FOMC Calendar Effect
Meeting day: avg +0.04%, 50% positive
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SPY pre/post-FOMC drift analysis - calendar-anchored macro event study.
- Pre-meeting drift (T-5 to T-1): avg +0.18%, 62% positive
- Meeting day: avg +0.04%, 50% positive
- Post-meeting drift (T+1 to T+5): avg -0.04%, 52% positive
- Tracked 132 FOMC meetings from 2010-01-01.
- Elevated VIX environment historically (21/132 meetings).
FOMC Meetings
132
from SPY
Avg Pre-Drift
+0.18%
62% positive
Avg Meeting Day
+0.04%
50% positive
Avg Post-Drift
-0.04%
52% positive
Above 200D
105
meetings in uptrend
Below 200D
21
meetings in downtrend
Elevated VIX
21
meetings with VIX>25
When to run this study
Run before or after any FOMC meeting. Most useful when the Fed is in an active hiking or cutting cycle — pre-meeting drift and post-meeting volatility are amplified during regime changes.
Historical results
Event Log
| Meeting Date | Trend | VIX | SPY Price | Pre-5D | Meeting Day | Post-5D |
|---|---|---|---|---|---|---|
| 2026-04-29 | ↑ Above 200D | 18.81 | 711.58 | 0.07 | -0.02 | 3.13 |
| 2026-03-18 | ↑ Above 200D | 25.09 | 659.63 | -0.82 | -1.40 | -0.43 |
| 2026-01-28 | ↑ Above 200D | 16.35 | 693.53 | 1.47 | -0.01 | -1.33 |
| 2025-12-10 | ↑ Above 200D | 15.77 | 683.68 | -0.12 | 0.66 | -2.35 |
| 2025-10-29 | ↑ Above 200D | 16.92 | 683.50 | 2.88 | 0.05 | -1.43 |
| 2025-09-17 | ↑ Above 200D | 15.72 | 653.64 | 1.19 | -0.12 | 0.57 |
| 2025-07-30 | ↑ Above 200D | 15.48 | 629.12 | 0.17 | -0.13 | -0.26 |
| 2025-06-18 | ↑ Above 200D | 20.14 | 590.67 | -0.64 | -0.02 | 2.72 |
| 2025-05-07 | ↓ Below 200D | 23.55 | 554.79 | 0.77 | 0.42 | 4.71 |
| 2025-03-19 | ↓ Below 200D | 19.90 | 559.02 | 0.38 | 1.09 | 0.56 |
| 2025-01-29 | ↑ Above 200D | 16.56 | 593.20 | -0.32 | -0.45 | 0.40 |
| 2024-12-18 | ↑ Above 200D | 27.62 | 575.96 | -0.52 | -2.98 | 2.91 |
| 2024-11-07 | ↑ Above 200D | 15.20 | 585.12 | 3.94 | 0.77 | -0.38 |
| 2024-09-18 | ↑ Above 200D | 18.23 | 549.83 | 1.56 | -0.30 | 1.85 |
| 2024-07-31 | ↑ Above 200D | 16.36 | 539.46 | 0.14 | 1.63 | -5.84 |
Showing 15 of 80 rows — see the live version for all.