Selloff Ahead of the Fed
By
Rennie on Monday, March 14th, 2011 at 3:13 pm
In the table below is every instance since 1980 in which the S&P500 closed down 1%+ on the session prior to an FOMC announcement day…
S&P Down 1%+ Day Before FOMC Announcement
06/22/10… S&P500 -0.3% next day
04/27/10… S&P500 +0.6% next day
08/11/09… S&P500 +1.2% next day
12/15/08… S&P500 +5.1% next day
09/15/08… S&P500 +1.8% next day
03/15/04… S&P500 +0.6% next day
12/09/02… S&P500 +1.4% next day
09/23/02… S&P500 -1.7% next day (*)
06/25/02… S&P500 -0.3% next day
05/06/02… S&P500 -0.3% next day
01/29/02… S&P500 +1.2% next day
12/10/01… S&P500 -0.3% next day
12/16/96… S&P500 +0.7% next day
12/18/95… S&P500 +0.8% next day
08/19/91… S&P500 +0.8% next day
04/29/91… S&P500 +0.5% next day
12/18/89… S&P500 -0.4% next day
08/21/89… S&P500 +0.2% next day
08/15/88… S&P500 +0.7% next day
09/21/87… S&P500 +2.9% next day
03/30/87… S&P500 +0.9% next day
02/10/87… S&P500 +0.9% next day
07/08/86… S&P500 +0.5% next day
07/12/83… S&P500 -0.0% next day
11/15/82… S&P500 -1.2% next day (*)
05/17/82… S&P500 -0.7% next day
02/01/82… S&P500 +0.2% next day
11/16/81… S&P500 +0.8% next day
02/02/81… S&P500 +1.2% next day
03/17/80… S&P500 +1.8% next day
There’s a bit of an upside edge for the next session, although it’s not a significant edge over random. Two occurrences led to a 1%+ down day while ten led to a 1%+ gain.
A better setup would trigger if S&P futures continue the recent trend of opening lower. When S&P futures open lower on the day of a regularly scheduled FOMC announcement, there’s a strong tendency to see a close above that open either the same day or the next. In 24 out of the last 25 occurrences since 2001, and in 27 out of the last 30, S&P futures settled above the open either the same day or the next. See this August 10th column for details.
Selloff Ahead of the Fed
By Rennie on Monday, March 14th, 2011 at 3:13 pmIn the table below is every instance since 1980 in which the S&P500 closed down 1%+ on the session prior to an FOMC announcement day…
S&P Down 1%+ Day Before FOMC Announcement
06/22/10… S&P500 -0.3% next day
04/27/10… S&P500 +0.6% next day
08/11/09… S&P500 +1.2% next day
12/15/08… S&P500 +5.1% next day
09/15/08… S&P500 +1.8% next day
03/15/04… S&P500 +0.6% next day
12/09/02… S&P500 +1.4% next day
09/23/02… S&P500 -1.7% next day (*)
06/25/02… S&P500 -0.3% next day
05/06/02… S&P500 -0.3% next day
01/29/02… S&P500 +1.2% next day
12/10/01… S&P500 -0.3% next day
12/16/96… S&P500 +0.7% next day
12/18/95… S&P500 +0.8% next day
08/19/91… S&P500 +0.8% next day
04/29/91… S&P500 +0.5% next day
12/18/89… S&P500 -0.4% next day
08/21/89… S&P500 +0.2% next day
08/15/88… S&P500 +0.7% next day
09/21/87… S&P500 +2.9% next day
03/30/87… S&P500 +0.9% next day
02/10/87… S&P500 +0.9% next day
07/08/86… S&P500 +0.5% next day
07/12/83… S&P500 -0.0% next day
11/15/82… S&P500 -1.2% next day (*)
05/17/82… S&P500 -0.7% next day
02/01/82… S&P500 +0.2% next day
11/16/81… S&P500 +0.8% next day
02/02/81… S&P500 +1.2% next day
03/17/80… S&P500 +1.8% next day
There’s a bit of an upside edge for the next session, although it’s not a significant edge over random. Two occurrences led to a 1%+ down day while ten led to a 1%+ gain.
A better setup would trigger if S&P futures continue the recent trend of opening lower. When S&P futures open lower on the day of a regularly scheduled FOMC announcement, there’s a strong tendency to see a close above that open either the same day or the next. In 24 out of the last 25 occurrences since 2001, and in 27 out of the last 30, S&P futures settled above the open either the same day or the next. See this August 10th column for details.