These stocks are doing best in a bad market

The market is experiencing its most volatile period in five months, and there are few safe harbors amid the sell-off.

There are two sectors, though, that have held up this month.

S&P Sectors
Price
MTD %Chg
Energy 623.23 -5.72%
Materials 298.04 -4.65%
Industrials 442.87 -3.33%
Telecommunications Services 158.23 -1.80%
Information Technology 648.81 -1.68%
Consumer Discretionary 520.06 -1.67%
Financials 308.25 -1.29%
Health Care 738.67 -0.17%
Consumer Staples 471.29 1.34%
Utilities 218.84 2.26%

Consumer staples and utilities are the only S&P sectors to be up so far this month, albeit barely so.

Within those sectors, a few names have stood out.

Ticker
Company
Price
MTD % Chg.
WEC Wisconsin Energy Corporation $45.30 5.35
NU Northeast Utilities $46.28 4.47
DTE DTE Energy Company $78.86 3.65
NRG NRG Energy, Inc. $31.54 3.48
ED Consolidated Edison, Inc. $58.64 3.49
GMCR Keurig Green Mountain, Inc. $143.36 10.16
MNST Monster Beverage Corporation $95.88 4.59
TSN Tyson Foods, Inc. Class A $41.08 4.33
WAG Walgreen Co. $61.83 4.32
KO Coca-Cola Company $44.16 3.52
CVS CVS Health Corporation $82.17 3.24
COST Costco Wholesale Corporation $129.19 3.09

The last few weeks have also marked the most volatile period for the Dow in five months, with moves of 100 points or more in 11 of the last 17 sessions.

Date
Price
Change
% Change
10/9/2014 16761.52 -232.7 -1.37
10/8/2014 16994.22 274.83 1.64
10/7/2014 16719.39 -272.521 -1.6
10/6/2014 16991.91 -17.78 -0.1
10/3/2014 17009.69 208.641 1.24
10/2/2014 16801.05 -3.661 -0.02
10/1/2014 16804.71 -238.19 -1.4
9/30/2014 17042.9 -28.32 -0.17
9/29/2014 17071.22 -41.93 -0.25
9/26/2014 17113.15 167.351 0.99
9/25/2014 16945.8 -264.26 -1.54
9/24/2014 17210.06 154.189 0.9
9/23/2014 17055.87 -116.81 -0.68
9/22/2014 17172.68 -107.06 -0.62
9/19/2014 17279.74 13.75 0.08
9/18/2014 17265.99 109.14 0.64
9/17/2014 17156.85 24.88 0.15
9/16/2014 17131.97 100.83 0.59

—Data by CNBC's Giovanny Moreano