Calm Before the Fed – MarketTells.com

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SPX 3-day realized volatility closed at 3.57 Tuesday, the first time in over a year we’ve seen a sub-5 reading ahead of an FOMC announcement. Calm market conditions ahead of a regularly scheduled Fed day tend to precede a short-term selloff. Three sessions later, the S&P was nearly twice as likely to be lower (up 9 times, down 17 times). However, declines were usually on the small side. Average loss was only 0.5%, nearly half the 0.9% average gain…

SPX 3-day Historical Volatility <5 Ahead of FOMC Announcement
06/15/21… SPX ??? three sessions later
09/17/19… SPX -0.5% three sessions later
04/30/19… SPX -0.0% three sessions later
03/19/19… SPX -1.1% three sessions later
09/25/18… SPX -0.0% three sessions later
06/12/18… SPX -0.3% three sessions later
12/12/17… SPX +0.4% three sessions later
09/19/17… SPX -0.2% three sessions later
07/25/17… SPX -0.2% three sessions later
06/13/17… SPX -0.3% three sessions later
05/02/17… SPX +0.3% three sessions later
01/31/17… SPX +0.8% three sessions later
09/20/16… SPX +1.2% three sessions later
04/26/16… SPX -1.3% three sessions later
07/29/14… SPX -2.3% three sessions later
07/30/13… SPX +1.4% three sessions later
12/11/12… SPX -1.0% three sessions later
12/13/10… SPX +0.2% three sessions later
03/15/10… SPX +1.3% three sessions later
05/08/07… SPX -0.1% three sessions later
10/24/06… SPX -0.0% three sessions later
09/19/06… SPX -0.3% three sessions later
12/12/05… SPX +0.8% three sessions later
03/25/96… SPX -0.2% three sessions later
08/21/95… SPX -0.1% three sessions later
07/05/95… SPX +1.8% three sessions later
08/17/92… SPX -0.6% three sessions later