Monthly Futures Seasonality, March 2024: Stocks’ Rally on Strong Foundation

Typically, March is a good month for U.S. equity markets, with both the S&P 500 and Nasdaq 100 having positive average returns over the past 10- and 20-years.

• A four-month run of gains to end a year and to start a new one uncommon.
• March is typically a good month for U.S. equity markets.
• March is a mixed month for crude oil.

Four consecutive months of gains from November through February have established a solid foundation of U.S. equity markets for the rest of 2024.

A four-month run of gains to end a year and to start a new one is an uncommon occurrence. It has only happened 14 times for the S&P 500 since 1950. The results were consistent thereafter, with the S&P 500 rising for the rest of the year each of those 14 times, producing an average gain of 14.9% through the remaining 10 months of the year.

As for March? Typically, March is a good month for U.S. equity markets, with both the S&P 500 and Nasdaq 100 having positive average returns over the past 10 and 20 years. Yet gains in March tend to be accentuated after a year-ending/year-beginning four month run of gains.

In the 14 times we’ve seen such a run, March has traded higher 79% of the time to produce an average gain of 2.1%.

Monthly futures seasonality summary – March 2024

Notwithstanding the strong technical stature in U.S. equity markets and given the historical tendency of volatility to come down meaningfully over the course of March, there are several reasons to think that the bull run may not be finished just yet.

Monthly seasonality in S&P 500 (/ES)

March is a bullish month for /ES, on a seasonal basis. Over the past 10 years, it has been the seventh-best month of the year for the index, averaging a gain of 0.21%. Over the past 20 years, it has been the fifth-best month, averaging a gain of 0.92%.

Monthly seasonality in Nasdaq 100 (/NQ)

March is a bullish month for the Nasdaq (/NQ), on a seasonal basis. Over the past 10 years, it has been the tenth-best month of the year for the index, averaging a gain of 0.39% (making it the weakest positive month). Over the past 20 years, it has been the fifth-best month of the year, averaging a gain of 1.53%.

Monthly seasonality in Treasury notes (/ZN)

March is a bearish month for Treasury Notes (/ZN), on a seasonal basis. Over the past 10 years, it has been the fourth-worst month of the year for the notes, averaging a loss of 1.61%. Over the past 20 years, it has been the fifth-worst month, averaging a loss of 0.27%.

Monthly seasonality in Treasury bonds (/ZB)

March is a bearish month for Treasury Bonds (/ZB), on a seasonal basis. Over the past 10 years, it has been the fourth-worst month of the year for the bonds, averaging a loss of 1.85%. Over the past 20 years, it has been the fifth-worst month, averaging a loss of 0.10%.

Monthly seasonality in crude oil (/CL)

March is a mixed but skewed bearish month for crude oil (/CL), on a seasonal basis. Over the past 10 years, it has been the second-worst month of the year for the energy product, averaging a loss of 4.27%. Over the past 20 years, it has been the seventh-best month of the year, averaging a gain of 0.31%.

Monthly Seasonality in Gold (/GC)

March is a slightly bullish month for gold (/GC), on a seasonal basis. Over the past 10 years, it has been the ninth-best month of the year for the precious metal, averaging a gain of 0.27% (making it the weakest positive month). Over the past 20 years, it has been the eighth best month, averaging a gain of 0.10% (making it the weakest positive month).

Monthly seasonality in the euro (/6E)

March is a mixed month for the euro (/6E), on a seasonal basis. Over the past 10 years, it has been the seventh-worst month of the year for the pair, averaging a loss of 0.10%. Over the past 20 years, it has been the fourth-best month, averaging a gain of 0.34%. 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)

March is a bearish month for the VIX (/VX), on a seasonal basis. Over the past 10 years, it has been the worst month of the year for volatility, averaging a loss of 6.78%. Over the past 20 years, it has been the second-worst month o, averaging a loss of 5.24%.

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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