How frequent are thunderstorms in the Canadian Rockies in September?
Canadian Climate Normals do not list thunderstorm frequency.
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Rainfall in Banff/Lake Louise is pretty low in September. Thunderstorms are much rarer in the Canadian Rockies than in the rest of Canada. I've lived in Banff for six years and there have only been thunderstorms three times in that period. That said, avoid high mountain-exposure in the event of a thunderstorm.
It's pretty much guaranteed to snow at least once in September, especially at altitude. It never stays though, usually either a dusting or a few centimetres that melt within 48 hrs. I've seen it happen in the first week of Sept and be 20c two weeks later.