FOMC MINS Data (NOT RATE Release day) Scroll to bottom for past plays

[puttytangnutbags]

Just like with the FOMC rate decision Data I put up earlier, Ive made an Excel workbook for the FOMC mins release day. I tried to clean it up a little so it is easier to read and understand. The dates have hyperlinks to the charts that show the entire day and zoomed in to around 1:30-2:30 for those days. PLEASE REMEMBER that I only use delta for my option price calculations so if you hold to close, theta will make the option prices lower. The good news is this method was very accurate at estimating option prices on the last Rate release day, at least until 2:30. I stopped tracking real-time data after that because of work.
I use .44 for delta in this book but you can and should enter your actual delta into it when the time comes to get a better estimate. I did that last time and it made me an extra $6 per option!
The option price increase column is estimating how much I can expect my options price to increase from the price I paid for it at 1:59. So if I pay $1 for an option at 1:59 and are expecting a min option price increase of .25 based on .44 delta, then I set my sell limit for $1.25.
I defined the FOMC bump as from 2:00 - 2:03 but Ive also included columns for prices from 2:00 - 2:30 and for 2:00 - close.

Some things I have observed from putting this workbook together

The FOMC mins release historically speaking, has a less reliable “bump” than FOMC Rate decision day. This was surprising to me.

2022 has had a more dramatic “bump” than any other year I’ve looked at. The Bump starts to fade in aug 2021 and is fairly inconsistent and unreliable from jan 2018 till aug 2021. I feel like it is probably due to Rate hike expectations starting to build in mid 2021 and the Mins release has been given heavier weight in algorithms since then. This is something I plan on looking more into later so I can adjust my strategy when that time comes. I do think we will continue to see these big bumps until inflation is under control so I’m basing my strategy off of 2022 and late 2021 data.

Calls worked better than puts and are more profitable than puts. I intend to only play calls this go around and based on the data will set my sell limit for anywhere from + .24c -.48c depending on my actual delta and my testicular fortitude.

Unlike the FOMC Rate day, I could not find a set time to buy that worked better for all dates so Im sticking with buying calls at 1:59.

I will post the actual excel file if anyone wants it but I will have to remove some of the charts because the file is too large. Just let me know. If you decide to play around with the data and find something interesting or have any insight to the days where virtually no bump happens, please let me know. Also let me know if you have any questions. Ill screw around with this more next weekend and post anything I come up with.

DATA FOR CALLS

YEARLY SUMMARY AND WIN RATES FOR CALLS

DATA FOR PUTS

YEARLY SUMMARY AND WIN RATES FOR PUTS

[puttytangnutbags]

Well, I’m pretty confident in the way option prices are estimated using this spread sheet now. Just like the FOMC rate day, it was accurate almost to the penny. If anyone else is using this to determine what price you should set your limit sell at, always update it with your actual delta. My delta was .49 today which changed my estimated limit sell price from +.22 to plus .27. Made an extra $5 per contract. Hope it went as well for everyone else as it did for me today. On to Dec 14th Rate day

[puttytangnutbags]

Data updated to include 11/23/22

[puttytangnutbags]

I briefly went through the rate release day charts tonight to look for days like our last rate release day, which was just blood red and no pop to the upside. I found a few other days that had similar reactions to the rate release. Then I looked at what happened to the markets on the mins release day for those days. It looks like puts at open would be a pretty good bet on weds. Been really busy with work and family the past few weeks so I need to look closer at this. I should have time to post it all tomorrow night hopefully

[puttytangnutbags]

So again this is briefly looking over things and will try to be better tomorrow. Work is kicking my ass right now. So The charts I mentioned earlier that looked similar to what happened last rate release day are from 6/16/21, 1/27/21 and 7/31/19. These correspond to mins release days 7/7/21, 2/17/21 and 8/21/19. This is the chart for the full day from the last rate release day from 12/14/22.

Next are the charts Ive seen that look fairly similar from the above mentioned rate release days

6/16/21

1/27/21

7/31/19

Now for the mins release day charts that correspond to the rate release days with above

6/16/21 rate day mins released 7/7/21

Puts at open or better about 15 mins in gave about a #2 drop from open. Another signigant drop at 1:58 followed by the FOMC pop

1/27/21 rate release with mins dropping 2/17/21

Again puts at open give about $1.75 drop in spy and a drop at around 1:58 before the pop.

Now 7/31/19 rate release corresponding to 8/21/19

Again puts at open or better yet around 9:30 paid with another significant drop at 1:57 pm.

I have about 7 other days with similar charts to look and hopefully can post them tomorrow but it looks like puts at open may be a decent play. My running theory is people know what was said in public and fear what was said behind closed doors may be worse, leading to a selloff. Any other thoughts would be appreciated.

