CME Group (CME) seasonality heatmap
Returns across monthly, quarterly, and yearly periods. Cell color encodes signed magnitude; the scale auto-fits each table.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +5.9% | +10.5% | -5.3% | -2.5% | -5.0% | -1.5% | — | — | — | — | — | — |
| 2025 | +1.8% | +7.3% | +5.1% | +4.4% | +4.3% | -4.2% | +1.0% | -4.2% | +1.9% | -1.7% | +6.0% | -2.5% |
| 2024 | -2.3% | +7.0% | -1.8% | -2.6% | -3.2% | -2.6% | -1.5% | +11.4% | +2.8% | +2.1% | +5.6% | +0.5% |
| 2023 | +5.1% | +4.9% | +4.0% | -3.0% | -3.8% | +4.3% | +7.4% | +1.9% | -0.7% | +6.6% | +2.3% | -0.6% |
| 2022 | +0.5% | +3.1% | +1.0% | -7.8% | -9.3% | +3.5% | -2.5% | -1.9% | -9.0% | -2.2% | +1.8% | -1.6% |
| 2021 | -0.2% | +9.9% | +2.7% | -1.1% | +8.3% | -2.4% | -0.3% | -4.9% | -3.7% | +14.0% | -0.0% | +5.5% |
| 2020 | +8.2% | -8.4% | -12.7% | +3.1% | +2.5% | -10.6% | +2.2% | +5.8% | -4.4% | -9.9% | +16.1% | +6.0% |
| 2019 | -3.1% | -0.2% | -9.1% | +8.7% | +7.4% | +1.4% | +0.2% | +11.8% | -2.4% | -2.6% | -1.5% | +0.6% |
| 2018 | +5.1% | +8.3% | -2.2% | -2.5% | +3.3% | +1.0% | -2.9% | +9.8% | -2.2% | +7.7% | +3.7% | +0.3% |
| 2017 | +5.0% | +0.3% | -1.7% | -2.2% | +0.9% | +7.4% | -2.1% | +2.6% | +8.4% | +1.1% | +9.0% | +0.5% |
| 2016 | -0.8% | +1.8% | +5.7% | -4.3% | +6.5% | +0.1% | +5.0% | +6.0% | -3.0% | -4.2% | +12.8% | +5.5% |
| 2015 | -3.8% | +12.5% | -0.8% | -4.0% | +3.6% | -0.7% | +3.2% | -1.7% | -1.3% | +1.9% | +3.4% | -3.8% |
| 2014 | -4.7% | -1.2% | +0.9% | -4.9% | +2.3% | -0.8% | +4.2% | +3.5% | +5.1% | +4.8% | +1.0% | +7.6% |
| 2013 | +14.1% | +3.2% | +3.7% | -0.9% | +11.6% | +12.5% | -2.5% | -4.0% | +4.5% | +0.4% | +10.4% | -0.6% |
| 2012 | -1.7% | +20.9% | +1.9% | -8.1% | -3.1% | +4.9% | -2.8% | +5.3% | +5.2% | -2.4% | -1.2% | -5.2% |
| 2011 | -4.1% | +0.9% | -2.7% | -1.9% | -3.4% | +2.6% | -0.8% | -7.6% | -7.3% | +11.8% | -9.5% | -1.7% |
| 2010 | -14.6% | +5.2% | +5.2% | +4.2% | -3.8% | -10.8% | -1.0% | -11.0% | +5.4% | +11.2% | -0.6% | +12.1% |
| 2009 | -16.4% | +4.8% | +35.9% | -10.1% | +45.3% | -3.0% | -10.4% | +4.4% | +6.3% | -1.8% | +8.5% | +2.7% |
