E-mini S&P 500 (ES) futures seasonality: sixteen years of month-by-month tendency, win rates and average change.
Futures Seasonality · 15-Year Study
Based on the last 15 completed calendar years · Updated for 2026
Everyone knows the folklore: sell in May, fear September, ride the year-end rally. The 15-year record on the E-mini keeps some of it and throws some of it out. May has actually been fine, September has earned its reputation, and the two best months of the year sit exactly where most calendars never look. Here is the month-by-month record.
E-mini S&P 500 (ES) — Average Monthly Change
15-year average, by calendar month. Hover any bar for the detail.
Every calendar month, ranked as it falls on the calendar. “Win rate” is how often the S&P closed the month higher; “avg change” is the mean move; “range” is the average high-to-low travel within the month.
| Month | Up / Down | Win rate | Avg change | Avg range |
|---|
Table view doubles as the accessible read of the chart above.
July and November are the twin peaks. Each has closed higher in 13 of the last 15 years (87%), with November the bigger average gainer at 3.3% and July close behind at 2.7%. July is also the calmest month on the board, with the year’s smallest average range, a rare combination of high odds and low turbulence.
September is the one piece of folklore the record fully supports. It is the only month with a losing record, higher just 7 of 15 years, and the only one averaging a real decline at 1.3%. August leans flat beside it, which makes late summer the seam of the calendar.
“Sell in May” has not paid on the E-mini. May is up 10 of the last 15 years and June and July lean firmly higher behind it. Over this window the summer was for owning, and the selling that mattered waited until September. The folklore is a season late.
A seasonal average tells you the backdrop. It doesn’t tell you where the S&P sits against that backdrop today, whether this year is tracking the norm or fighting it, or the levels that matter into the next session. That is what The Traders Brief does every morning, across the indexes, energy, and metals.
See today’s read →Which month is historically best for the S&P 500?
July and November are tied for consistency, each higher 13 of the last 15 years (87%). November has the bigger average gain at +3.3%.
Which month is worst for the S&P 500?
September, the only month with a losing record over the window, higher just 7 of 15 years (47%) with an average decline of 1.3%.
Does “sell in May” work on the S&P?
Not over the last 15 years. May, June, and July all lean higher, with July one of the two best months of the calendar. The seasonal weakness arrives in September, not spring.
Seasonal tendencies are drawn from 15 years of historical E-mini S&P 500 futures data and describe the past. They are not a forecast and not trading advice. Markets can and do trade against their seasonal record in any given year. © 2026 The Traders Brief.