September has a well-earned reputation as the worst month of the year for the stock market. Last night both Woodshedder and Michael Stokes provided nice historical breakdowns of September. For the 2nd year in a row the market has suffered a difficult August with the SPX closing down about 5.6%. This left me to wonder how September has performed following bad Augusts. Below I have compiled a list of all Septembers after August lost 4% or more.

There doesn’t appear to be a strong directional edge, but one thing that is evident in all of these Septembers is that there was high volatility. The 1966 instance saw the smallest range with the market moving a little over 5% from high to low. Six of the eight instances saw ranges of 9.5%+ in September. So I would not look for the action to dull this month.