| 2008 | -10.0% | -16.9% | -8.4% | -2.5% | -5.9% | -10.7% | -6.0% | -6.9% | +12.6% | -24.0% | -24.9% | -1.3% |
| 2007 | +10.5% | -4.3% | -1.1% | -3.0% | +2.8% | +0.8% | +3.4% | +0.4% | +6.0% | +13.4% | -1.1% | +4.3% |
| 2006 | +15.2% | +0.6% | +5.3% | +2.4% | -3.7% | +11.5% | -6.1% | -4.6% | +8.8% | +4.8% | +6.9% | -4.7% |
| 2005 | -6.2% | -3.7% | -5.9% | +0.8% | +10.5% | +36.9% | +1.9% | -7.8% | +21.7% | +8.3% | -3.0% | +3.9% |
| 2004 | +20.8% | +6.7% | +4.0% | +21.1% | +10.2% | +12.0% | -13.1% | +6.1% | +21.4% | +9.0% | +11.4% | +17.0% |
| 2003 | -2.6% | +1.5% | +12.1% | +17.5% | +8.8% | +13.3% | +5.8% | -4.5% | -2.1% | -1.2% | +0.8% | +6.0% |
| 2002 | — | — | — | — | — | — | — | — | — | — | — | — |
| Avg | +0.9% | +3.1% | +1.5% | +0.0% | +3.6% | +2.9% | -0.8% | +0.4% | +3.2% | +2.0% | +2.5% | +2.2% |
| Median | -0.5% | +3.1% | +1.0% | -2.3% | +2.6% | +1.0% | -0.8% | +0.4% | +2.8% | +1.9% | +2.3% | +0.5% |
| Last 5Y Avg | +2.2% | +6.6% | +0.6% | -2.3% | -3.4% | -0.3% | +0.8% | +0.4% | -1.7% | +3.8% | +3.1% | +0.2% |
| Std Dev (σ) | 8.9% | 7.4% | 9.2% | 7.3% | 10.7% | 10.2% | 4.9% | 6.5% | 7.9% | 8.5% | 8.4% | 5.4% |
| Consistency (μ/σ) | 0.10 | 0.42 | 0.16 | 0.00 | 0.34 | 0.28 | -0.16 | 0.07 | 0.41 | 0.24 | 0.30 | 0.41 |
| Win Rate (%) | 46% | 75% | 54% | 33% | 63% | 61% | 43% | 52% | 57% | 61% | 65% | 61% |
| Winning / Losing Months | ▲11▼13 | ▲18▼6 | ▲13▼11 | ▲8▼16 | ▲15▼9 | ▲14▼9 | ▲10▼13 | ▲12▼11 | ▲13▼10 | ▲14▼9 | ▲15▼8 | ▲14▼9 |
| Longest Win / Loss Streak | ▲2▼5 | ▲6▼2 | ▲3▼4 | ▲4▼8 | ▲9▼3 | ▲5▼3 | ▲3▼6 | ▲5▼2 | ▲7▼6 | ▲4▼2 | ▲6▼3 | ▲6▼3 |
| Best | +20.8%in January 2004 | +20.9%in February 2012 | +35.9%in March 2009 | +21.1%in April 2004 | +45.3%in May 2009 | +36.9%in June 2005 | +7.4%in July 2023 | +11.8%in August 2019 | +21.7%in September 2005 | +14.0%in October 2021 | +16.1%in November 2020 | +17.0%in December 2004 |
| Worst | -16.4%in January 2009 | -16.9%in February 2008 | -12.7%in March 2020 | -10.1%in April 2009 | -9.3%in May 2022 | -10.8%in June 2010 | -13.1%in July 2004 | -11.0%in August 2010 | -9.0%in September 2022 | -24.0%in October 2008 | -24.9%in November 2008 | -5.2%in December 2012 |
