This chart shows why October has such a scary reputation on Wall Street

  • The S&P 500 on average registers more daily moves of at least 1 percent in October than in any other month, according to data from CFRA Research going back to 1950. The data show 10.3 percent of such moves that happen in a year occur in October.
  • However, the S&P 500 averages a gain of 0.7 percent in the month dating back to 1950, according to The Stock Trader's Almanac.

There may be one reason why investors fear October so much despite stocks averaging a gain this time of the year: it tends to be the most volatile month of the calendar.

The S&P 500 on average registers more daily moves of at least 1 percent in October than in any other month, according to data from CFRA Research going back to 1950. The data show 10.3 percent of such moves that happen in a year occur in October.

Some of the biggest market crashes ever have also happened in October. The 1929 crash took place in October, as did the one in 1987, which saw the S&P 500 lose more than 20 percent of its value in one day. The 2008 financial crisis' biggest sell-offs also occurred in the month.

October has lived up to its infamous — and volatile — standing among investors thus far. Through 11 trading sessions this month (including Monday), the S&P 500 has recorded three moves of at least 1 percent. They all came last week as Wall Street posted its worst weekly performance since March.

"Not surprisingly, October's reputation for being a volatile month is justified," said Sam Stovall, chief investment strategist at CFRA Research, in a note. He said equities could take another leg lower from here. "There were 26 years since WWII in which the S&P 500 endured at least two round-trip selloffs exceeding 5%, with the second being deeper than the first in more than two out of every three years."

Stovall added, however, that stocks will eventually regain their footing as the fundamentals remain "firm."

To be sure, the month overall is not bad for the market. The broad index averages a gain of 0.7 percent during Octobers dating back to 1950, according to The Stock Trader's Almanac.

CORRECTION: A previous version of this story mischaracterized CFRA's data.