The first debate of the U.S. presidential campaign. A Group of 20 (G20) central bank interest rate announcement nearly every other trading day. And a key meeting among commodity nations around the world.

With a jam-packed calendar in September, no asset class is immune from potential event risk.

That's not to mention that the month has typically been the worst one for stocks — the only one in which the median return for the S&P 500 has been negative going back to 1928, according to Bank of America Merrill Lynch Head of U.S. Equity and Quantitative Strategy, Savita Subramanian.

Now, Wall Street strategists are warning of an end to the unusual calm that's characterized markets in August, advising clients to go long volatility, citing, in part, the prospect of rising cross-asset correlations.

Bank of America Merrill Lynch Head of Global Rates and Currencies Research David Woo, meanwhile, has suggested that investors are being overly complacent about the potential for a "clean sweep" in the upcoming U.S. elections, which would pave the way for fiscal stimulus in the world's largest economy. This, in turn, could deal a major blow to risk parity portfolios in particular on the scale of the taper tantrum of 2013 or the Chinese currency devaluation of 2015.

Of course, there's no guarantee this volatility will ever materialize: strategists were also warning of a swoon in U.S. stocks and uptick in volatility right before they proceeded to march to all-time highs.

The first major headline event to kick off the month's festivities is August's non-farm payrolls report, slated to be released on Friday. A strong number would potentially set the scene for a Federal Reserve rate hike when officials next meet on September 21.

Investors have been repricing the odds of an increase in interest rates upwards in the run-up to Fed Chair Janet Yellen's speech at the Jackson Hole Symposium and Fed Vice Chair Stanley Fischer's comment that Yellen's remarks were consistent with the possibility of two rate hikes in 2016, though the implied probability of a hike in September has eased in recent sessions.

This argument may be put to rest on Friday, as job growth in August has come in below analysts' expectations for five consecutive years.

Incoming central bank decisions will drive global markets in September, given the potential for a rate hike from the Fed and the impact of large asset-purchasing schemes in the U.K., Japan, and the euro area, for foreign exchange and credit markets, in particular.