−24.9%+45.3%
2026
Jan+5.9%
Feb+10.5%
Mar-5.3%
Apr-2.5%
May-5.0%
Jun-1.5%
Jul—
Aug—
Sep—
Oct—
Nov—
Dec—
2025
Jan+1.8%
Feb+7.3%
Mar+5.1%
Apr+4.4%
May+4.3%
Jun-4.2%
Jul+1.0%
Aug-4.2%
Sep+1.9%
Oct-1.7%
Nov+6.0%
Dec-2.5%
2024
Jan-2.3%
Feb+7.0%
Mar-1.8%
Apr-2.6%
May-3.2%
Jun-2.6%
Jul-1.5%
Aug+11.4%
Sep+2.8%
Oct+2.1%
Nov+5.6%
Dec+0.5%
2023
Jan+5.1%
Feb+4.9%
Mar+4.0%
Apr-3.0%
May-3.8%
Jun+4.3%
Jul+7.4%
Aug+1.9%
Sep-0.7%
Oct+6.6%
Nov+2.3%
Dec-0.6%
2022
Jan+0.5%
Feb+3.1%
Mar+1.0%
Apr-7.8%
May-9.3%
Jun+3.5%
Jul-2.5%
Aug-1.9%
Sep-9.0%
Oct-2.2%
Nov+1.8%
Dec-1.6%
2021
Jan-0.2%
Feb+9.9%
Mar+2.7%
Apr-1.1%
May+8.3%
Jun-2.4%
Jul-0.3%
Aug-4.9%
Sep-3.7%
Oct+14.0%
Nov-0.0%
Dec+5.5%
2020
Jan+8.2%
Feb-8.4%
Mar-12.7%
Apr+3.1%
May+2.5%
Jun-10.6%
Jul+2.2%
Aug+5.8%
Sep-4.4%
Oct-9.9%
Nov+16.1%
Dec+6.0%
2019
Jan-3.1%
Feb-0.2%
Mar-9.1%
Apr+8.7%
May+7.4%
Jun+1.4%
Jul+0.2%
Aug+11.8%
Sep-2.4%
Oct-2.6%
Nov-1.5%
Dec+0.6%
2018
Jan+5.1%
Feb+8.3%
Mar-2.2%
Apr-2.5%
May+3.3%
Jun+1.0%
Jul-2.9%
Aug+9.8%
Sep-2.2%
Oct+7.7%
Nov+3.7%
Dec+0.3%
2017
Jan+5.0%
Feb+0.3%
Mar-1.7%
Apr-2.2%
May+0.9%
Jun+7.4%
Jul-2.1%
Aug+2.6%
Sep+8.4%
Oct+1.1%
Nov+9.0%
Dec+0.5%
2016
Jan-0.8%
Feb+1.8%
Mar+5.7%
Apr-4.3%
May+6.5%
Jun+0.1%
Jul+5.0%
Aug+6.0%
Sep-3.0%
Oct-4.2%
Nov+12.8%
Dec+5.5%
2015
Jan-3.8%
Feb+12.5%
Mar-0.8%
Apr-4.0%
May+3.6%
Jun-0.7%
Jul+3.2%
Aug-1.7%
Sep-1.3%
Oct+1.9%
Nov+3.4%
Dec-3.8%
2014
Jan-4.7%
Feb-1.2%
Mar+0.9%
Apr-4.9%
May+2.3%
Jun-0.8%
Jul+4.2%
Aug+3.5%
Sep+5.1%
Oct+4.8%
Nov+1.0%
Dec+7.6%
2013
Jan+14.1%
Feb+3.2%
Mar+3.7%
Apr-0.9%
May+11.6%
Jun+12.5%
Jul-2.5%
Aug-4.0%
Sep+4.5%
Oct+0.4%
Nov+10.4%
Dec-0.6%
2012
Jan-1.7%
Feb+20.9%
Mar+1.9%
Apr-8.1%
May-3.1%
Jun+4.9%
Jul-2.8%
Aug+5.3%
Sep+5.2%
Oct-2.4%
Nov-1.2%
Dec-5.2%
2011
Jan-4.1%
Feb+0.9%
Mar-2.7%
Apr-1.9%
May-3.4%
Jun+2.6%
Jul-0.8%
Aug-7.6%
Sep-7.3%
Oct+11.8%
Nov-9.5%
Dec-1.7%
2010
Jan-14.6%
Feb+5.2%
Mar+5.2%
Apr+4.2%
May-3.8%
Jun-10.8%
Jul-1.0%
Aug-11.0%
Sep+5.4%
Oct+11.2%
Nov-0.6%
Dec+12.1%
2009
Jan-16.4%
Feb+4.8%
Mar+35.9%
Apr-10.1%
May+45.3%
Jun-3.0%
Jul-10.4%
Aug+4.4%
Sep+6.3%
Oct-1.8%
Nov+8.5%
Dec+2.7%
2008
