Plunge Ahead of the Fed
By
Rennie on Monday, August 8th, 2011 at 12:24 pm
Each of the last 30 instances in which the S&P500 closed down 1%+ on the session prior to an FOMC announcement day is listed in the table below…
S&P Down 1%+ Day Before FOMC Announcement
06/22/10… S&P500 -2.0% two sessions later
04/27/10… S&P500 +0.7% one session later (*)
08/11/09… S&P500 +1.2% one session later
12/15/08… S&P500 +5.1% one session later
09/15/08… S&P500 +1.8% one session later (*)
03/15/04… S&P500 +0.6% one session later
12/09/02… S&P500 +1.4% one session later (*)
09/23/02… S&P500 +0.7% two sessions later
06/25/02… S&P500 +1.5% two sessions later
05/06/02… S&P500 +3.4% two sessions later
01/29/02… S&P500 +1.2% one session later (*)
12/10/01… S&P500 -0.3% two sessions later
12/16/96… S&P500 +0.7% one session later
12/18/95… S&P500 +0.8% one session later
08/19/91… S&P500 +0.8% one session later (*)
04/29/91… S&P500 +0.5% one session later
12/18/89… S&P500 -0.3% two sessions later
08/21/89… S&P500 +0.2% one session later
08/15/88… S&P500 +0.7% one session later
09/21/87… S&P500 +2.9% one session later
03/30/87… S&P500 +0.9% one session later (*)
02/10/87… S&P500 +0.9% one session later
07/08/86… S&P500 +0.5% one session later
07/12/83… S&P500 +0.3% two sessions later
11/15/82… S&P500 +0.7% two sessions later
05/17/82… S&P500 -1.6% two sessions later
02/01/82… S&P500 +0.2% one session later (*)
11/16/81… S&P500 +0.8% one session later
02/02/81… S&P500 +1.2% one session later (*)
03/17/80… S&P500 +1.8% one session later (*)
In 26 out of 30 occurrences, or 87% of the time, the S&P posted a subsequently higher close (above the setup day’s close) either on the day of the Fed announcement or the following session, well above the 66% random chance for a higher S&P close 1-2 days later in the same time frame.
I’ve also put an asterisk (*) next to those instances when the S&P was down 2%+ the day before the announcement. There have been nine occurrences since 1980, all of which led to a higher S&P close on the day of the Fed announcement.
Plunge Ahead of the Fed
By Rennie on Monday, August 8th, 2011 at 12:24 pmEach of the last 30 instances in which the S&P500 closed down 1%+ on the session prior to an FOMC announcement day is listed in the table below…
S&P Down 1%+ Day Before FOMC Announcement
06/22/10… S&P500 -2.0% two sessions later
04/27/10… S&P500 +0.7% one session later (*)
08/11/09… S&P500 +1.2% one session later
12/15/08… S&P500 +5.1% one session later
09/15/08… S&P500 +1.8% one session later (*)
03/15/04… S&P500 +0.6% one session later
12/09/02… S&P500 +1.4% one session later (*)
09/23/02… S&P500 +0.7% two sessions later
06/25/02… S&P500 +1.5% two sessions later
05/06/02… S&P500 +3.4% two sessions later
01/29/02… S&P500 +1.2% one session later (*)
12/10/01… S&P500 -0.3% two sessions later
12/16/96… S&P500 +0.7% one session later
12/18/95… S&P500 +0.8% one session later
08/19/91… S&P500 +0.8% one session later (*)
04/29/91… S&P500 +0.5% one session later
12/18/89… S&P500 -0.3% two sessions later
08/21/89… S&P500 +0.2% one session later
08/15/88… S&P500 +0.7% one session later
09/21/87… S&P500 +2.9% one session later
03/30/87… S&P500 +0.9% one session later (*)
02/10/87… S&P500 +0.9% one session later
07/08/86… S&P500 +0.5% one session later
07/12/83… S&P500 +0.3% two sessions later
11/15/82… S&P500 +0.7% two sessions later
05/17/82… S&P500 -1.6% two sessions later
02/01/82… S&P500 +0.2% one session later (*)
11/16/81… S&P500 +0.8% one session later
02/02/81… S&P500 +1.2% one session later (*)
03/17/80… S&P500 +1.8% one session later (*)
In 26 out of 30 occurrences, or 87% of the time, the S&P posted a subsequently higher close (above the setup day’s close) either on the day of the Fed announcement or the following session, well above the 66% random chance for a higher S&P close 1-2 days later in the same time frame.
I’ve also put an asterisk (*) next to those instances when the S&P was down 2%+ the day before the announcement. There have been nine occurrences since 1980, all of which led to a higher S&P close on the day of the Fed announcement.