E-mini Russell 2000 (RTY) December (Z) 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 December Russell contract 2017–2025, measured over its tenure as the lead contract · Typically leads Sep 13 – Dec 12
The December contract holds the Russell from mid-September to mid-December, and the fourth-quarter route that crowns the equity study runs through small caps at full amplitude: 6 of 9 higher, with the 2020 tenure’s +26.9%, the vaccine-rotation autumn, the biggest index tenure gain in our entire study.
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.