30 November 2015
- 6 minute read

Calendar months were ranked by volatility of the S&P 500, for every year from 1928 to 2014. The chart shows the mean rank for each month. October and December have the highest and lowest volatilities respectively.

The distributions are shown for the absolute deviation of mean volatility rank from the expected value of 6.5. The left plots show the result for any month. The right plots are for the most extreme month. The dashed red lines indicate 0.05 significance level thresholds.

[1] We focus on the October result for the rest of this research, but the same arguments apply to the December result.

[2] Using a rank methodology induces a slight dependence between results, but this does not affect the general implication of the argument.