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
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 broker, open 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.
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.