Below you can find a bar showing the average return per trading day in the S&P 500 since 1970, excluding dividends. Day 1 is simply the first trading day, not necessarily the 1st day of the calendar month. Obviously the months have different number of trading days. The numbers are not compressed or prolonged to adjust for that. Sometimes day 20 is the last trading day of the month, in another month it could be the 21st.
Looking at weekdays we get this barchart (1 is mondays and gain from close on friday until close on monday):
(I make this post mainly for myself. I ever so often use this as reference.)