Volatility Indexes on Fed Days

Volatility indexes like the VIX and VXO generally trade lower on FOMC announcement days. The table below highlights the VXO’s performance from open to close during each of the last thirty regularly scheduled Fed days…

VXO Performance on FOMC Announcement Day
11/04/09… ???
09/23/09… VXO +2.6% from open to close
08/12/09… VXO -3.4% from open to close
06/24/09… VXO -1.7% from open to close
04/29/09… VXO -2.6% from open to close
03/18/09… VXO -2.6% from open to close
01/28/09… VXO -1.6% from open to close
12/16/08… VXO -7.8% from open to close
10/29/08… VXO +2.0% from open to close
09/16/08… VXO -9.9% from open to close
08/05/08… VXO -9.0% from open to close
06/25/08… VXO -2.4% from open to close
04/30/08… VXO +2.1%  from open to close
03/18/08… VXO -13.0% from open to close
01/30/08… VXO -4.1% from open to close
12/11/07… VXO +12.0%  from open to close (*)
10/31/07… VXO -13.3% from open to close
09/18/07… VXO -21.3% from open to close
08/07/07… VXO -6.2% from open to close
06/28/07… VXO -3.0% from open to close
05/09/07… VXO -8.6% from open to close
03/21/07… VXO -12.0% from open to close
01/31/07… VXO -8.4% from open to close
12/12/06… VXO -3.3% from open to close
10/25/06… VXO -1.6% from open to close
09/20/06… VXO -1.4% from open to close
08/08/06… VXO -2.0% from open to close
06/29/06… VXO -17.5% from open to close
05/10/06… VXO -1.9% from open to close
03/28/06… VXO +0.6% from open to close
01/31/06… VOX +1.4% from open to close

Note that the VXO closed up more than 5% from the open only once, while it fell 5%+ eleven times.

There have only been eight cases since 1993 in which the VXO closed up 5%+ from the open on an FOMC announcement day. These represent instances in which the market was truly caught off guard by the Fed’s announcement, and not surprisingly stocks typically remained under pressure over the longer-term…

VXO +5% or More from Open on Fed Day
12/11/07… VXO +12.0%… S&P -9.9% two months later
09/20/05… VXO +6.0%… S&P +0.6% two months later
03/22/05… VXO +5.9%… S&P +1.2% two months later
01/28/04… VXO +12.1%… S&P -1.7% two months later
10/03/00… VXO +4.6%… S&P -5.9% two months later
02/05/97… VXO +4.9%… S&P -2.6% two months later
02/04/94… VXO +42.8%… S&P -4.6% two months later
09/21/93… VXO +8.3%… S&P +3.0% two months later

Categories : Archived EOD Commentary, End-of-Day Commentary

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