FOMC Calendar Effect
Meeting day: avg +0.04%, 50% positive
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SPY pre-FOMC drift, statement-day and day-after (T+1) returns - including the conditional "if the day-of is down, how often is the day-after up?" and what a new Fed chair's first FOMC looks like.
- Pre-meeting drift (T-5 to T-1): avg +0.18%, 62% positive
- Meeting day: avg +0.04%, 50% positive
- Day-after (T+1): avg -0.12%, 48% positive
- Post-meeting drift (T+1 to T+5): avg -0.04%, 52% positive
- Tracked 132 FOMC meetings from 2010-01-01.
- When the meeting day was DOWN, the day-after closed up 43% of the time (n=65, avg -0.25%).
- 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 Day-After
-0.12%
48% 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
Day-after (T+1) return, conditioned on the statement day
| Statement day (T0) | N | Day-After Up% | Day-After Avg | Median |
|---|---|---|---|---|
| All meetings | 132 | 48.50 | -0.12 | -0.03 |
| Was DOWN (red) | 65 | 43.10 | -0.25 | -0.22 |
| Was UP (green) | 67 | 53.70 | 0 | 0.04 |