E-mini Russell 2000 (RTY) futures seasonality: sixteen years of month-by-month tendency, win rates and average change.
Futures Seasonality · Full CME-Era History
Based on all completed calendar years since the 2017 CME listing · Updated for 2026
The small-cap index is the wild child of the equity complex, with monthly ranges half again as wide as the S&P’s and a calendar that concentrates almost all of its reliability into one stretch of the year. The RTY contract has a shorter history than its siblings, listed on CME in mid-2017, so each month below carries 8 or 9 observations rather than 15, worth keeping in mind as you read the counts. Here is the month-by-month record.
E-mini Russell 2000 (RTY) — Average Monthly Change
Full-history average by calendar month (8–9 years per month). Hover any bar for the detail.
Every calendar month, ranked as it falls on the calendar. Because RTY listed on CME in mid-2017, each month reflects 8 or 9 completed years rather than 15. “Win rate” is how often the Russell 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.
November is small-caps’ whole year in one month. Higher in 8 of 9 years (89%) with an average gain of 5.1%, it is the biggest average month anywhere in the index complex. The summer run-up matters too, June and July combining for a 6 of 8 and 6 of 9 record, but nothing on this calendar rivals the November surge.
The middle of the year is a genuine coin flip. February through May all sit at exactly 50%, and March has been the ugly one, averaging a 3.5% decline, the deepest hole on the calendar. August, September, and December all dip below half as well. Outside its few strong windows, the Russell simply has not had a seasonal lean.
Small caps move harder, and the record is shorter. Average monthly ranges run 8 to 13%, half again the S&P’s, and with only 8 or 9 observations per month a single year swings these counts more than it would on a 15-year study. Read the Russell’s calendar as a sketch with one very bright corner, not a finished map.
A seasonal average tells you the backdrop. It doesn’t tell you where the Russell 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 Russell 2000?
November, higher 8 of the 9 completed years since the contract’s 2017 CME listing (89%), with an average gain of 5.1%, the biggest average month in the index complex.
Which month is worst for the Russell 2000?
September has the joint-lowest win rate at 44% with a negative average, and March has averaged the deepest decline at 3.5%.
Why does the Russell study cover fewer years than the others?
RTY futures moved to CME in mid-2017, so the contract’s own history gives each month 8 or 9 observations rather than 15. Fewer observations mean each count carries more noise, which is why we show the raw up/down record for every month.
Seasonal tendencies are drawn from the full CME-era history of E-mini Russell 2000 futures (2017 onward) 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.