FOMC meetings

Definition

FOMC meetings are the scheduled repricings of US monetary policy: eight per year, statement at 2:00 PM ET, press conference after, minutes three weeks later, plus the quarterly projections (“dots”). The event trades as a THREE-layer repricing — the decision vs the priced path, the statement’s language changes, and the press conference — against a documented backdrop: a disproportionate share of equity returns has historically accrued on macro-announcement days.

How it works / structure

• The priced path is the benchmark: fed funds futures imply the expected decision and forward path; only deviations from the path move markets — a hike fully priced is a non-event (regime-rate-environments); the SEP dots reprice the path’s tail.
• Documented patterns: Savor-Wilson (2013) — average equity excess returns concentrate on scheduled macro- announcement days (FOMC prominent); Lucca-Moench (2015) — the pre-FOMC announcement drift: equities historically accrued sizable returns in the 24 hours BEFORE announcements (1994-2011 sample; attenuated post-publication — both halves quoted).
• Intraday structure: 2:00 statement (algorithmic parse), 2:30 press conference (the humans re-trade it) — reversals between the two are routine; 0DTE structures concentrate on these dates (opt-0dte-mechanics).
• Engine parameters: event flags on all rate-sensitive positions, priced-path snapshot at entry (the thesis’s benchmark), flat-by rules or scenario-sized holds (risk-scenario-analysis for dot-surprise scenarios).

When it applies

Rate-direction expression (instrument-treasury-futures); equity positioning through the date (the hold/flat decision is mandatory, not optional); vol structures on the known-variance date; regime-transition monitoring (policy pivots start here — regime-rate-environments cycle state).

Risk profile & failure modes

• Two-stage whipsaw: statement-move and presser-reversal are the day’s signature hazard; intraday stops through 2:30 are churn machines.
• Priced-path illusion: trading the decision instead of the deviation — the most common macro-event error.
• Drift decay: the pre-FOMC drift weakened after publication (the standard pattern) — strategies built on it need current-sample replay, not the 2015 paper.
• Cross-asset surprise correlation: dot surprises move rates, equities, the dollar, and gold together — event positions across assets are one position (risk-correlation-exposure).

Evidence & limits

Schedules and communications are Fed-documented. Savor-Wilson and Lucca-Moench are peer-reviewed with post-publication attenuation documented for the drift. Day-of patterns (statement/presser structure) are well-documented market lore verifiable in intraday data — engine claims about them require intraday replay fidelity.

Falsifiable-thesis examples

Illustrations only, not signals:

• “The front fed-funds future will settle within 5bp of its pre-meeting implied rate (no-surprise thesis)” — falsified by the settle.
• “The index’s 2:00-2:30 move will reverse by half or more by the close in at least 6 of the next 10 meetings” — falsified by the tally.

Cross-references

• The regime it sets: regime-rate-environments; the data twin: event-cpi
• Expression instruments: instrument-treasury-futures, instrument-equity-index-futures, opt-0dte-mechanics
• Discipline: lens-event-catalyst (priced-expectation benchmarking)