E-mini Russell 2000 (RTY) 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 Russell 2000
Every September Russell contract 2018–2025, measured over its tenure as the lead contract · Typically leads Jun 14 – Sep 12
The September contract holds the Russell through summer, mid-June to mid-September, and the index boards’ summer sweep extends here: 5 of 8 higher since 2017 with the losses trivial, the smallest of them barely a percent. Even small caps, the choppiest tier, have found summer quietly kind.
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.