FOMC Calendar Effect
Meeting day: avg +0.02%, 49% 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 +0.20%, 62% positive
- Meeting day: avg +0.02%, 49% positive
- Day-after (T+1): avg -0.10%, 49% positive
- Post-meeting drift (T+1 to T+5): avg +0.00%, 52% positive
- Tracked 134 FOMC meetings from 2010-01-01.
- When the meeting day was DOWN, the day-after closed up 45% of the time (n=67, avg -0.20%).
- Q3 historically weak post-FOMC (avg -0.35%). Elevated caution.
FOMC Meetings
134
from SPY
Avg Pre-Drift
+0.20%
62% positive
Avg Meeting Day
+0.02%
49% positive
Avg Day-After
-0.10%
49% positive
Avg Post-Drift
+0.00%
52% positive
Above 200D
107
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 | 134 | 49.30 | -0.10 | -0.01 |
| Was DOWN (red) | 67 | 44.80 | -0.20 | -0.20 |
| Was UP (green) | 67 | 53.70 | 0 | 0.04 |