E-mini Russell 2000 (RTY) March (H) contract study: year-by-year results, the day-by-day shape of the move and where highs and lows printed.
Contract Almanac · E-mini Russell 2000
Every March Russell contract 2018–2026, measured over its tenure as the lead contract · Typically leads Dec 13 – Mar 10
The March contract holds the Russell from mid-December to mid-March, and small caps’ winter has been the roughest seat on the index boards: 4 of 9 higher since the contract’s 2017 CME listing, with the 2020 tenure’s −27.4% COVID winter the deepest print. A short file, and a hard one.
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. One honesty note: RTY futures moved to CME in mid-2017, so each seat holds 8 or 9 tenures rather than 16 — 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.