February has typically been positive though mostly choppy for equity markets. Bonds have fared well during the month, while commodities have excelled
A solid run by stocks in January has “the January effect” in full swing.
Since 1950, when January finishes positive, the S&P 500 has averaged a gain of 12% for the remainder of the year. From a seasonality perspective, those gains may have to wait, as February has typically been positive though mostly choppy for equity markets.
Bonds have fared well during the month, while commodities have excelled. Moreover, February has historically since a swell of volatility (though the figures are distorted by the jump in vol in February 2020).
Monthly futures seasonality summary – February 2024
Monthly seasonality in the S&P 500 (/ES)
February is a slightly positive for /ES, on a seasonal basis. Over the past 10 years, February has been the sixth-best month of the year for the index, averaging a gain of 0.58%. Over the past 20 years, it has been the ninth-best month, averaging a gain of 0.08%.
Monthly seasonality in the NASDAQ 100 (/NQ)
February is a slightly bullish month for /NQ, on a seasonal basis. Over the past 10 years, it has been the eighth-best month of the year for the index, averaging a gain of 0.65%. Over the past 20 years, it has been the ninth-best month, averaging a gain of 0.28%.
Monthly seasonality in Treasury notes (/ZN)
February is a bullish month for /ZN, on a seasonal basis. Over the past 10 years, it has been the third-best month of the year for the notes, averaging a gain of 4.1%. Over the past 20 years, it has been the third-best month, averaging a gain of 2.46%.
Monthly seasonality in Treasury bonds (/ZB)
February is a bullish month for /ZB, on a seasonal basis. Over the past 10 years, it has been the fourth-best month of the year for the bonds, averaging a gain of 3.04%. Over the past 20 years, it has been the fourth-best month, averaging a gain of 1.48%.
Monthly seasonality in crude oil (/CL)
February is a bullish month for /CL, on a seasonal basis. Over the past 10 years, it has been the fourth-best month of the year for crude oil, averaging a gain of 2.36%. Over the past 20 years, it has been the third-best month, averaging a gain of 3.65%.
Monthly seasonality in gold (/GC)
February is a bullish month for /GC, on a seasonal basis. Over the past 10 years, it has been the sixth-best month of the year for the precious metal, averaging a gain of 0.76%. Over the past 20 years, it has been the fifth-best month, averaging a gain of 1.09%.
Monthly seasonality in the euro (/6E)
February is a bearish month for /6E, on a seasonal basis. Over the past 10 years, it has been the second-worst month of the year, averaging a loss of 0.65%. Over the past 20 years, it has been the third-worst month of the year, averaging a loss of 0.36%.
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)
February is a bullish month for /VX, on a seasonal basis. Over the past 10 years, it has been the third-best month of the year for volatility, averaging a gain of 11.04%. Over the past 20 years, it has been the fifth-best month, averaging a gain of 5.83%.
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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