"September is the banana peel month, as some of the largest slips tend to take place during this month.

Although the economy is still quite strong, and stocks are marking hew highs, this doesn't mean some usual September volatility is out of the question - in fact, we'd be surprised if volatility didn't pick up given midterm years tend to see big moves in the months leading up to the November election."

Here's some data to consider as September approaches:

Since 1950, no month sports a lower average return than September, with the S&P 500 Index down 0.47% on average. June and August are the only other months that are generally in the negative, while November and December tend to be the strongest months of the year.

In the past 20 years, September has been the second-worst month, with only August fairing worse. More recently, over the past 10 years, it's still down on average but comes in at the fifth-worst month.