the fourth-best month of the year, averaging a gain of 1.09%.
Monthly seasonality in euro (/6E)
December is a very bullish month for /6E, on a seasonal basis. Over the past 10 years, it has been the best month of the year for the pair, averaging a gain of 1.02%. Over the past 20 years, it has been the best month of the year, averaging a gain of 0.99%. 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)
December is a bullish month for /VX, on a seasonal basis. Over the past 10 years, it has been the fourth-best month of the year for volatility, averaging a gain of 8.56%. Over the past 20 years, it has been the fifth-worst month of the year, averaging a gain of 1.22%.
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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