E-mini S&P 500 (ES) September (U) contract study: year-by-year results, the day-by-day shape of the move and where highs and lows printed.
Contract Almanac · E-mini S&P 500
Every September S&P contract 2010–2025, measured over its tenure as the lead contract · Typically leads Jun 12 – Sep 11
The September contract is the quiet champion of the entire index study: 14 of 16 tenures higher, 88%, holding the S&P from mid-June to mid-September, the summer months traders are taught to fear. The record says the fear is misfiled: the summer seat has been the steadiest money on the board.
Each year is one contract, measured from the open of the day it took over the lead to the close of the day it handed off, the same roll convention used across all Traders Brief research. An index contract holds the lead for a full quarter, roughly 63 trading days from one roll to the next — these are quarterly seats, not months, and the day counts read accordingly. All highs and lows are the contract’s own trades, marked by trading day of the tenure, not calendar day.