Chicago He Said, She Said

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Market Measures

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Market Measures

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The Federal Open Market Committee meets eight times per year to set short-term interest rates and discuss U.S. economic conditions. The days of the meeting are often thought to drive market volatility for the day. This study investigates different futures markets to determine if FOMC meetings affect price movement. This study looked at futures for the S&P500 (/ES), Treasury Interest Rates (/ZT, /ZF, /ZN, /ZB, /UB) and gold (/GC).

  • Of the three asset classes (equities, interest rates, and metals), only Treasury Interest Rates saw a significant jump in volatility on FOMC meeting days.
  • Of those interest rate products that saw an increase in volatility, shorter term treasuries saw the largest volatility increase validating the fact that the Federal Reserve has the most influence on the short end of the yield curve.
  • There was also slight increases in volatility for the FIT spread (5 year 10 year spread) and the NOB spread (10 year 30 year spread).

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