I was looking at SPY 20 day highs, using Yahoo! adjusted closes, and sorted by year/month:
| MONTH | |||||||||||||
| YEAR | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | Grand Total |
| 1993 | 1 | 5 | 4 | 5 | 1 | 1 | 8 | 3 | 3 | 6 | 37 | ||
| 1994 | 4 | 1 | 3 | 6 | 1 | 10 | 2 | 3 | 30 | ||||
| 1995 | 5 | 9 | 11 | 7 | 10 | 8 | 8 | 1 | 12 | 3 | 15 | 6 | 95 |
| 1996 | 4 | 9 | 1 | 7 | 1 | 6 | 4 | 7 | 13 | 52 | |||
| 1997 | 8 | 4 | 2 | 10 | 10 | 9 | 2 | 4 | 2 | 2 | 5 | 58 | |
| 1998 | 1 | 15 | 15 | 4 | 4 | 9 | 5 | 10 | 7 | 70 | |||
| 1999 | 3 | 2 | 6 | 9 | 1 | 2 | 7 | 2 | 2 | 5 | 5 | 44 | |
| 2000 | 1 | 7 | 2 | 4 | 7 | 1 | 1 | 23 | |||||
| 2001 | 5 | 4 | 5 | 1 | 4 | 8 | 1 | 28 | |||||
| 2002 | 2 | 7 | 6 | 5 | 6 | 1 | 27 | ||||||
| 2003 | 3 | 5 | 4 | 12 | 6 | 1 | 2 | 5 | 5 | 3 | 14 | 60 | |
| 2004 | 14 | 1 | 1 | 2 | 7 | 1 | 8 | 3 | 7 | 13 | 57 | ||
| 2005 | 1 | 7 | 3 | 5 | 5 | 6 | 1 | 1 | 12 | 2 | 43 | ||
| 2006 | 5 | 4 | 5 | 3 | 1 | 2 | 9 | 9 | 11 | 7 | 7 | 63 | |
| 2007 | 5 | 8 | 14 | 9 | 1 | 4 | 2 | 4 | 4 | 51 | |||
| 2008 | 9 | 5 | 3 | 1 | 18 | ||||||||
| 2009 | 3 | 6 | 7 | 5 | 4 | 9 | 9 | 7 | 5 | 3 | 8 | 66 | |
| 2010 | 7 | 1 | 13 | 10 | 2 | 3 | 3 | 10 | 10 | 4 | 12 | 75 | |
| 2011 | 9 | 10 | 1 | 7 | 1 | 1 | 3 | 6 | 1 | 39 | |||
| 2012 | 9 | 9 | |||||||||||
| Grand Total | 90 | 75 | 85 | 83 | 79 | 60 | 67 | 71 | 66 | 77 | 96 | 96 | 945 |
When I checked stockcharts.com for the years 1997, 2004, 2011, they seemed to have a end of month dip for January (although not much in 2011), but February all had higher highs.
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