What is the monthly seasonality?

Monthly seasonality is defined as a regular pattern that recurs every month in data that is observed more frequently than monthly . This is different from the seasonality you frequently see in monthly observations which exhibit an annual seasonality.

What is the trade seasonality?

Seasonality is the tendency for securities to perform better during some time periods and worse during others .

What is the relationship between futures and the stock market?

The rise or fall in index futures outside of normal market hours is often used as an indication of whether the stock market will open higher or lower the next day . When index futures prices deviate too far from fair value, arbitrageurs deploy buy and sell programs in the stock market to profit from the difference.

What are the season tendencies?

Season tendencies are just that, tendencies. This means prices have, in the past, tended to move in a certain direction during a certain time of year . However, there are no guarantees as to what point in that period prices will move, how far they will move, or if they will even move.

How to check seasonality of stocks?

Histogram. In Histogram mode, a seasonality chart has a histogram bar for each month of the year . The height of each bar is determined by the percentage of years that the stock ($SPX in the example above) has risen during that month. The number at the bottom of each column is the average gain/loss for that month.

How to calculate seasonality?

Pick time period (number of years) Pick season period (month, quarter) Calculate average price for season. Calculate average price over time. Divide season average by over time average price x 100.

What is futures market seasonality?

Seasonal futures trading is a trading strategy that involves taking positions in futures contracts based on the anticipated seasonal patterns or fluctuations in prices of certain commodities or financial instruments.

What is the monthly seasonality of a stock?

“Sell in May and go away” is a well-known seasonal pattern in the financial markets that suggests that investors should sell their stocks in May and reinvest in November, as the markets tend to underperform during the summer months (May to October) and outperform during the winter months (November to April).

What is an example of seasonality?

By seasonality, we mean periodic fluctuations. For example, retail sales tend to peak for the Christmas season and then decline after the holidays . So time series of retail sales will typically show increasing sales from September through December and declining sales in January and February.

What is the seasonality cycle?

Seasonality refers to periodic fluctuations in certain business areas and cycles that occur regularly based on a particular season . A season may refer to a calendar season such as summer or winter, or it may refer to a commercial season such as the holiday season.

What is the time series for seasonality?

We say that a time series exhibits seasonality whenever there is a regular, periodic change in the mean of the series . Seasonal changes generally follow the clock and calendar -- repetitions over a day, a week, or a year are common.

What are the three types of seasonality?

Hourly data usually has three types of seasonality: a daily pattern, a weekly pattern, and an annual pattern .

April Monthly Futures Seasonality (2024)

It's a generational bull market—and it might not be over soon

The market rallied in 18 of 22 weeks to gain at least 27%.
It is a particularly good month for U.S. equity markets.
April is a very bullish month for the S&P 500, on a seasonal basis.

Five consecutive months of gains from November through March have solidified a generational bull market.

Never has the market rallied in 18 of 22 weeks to gain at least 27%—that may still have more gains to come. A five-month run of gains to end a year and to start a new one is an uncommon occurrence: it has only happened 11 times previously for the S&P 500 since 1950.

The results have been consistent thereafter, with the S&P 500 rising for the rest of the year each of those 11 times, producing an average gain of 11.9% through the remaining nine months of the year.

And for April itself? It is a particularly 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, with April being the second-best month for both indexes over the past 20 years. Alongside the continued strong technical stature in U.S. equity markets, the historic bull run may still be in its middle innings.

Monthly futures seasonality summary: April 2024

Monthly seasonality in S&P 500 (/ES)

April is a very bullish month for /ES, on a seasonal basis. Over the past 10 years, it has been the fourth-best month of the year for the index, averaging a gain of 1.81%. Over the past 20 years, it has been the best month of the year, averaging a gain of 2.27%.

Monthly seasonality in the Nasdaq 100 (/NQ)

April is a very bullish month for /NQ, on a seasonal basis. Over the past 10 years, it has been the fifth-best month for the index, averaging a gain of 1.68%. Over the past 20 years, it has been the second-best month, averaging a gain of 2.32%.

Monthly seasonality in Treasury notes (/ZN)

April is a bullish month for /ZN, on a seasonal basis. Over the past 10 years, it has been the fifth-best month of the year for the notes, averaging a gain of 2.71%. Over the past 20 years, it has been the fifth-best month of the year, averaging a gain of 1.78%.

Monthly seasonality in Treasury bonds (/ZB)

April is a bullish month for /ZB, on a seasonal basis. Over the past 10 years, it has been the third-best month of the year for the bonds, averaging a gain of 3.07%. Over the past 20 years, it has been the third-best month of the year, averaging a gain of 1.94%.

Monthly seasonality in crude oil (/CL)

April is a very bullish month for /CL, on a seasonal basis. Over the past 10 years, it has been the second-best month of the year for crude oil, averaging a gain of 5.79%. Over the past 20 years, it has been the second-best month of the year, averaging a gain of 4.1%.

Monthly seasonality in gold (/GC)

April is a bullish month for /GC, on a seasonal basis. Over the past 10 years, it has been the third-best month of the year for the precious metal, averaging a gain of 1.61%. Over the past 20 years, it has been the sixth-best month of the year, averaging a gain of 1.07%.

Monthly seasonality in the euro (/6E)

April is a very bullish month for /6E, on a seasonal basis. Over the past 10 years, it has been the second-best month of the year for the pair, averaging a gain of 0.49%.

Over the past 20 years, it has been the second-best month of the year, averaging a gain 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 the VIX (/VX)

April is a bearish month for /VX, on a seasonal basis. Over the past 10 years, it has been the fifth-worst month of the year for volatility, averaging, a loss of 2.62%. Over the past 20 years, it has been the third worst-month. averaging a loss of -1.3%.

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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