Monthly Futures Seasonality, November 2023: New Running of the Bulls?

Hope springs eternal, particularly in November, which has been one of the best months for stocks

October was a disappointment. Deemed “the bear killer,” it was more of a “killer bear” that saw the S&P 500, Nasdaq 100, and Russell 2000 fall into technical correction territory (-10% or more off the year high).

Alas, hope springs eternal, particularly in November, which has been one of the best months for stocks. In fact, given the S&P 500’s average return of +5.5% in the fourth quarter over the past decade, 61% of the fourth-quarter gains have been accumulated in November.

Monthly futures seasonality summary – November 2023

Monthly seasonality in S&P 500 (/ES)

November is a very bullish month for the S&P 500 (/ES), on a seasonal basis. Over the past five years, it has been the second-best month of the year for the index, averaging a gain of 4.14%. Over the past 10 years, it has been the best month of the year, averaging a gain of 3.34%.

Monthly seasonality in NASDAQ 100 (/NQ)

November is a very bullish month for the NASDAQ 100 (/NQ), on a seasonal basis. Over the past five years, it has been the second-best month of the year for the index, averaging a gain of 4.4%. Over the past 10 years, it has been the second-best month of the year, averaging a gain of 3.29%.

Monthly seasonality in Treasury notes (/ZN)

November is a mixed month for Treasury notes (/ZN), on a seasonal basis. Over the past five years, it has been the second-worst month of the year for the notes, averaging a loss of 4.34%. Over the past 10 years, it has been the sixth-worst month of the year, averaging a gain of 1.31%.

Monthly seasonality in Treasury bonds (/ZB)

November is a slightly bearish month for Treasury bonds (/ZB), on a seasonal basis. Over the past five years, it has been the fifth worst month of the year for the bonds, averaging a loss of 0.50%. Over the past 10 years, it has been the fourth-worst month of the year, averaging a loss of 0.85%.

Monthly seasonality in crude oil (/CL)

November is a very bearish month for crude oil (/CL), on a seasonal basis. Over the past five years, it has been the second-worst month of the year for the energy product, averaging a loss of 4.25%. Over the past 10 years, it has been the worst month of the year, averaging a loss of 4.24%.

Monthly seasonality in gold (/GC)

November is a bearish month for gold (/GC), on a seasonal basis. Over the past years, it has been the third-worst month of the year for the precious metal, averaging a loss of 0.50%. Over the past 10 years, it has been the second worst month of the year, averaging a loss of 2.22%.

Monthly seasonality in the euro (/6E)

November is a bearish month for The U.K. pound (/6E), on a seasonal basis. Over the past five years, it has been the second-best month of the year for the pair, averaging a gain of 0.93%. Over the past 10 years, it has been the fifth-best month of the year, averaging a loss of 0.12%. 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)

November is a bearish month for the CBOE Volatility Index (/VX), on a seasonal basis. Over the past five years, it has been the worst month of the year for volatility, averaging a loss of 6.49%. Over the past 10 years, it has been the second worst month of the year, averaging a loss of 5.23%.

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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