Seasonality
CME seasonality — CME Group
Over the last 11 years, CME's strongest month on average has been November (+4.8%) and its weakest March (-2.7%).
Average return by month
Month-by-month statistics
| Month | Avg | Median | Up % | Best | Worst | Yrs |
|---|---|---|---|---|---|---|
| Jan | +2.59% | +3.41% | 70% | +8.2% | -3.1% | 10 |
| Feb | +4.27% | +5.99% | 80% | +10.5% | -8.4% | 10 |
| Mar | -2.66% | -2.24% | 40% | +4.5% | -13.0% | 10 |
| Apr | -0.56% | -2.35% | 30% | +8.7% | -7.8% | 10 |
| May | +0.54% | +1.71% | 60% | +8.3% | -9.3% | 10 |
| Jun | -2.58% | -1.08% | 50% | +6.8% | -19.3% | 10 |
| Jul | +2.27% | -0.05% | 50% | +21.3% | -2.9% | 10 |
| Aug | +3.88% | +4.21% | 70% | +11.8% | -4.9% | 10 |
| Sep | -2.17% | -2.66% | 30% | +7.8% | -9.4% | 10 |
| Oct | +3.08% | +1.62% | 60% | +15.7% | -9.9% | 10 |
| Nov | +4.80% | +3.73% | 78% | +16.1% | -1.5% | 9 |
| Dec | -0.83% | -1.68% | 30% | +4.0% | -4.7% | 10 |
Monthly returns heat map — CME
price return, %| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.8 | 10.5 | -7.6 | -2.5 | -5.0 | -19.3 | 21.3 | 6.6 | -8.2 | 15.7 | 0.9 | +12.0% | |
| 2025 | 1.9 | 7.3 | 4.5 | 4.4 | 4.3 | -4.6 | 1.0 | -4.2 | 1.4 | -1.7 | 6.0 | -3.0 | +17.6% |
| 2024 | -2.3 | 7.0 | -2.3 | -2.6 | -3.2 | -3.1 | -1.5 | 11.4 | 2.3 | 2.1 | 5.6 | -2.4 | +10.3% |
| 2023 | 5.0 | 4.9 | 3.3 | -3.0 | -3.8 | 3.7 | 7.4 | 1.9 | -1.2 | 6.6 | 2.3 | -3.5 | +25.2% |
| 2022 | 0.5 | 3.1 | 0.6 | -7.8 | -9.3 | 3.0 | -2.5 | -1.9 | -9.4 | -2.2 | 1.9 | -4.7 | -26.4% |
| 2021 | -0.2 | 9.9 | 2.3 | -1.1 | 8.3 | -2.8 | -0.3 | -4.9 | -4.1 | 14.1 | -0.0 | 3.6 | +25.5% |
| 2020 | 8.2 | -8.4 | -13.0 | 3.1 | 2.5 | -11.0 | 2.2 | 5.8 | -4.9 | -9.9 | 16.1 | 4.0 | -9.3% |
| 2019 | -3.1 | -0.2 | -9.5 | 8.7 | 7.4 | 1.0 | 0.2 | 11.8 | -2.7 | -2.6 | -1.5 | -1.0 | +6.7% |
| 2018 | 5.1 | 8.3 | -2.7 | -2.5 | 3.3 | 0.6 | -2.9 | 9.8 | -2.6 | 7.7 | 3.7 | -1.0 | +28.8% |
| 2017 | 5.0 | 0.3 | -2.2 | -2.2 | 0.9 | 6.8 | -2.1 | 2.6 | 7.8 | 1.1 | 9.0 | -2.3 | +26.6% |
| 2016 | 2.2 |