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 lose more than 20 percent of its value in one day. The 2008 financial crisis' biggest sell-offs also occurred in the month.