The weekly calendar effect means that the average income or average fluctuation level of the financial market on a trading day in a week is obviously different from other trading days. The study of weekly calendar effect began with the study of Osborne( 1962) and Cross( 1973). Since 1980s, the weekly calendar effect in financial markets has been widely studied. The existing empirical literature mainly focuses on the study of weekly calendar effect in stock market, while the study of weekly calendar effect in futures market is relatively scarce. The foreign research mainly includes: Chiang and Tapley (1983), Cornell (1985) on the price returns of commodity futures and index futures, Dyl and Maberly( 1986) on the price returns of index futures in non-trading period, Gay and Brian on the futures prices released by the US Bureau of Commodity Research in 29 years. In China, it is only found in Hua Renhai (2002, 2004), Xu Jiangang and Tang Guoxing (2006) and Guo Yanfeng (2008). China started with the first grain futures on 1990, and now the total annual transaction volume has reached 70 trillion. Futures has experienced a vigorous development process, the market scale has gradually expanded, and its importance in the economy has become increasingly prominent. Through empirical analysis, this paper studies the weekly calendar effect of China futures market's return and its fluctuation, and draws the conclusion that both return and fluctuation have certain weekly calendar effect, and the weekly calendar effect of return is stronger than that of fluctuation.