Average Monthly % Change:

The below chart is from Bespoke as of October 2011.

AvgMonthlyChange

% of Time Positive by Trading Day of the Month:

The following charts are from Sentimentrader.

seasonality_january

seasonality_february

seasonality_march

seasonality_april

seasonality_may

seasonality_june

seasonality_july

seasonality_august

seasonality_september

seasonality_october

seasonality_november

seasonality_december

seasonality_avg_all_months