Jan-10.0%
Feb-16.9%
Mar-8.4%
Apr-2.5%
May-5.9%
Jun-10.7%
Jul-6.0%
Aug-6.9%
Sep+12.6%
Oct-24.0%
Nov-24.9%
Dec-1.3%
2007
Jan+10.5%
Feb-4.3%
Mar-1.1%
Apr-3.0%
May+2.8%
Jun+0.8%
Jul+3.4%
Aug+0.4%
Sep+6.0%
Oct+13.4%
Nov-1.1%
Dec+4.3%
2006
Jan+15.2%
Feb+0.6%
Mar+5.3%
Apr+2.4%
May-3.7%
Jun+11.5%
Jul-6.1%
Aug-4.6%
Sep+8.8%
Oct+4.8%
Nov+6.9%
Dec-4.7%
2005
Jan-6.2%
Feb-3.7%
Mar-5.9%
Apr+0.8%
May+10.5%
Jun+36.9%
Jul+1.9%
Aug-7.8%
Sep+21.7%
Oct+8.3%
Nov-3.0%
Dec+3.9%
2004
Jan+20.8%
Feb+6.7%
Mar+4.0%
Apr+21.1%
May+10.2%
Jun+12.0%
Jul-13.1%
Aug+6.1%
Sep+21.4%
Oct+9.0%
Nov+11.4%
Dec+17.0%
2003
Jan-2.6%
Feb+1.5%
Mar+12.1%
Apr+17.5%
May+8.8%
Jun+13.3%
Jul+5.8%
Aug-4.5%
Sep-2.1%
Oct-1.2%
Nov+0.8%
Dec+6.0%
2002
Jan—
Feb—
Mar—
Apr—
May—
Jun—
Jul—
Aug—
Sep—
Oct—
Nov—
Dec—
Avg
Jan+0.9%
Feb+3.1%
Mar+1.5%
Apr+0.0%
May+3.6%
Jun+2.9%
Jul-0.8%
Aug+0.4%
Sep+3.2%
Oct+2.0%
Nov+2.5%
Dec+2.2%
Median
Jan-0.5%
Feb+3.1%
Mar+1.0%
Apr-2.3%
May+2.6%
Jun+1.0%
Jul-0.8%
Aug+0.4%
Sep+2.8%
Oct+1.9%
Nov+2.3%
Dec+0.5%
Last 5Y Avg
Jan+2.2%
Feb+6.6%
Mar+0.6%
Apr-2.3%
May-3.4%
Jun-0.3%
Jul+0.8%
Aug+0.4%
Sep-1.7%
Oct+3.8%
Nov+3.1%
Dec+0.2%
Std Dev (σ)
Jan8.9%
Feb7.4%
Mar9.2%
Apr7.3%
May10.7%
Jun10.2%
Jul4.9%
Aug6.5%
Sep7.9%
Oct8.5%
Nov8.4%
Dec5.4%
Consistency (μ/σ)
Jan0.10
Feb0.42
Mar0.16
Apr0.00
May0.34
Jun0.28
Jul-0.16
Aug0.07
Sep0.41
Oct0.24
Nov0.30
Dec0.41
Win Rate (%)
Jan46%
Feb75%
Mar54%
Apr33%
May63%
Jun61%
Jul43%
Aug52%
Sep57%
Oct61%
Nov65%
Dec61%
Winning / Losing Months
Jan▲11▼13
Feb▲18▼6
Mar▲13▼11
Apr▲8▼16
May▲15▼9
Jun▲14▼9
Jul▲10▼13
Aug▲12▼11
Sep▲13▼10
Oct▲14▼9
Nov▲15▼8
Dec▲14▼9
Longest Win / Loss Streak
Jan▲2▼5
Feb▲6▼2
Mar▲3▼4
Apr▲4▼8
May▲9▼3
Jun▲5▼3
Jul▲3▼6
Aug▲5▼2
Sep▲7▼6
Oct▲4▼2
Nov▲6▼3
Dec▲6▼3
Best
Jan+20.8%2004
Feb+20.9%2012
Mar+35.9%2009
Apr+21.1%2004
May+45.3%2009
Jun+36.9%2005
Jul+7.4%2023
Aug+11.8%2019
Sep+21.7%2005
Oct+14.0%2021
Nov+16.1%2020
Dec+17.0%2004
Worst
Jan-16.4%2009
Feb-16.9%2008
Mar-12.7%2020
Apr-10.1%2009
May-9.3%2022
Jun-10.8%2010
Jul-13.1%2004
Aug-11.0%2010
Sep-9.0%2022
Oct-24.0%2008
Nov-24.9%2008
Dec-5.2%2012
−24.9%+45.3%
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