When your column names contain whitespace you need to put quotes around the names; you are also missing a closing parenthesis:
CREATE TABLE CME_Equities('Contract Size' TEXT, 'Contract Months' TEXT)
Quick demo with the sqlite3 command line utility:
$ sqlite3 :memory:
SQLite version 3.7.16.1 2013-03-29 13:44:34
Enter ".help" for instructions
Enter SQL statements terminated with a ";"
sqlite> CREATE TABLE CME_Equities('Contract Size' TEXT, 'Contract Months' TEXT);
sqlite> .schema
CREATE TABLE CME_Equities('Contract Size' TEXT, 'Contract Months' TEXT);
or the python version:
querycurs.execute("CREATE TABLE CME_Equities('Contract Size' TEXT, 'Contract Months' TEXT)")