If you see a “major market correction” next month, it may not be a coincidence.

“On average, over the past 95 years, SPX realized volatility has increased 27% from August to October,” Goldman reminded investors, in this year’s installment of a volatility piece typically released around the end of Q3.

Some market participants “consider it a coincidence that major corrections have occurred in October,” the bank’s John Marshall wrote, before casting doubt on that notion. “We believe high October volatility is more than just a coincidence. We believe it is a critical period for many investors and companies that manage performance to calendar year-end.”

In other words: Pressure on companies to affirm (or not) full-year guidance and provide an outlook for next year, along with pressure on investors for whom October’s earnings reports are in many cases the last scheduled micro-level catalyst before year-end, may explain higher volumes and volatility.

This is familiar territory for seasoned investors, but it always bears repeating (no pun intended). Looking back nearly a century, October shows up as a high-volatility month fairly often across various benchmarks. In general, volatility is around 25% higher in October.

“Since 1928, October SPX realized volatility has averaged 18 vol versus 15 vol for other months,” Marshall went on, noting that outlier vol-spikes in 1997, 2002, 2008 and 2022 reinforced the phenomenon. As the figures above show, vol is also higher in October at the single-stock level.

Single-stock volumes tend to peak in October too, notwithstanding a shift associated with increased retail investor activity around COVID.

Note the subtle difference in the time period covered by the dark blue bars versus the light blue dashed lines (the lines include the post-COVID era, the bars don’t).

So, what to do about it? Well, batten down the hatches I suppose. I can always conjure a dire-sounding punchline, although I’ve moved away from hyperbole over the years after discovering (to my great dismay) that many readers have a difficult time discerning when hyperbole is being employed solely for comedic value.

Goldman’s recommendation: “To hedge the risk of increasing volatility at the portfolio level, we recommend buying VIX October calls [and] for single stock focused investors, we recommend option buyers focus on stocks and sectors with fundamental catalysts.”