More recently, however, in 2010, the S&P 500 broke that trend, when it rose 4.23 percent in February, after falling 5.4 percent the previous month.
(Read more: Markets now fear U.S. economy chilled by more than weather)
Historically, February ranks as the second-worst performing month of the year for the Dow and S&P 500, and fourth-weakest month for the Nasdaq.
The S&P 500 settled at 1,741 on Monday, its lowest close in more than three months. In fact, it was the worst start to February for the Nasdaq on record, and the worst for the S&P since 1933 and 1982 for the Dow.
Now that the S&P 500 broke below the November low of 1,746, the 150-day moving day average is in play at 1,736. The more negative traders are eyeing the 200-day moving average at 1,707 as the bottom.
(Read more: CNBC Explains: Market correction)
Last month, the S&P 500 fell 3.56 percent, or its worst monthly performance in more than a year, while volatility spiked 34 percent. Since hitting a record 1,850.84 on Jan. 15, the S&P 500 is now down 5 percent.
Below is the historical performance in February after a negative January.