Seasonality
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Monthly Returns Heatmap
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.60% | 13.36% | -6.22% | 6.77% | 11.39% | -27.25% | 27.84% | -4.54% | ||||
| 2025 | 4.57% | 3.48% | 7.35% | -1.98% | 3.59% | 1.79% | 3.36% | -2.11% | 3.94% | 0.16% | 5.10% | -2.78% |
| 2024 | 2.96% | 4.73% | -4.31% | -1.40% | -4.20% | -1.69% | 7.91% | 12.27% | -0.26% | 4.25% | 1.36% | -9.47% |
| 2023 | -2.06% | 3.07% | 6.40% | 4.07% | -4.86% | 4.22% | 1.21% | 7.57% | 4.34% | 4.92% | 11.51% | -1.99% |
| 2022 | -9.10% | -0.64% | -2.45% | -1.26% | -0.15% | 0.78% | 9.00% | -3.99% | -0.51% | 6.07% | 2.29% | -1.08% |
| 2021 | -1.49% | 8.34% | -0.27% | 5.76% | 7.05% | 6.96% | -0.49% | 6.89% | -1.82% | 6.52% | -1.91% | 1.13% |
| 2020 | -7.21% | -21.71% | 11.35% | 7.50% | -12.38% | -5.98% | 5.15% | -4.41% | -7.35% | 12.85% | 1.97% | |
| Avg | 0.08% | 3.59% | -3.03% | 3.33% | 2.90% | -3.94% | 6.12% | 4.30% | 0.21% | 2.43% | 5.20% | -2.04% |
CBOE - Average growth of $100 invested at start of year
5 years of data
Jul is the seasonally strongest month over 5Y.
Jul averages +6.1% with a 71% win rate across 5 years of history.
Jun shows persistent seasonal weakness.
Jun averages -3.9% with only a 57% win rate across 5 years of history.
Q3 (Jul–Aug–Sep) is the seasonally strongest quarter.
The three months of Q3 combine for a +10.6% average return historically.
January Effect: Q1 historically opens the year positively.
Q1 (Jan–Mar) averages +0.6% historically, with January alone posting a 50% win rate.
2026 YTD is tracking above the 5Y seasonal average.
At day 155 of the year, the current YTD return is +13.3% vs the historical average for the same point.
CBOE - Average returns for the respective month in the last 5 years
CBOE Distribution of Daily Returns from 2021 to 2026
CBOE Distribution of Daily % Changes