Largest ever 1 day percentage loss for the Dow Jones Industrial Average was October 19th 1987. The Black Monday  when Dow Jones lost 22.61%.

2nd worst also happened in October, the 28th year 1929 posting a 12.82% loss.

Two more losses of more than 10%, one on December 18th 1899 and the other one on October 29th 1929 which saw a 11.73% loss (after dropping 12.82% the day before).

So 3 out of 4 largest drops occurred in October.

It doesn’t stop there, out of 16 largest losses 9 occurred in October while all other months account for only 7 occasions.

What are the odds of that happening randomly? On the tail end of any distribution model.