Share of days wider than the same month's typical non-event day
- FOMC statement days
- Non-event days of the same months (base rate)
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October 22, 2026 · 3 min read
FOMC Days in ES: How Much Wider the Session Really Is
On 59 of 77 Fed statement days since 2017, ES traded a wider regular-session range than the typical non-event day of the same month: 76.6%, against 49.8% for a non-event day. The move after 2:00 pm is larger too. Its direction is a coin flip.
Fed days are said to be different: quiet until the 2:00 pm statement, then a burst of movement into the close. The question is how different, measured against the right comparison. A volatile year has wide ranges on every day, so an FOMC day should be judged against the ordinary days around it, not against a calm decade.
The base rate
We took every scheduled FOMC statement day from 2017 on and compared each one with the non-event days of the same calendar month: days with no Fed statement, CPI release or payrolls report. A day counts as wider when its measure beats the median of the other non-event days in its month. By construction, a non-event day does that about half the time. That half is the base rate.
| Measure | Day type | Days | Wider than the month's median | 95% interval | Average |
|---|---|---|---|---|---|
| Session range | FOMC statement day | 77 | 59 (76.6%) | 66–85% | 1.38% of the open |
| Session range | Non-event day (base rate) | 1,447 | 720 (49.8%) | 47–52% | 1.00% of the open |
| 2:00 pm to close, size | FOMC statement day | 77 | 54 (70.1%) | 59–79% | 0.66% |
| 2:00 pm to close, size | Non-event day (base rate) | 1,383 | 687 (49.7%) | 47–52% | 0.27% |
Three in four FOMC days traded a wider session than the typical quiet day of their month, against one in two for the quiet days themselves. The median FOMC day was 35% wider than its month's median non-event day. The window after the statement moved more still: its median size was 2.2 times the same window on a non-event day.
The shape of the day changes too. On a median non-event day, the stretch from 2:00 pm to the close covers 50.5% of the session's full range. On a median FOMC day it covers 93.8%: almost the whole day's range is traded after the statement.
Is it chance?
To check, we slid the FOMC labels along the calendar by every offset of at least 26 sessions and recomputed the gap each time. None of the 2,246 shifted versions produced a gap as large as the real one, for the range or for the late move. Three measures were tested in all, and both size results clear that bar by a wide margin.
The same comparison by era, with 95% intervals (top: session range, bottom: 2:00 pm to close)
- FOMC statement days
- Non-event days
- 50%
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The effect holds in both halves of the sample and is larger in the second. In 2017–2021, 26 of 39 FOMC days had a wider range than their month's median quiet day (66.7%), and the median FOMC day was 11% wider. In 2022–2026, through and after the rate-hiking cycle, it was 33 of 38 (86.8%), and the median FOMC day was 69% wider. The late move was 3.2 times its non-event size in the later era.
What it does not say
A wider range is not a direction. The 2:00 pm-to-close move closed higher on 37 of 77 FOMC days, 48.1% (interval 37–59%), against 52.8% on non-event days (50–55%). The intervals overlap, and the average late change on FOMC days, −0.16%, comes from a handful of large down days: without the five largest drops it is close to zero. The data says FOMC afternoons are bigger. It says little about which way.
A wider afternoon is a statement about risk, not about an edge. A stop sized for a normal afternoon is more likely to be reached on an FOMC afternoon, in either direction.
- Base rate: compare the event day with ordinary days from the same month, not with all days. Volatile years make every day look eventful.
- Size against direction: a stat about range or volatility does not carry over to a stat about which way the market closes.
- Era: the effect grew after 2022. Check whether the next version of the stat holds in both halves of its own sample.
Data and method. E-mini S&P 500 (ES) futures, regular-session 1-minute bars (9:30 am to 4:00 pm ET), 3 January 2017 to 14 October 2026; sessions with a contract roll inside them are left out. FOMC statement days are the scheduled statement days (the second day of a two-day meeting) from the Federal Reserve's calendars; the three unscheduled 2020 actions are dropped from both sides. A non-event day has no FOMC statement, CPI release or payrolls report. The range is the session high minus the low, as a share of the open. The late move is the change from the 2:00 pm close to the session close; early-close days have no late window and drop out of that measure. Each day is compared with the median of the other non-event days of its own calendar month. Intervals are 95% Wilson intervals. The shift placebo slides the FOMC marks along the series of FOMC and non-event sessions by every offset of at least 26 sessions; p is the share of offsets producing a gap at least as large. Three measures were tested: the session range, the size of the late move and its direction.