[puttytangnutbags]

Also calls around 11 seem to a winner

[puttytangnutbags]

I got through the other 7 rate release days that knifed pretty hard after JP and the boys released their money plans. Those dates are 6/13/18, 9/26/18, 12/19/18, 5/1/19, 1/26/22, 3/16/22, 9/21/22. For the short and sweet summary, they all seemed to follow the puts at open, calls at 11 pattern but with varying profit. Safest play is to set a sell limit for no more than whatever half your delta is. For the smarter folks who don’t trust me, here are the charts. Im gonna start with the Rate release charts listed above then the corresponding mins release day charts.

RATE Release days
6/13/18

9/26/18

12/19/18

5/1/19

1/26/22

3/16/22

9/21/22

AS a refresher her is the last rate release day that cost me so much

Brutal.

Now for the charts corresponding mins release of those dates.
6/13/18 rate day, mins released 7/5/18

Puts at open calls at 11 works well

9/26/18 rate day, mins released 10/17/18

puts at open calls at 11

12/19/18 rate day, mins released 1/9/19

Plan still holds

5/1/19 rate day, mins released 5/22/19

Hum, gonna have to average down on those puts at open but calls at 11 still solid.

1/26/22 rate day, mins released 2/16/22

Hell yeah, plays back on!

3/16/22 rate release day, mins released 4/16/22

The trend continues

And finally, 9/21/22 rate release day, mins released 10/12/22

Day traders wet dream. Puts at open may need an average down but calls at 11 stay strong. But what a great $2 range day to trade.

Anyway I plan on trying the puts at open calls at 11 strategy with enough money aside to average down if needed. Haven’t looked at how to play the mins but may have time early tomorrow morning to post if I actually feel confident enough to play. Still have some ptsd from the beat down I took last rate day and a little gunshy. May just end up playing the trend that presents itself afterwards. Good luck all and if someone thinks this is a terrible idea, please let me know.

[puttytangnutbags]

The puts at open and calls at 11 worked very well and I hope anyone who read all this also did well. I went with a strangle weighted on puts and left a few puts with no limit sell just because I couldn’t see how the mins from last rate day could be super positive after jp’s nut punch to my port on 12/14/22. So on too the next rate day and Im thinking about starting a new thread with hopefully @rollover, the big brains here and anyone else with thots involved if they have time. The goal would be to consolidate all the info given to us through the most recent economic data releases and past data releases with market reactions then try to get into the heads of the jp and the gang to predict future policy. Valhalla is first to thots often and I think this could be achieved with good coordination.

[rollover]

2023 Fed Rotation

OUT:
James Bullard (St. Louis) – hawk
Loretta Mester (Clevland) – hawk
Esther George (Kansas City) – dove
Susan Collins (Boston) – dove

IN:
Austan Goolsbee (Chicago) – dove
Patrick Harker (Philadelphia) – hawk
Lorie Logan (Dallas) – unclear, need more info if anyone has opinions
Neel Kashkari (Minneapolis) – hawk

[rollover]

Four Fed speakers between 11:15 am and 1:00 pm ET today, expect some chop!

[rollover]

A tale in three charts from the Fed:

shows softening wage growth, essentially zero for December

whereas the Atlanta Fed wage tracker has not updated for December but shows no softening.
JPow is a data-driven decision maker so not having clear, actionable data points is adding to the fog of war at the Fed. With the labor market remaining very strong, how high might the Fed have to raise rates? Bullard may have provided the answer in November. His analysis said using “generous assumptions” the policy rate needs to be in the 5% to 7% range to be “sufficiently restrictive”.

[rollover]

Fed’s Bostic:

• Sees unemployment above 4% and rates above 5%
• Baseline outlook does not include a recession

“We need to keep rates at their peak until 2024. There will not be urgency to lower rates.”

“If labor market continues to ease, I would be content with a 25 bps hike.”

[rollover]

“Officials are keeping their options open for their Jan. 31-Feb. 1 meeting by declining so far to spell out what might lead them to approve another half-point rate rise or to step down to a more traditional 0.25-point increase.” - @WSJ @NickTimiraos

[rollover]

US Manufacturing Prices Paid Index below 40 for the first time since 2012 seems to indicate a cooling off of major inflationary pressures.

[rollover]

“I think the probability of a soft landing has increased compared to where it was in the fall of 2022,” Bullard told reporters after a speech. He said the unexpected resiliency of the economy is a good thing as it gives the Fed more space to take action and work to lower high levels of inflation. - James Bullard, January 6, 2023

[rollover]

Having watched the interview with Mary Daly, nothing called for a 50bp move. Market is placing 80% odds on 25bp.

[rollover]

Q4 4.1% GDP growth:

[rollover]

Core CPI above a major pivot area, may prove sticky:

[rollover]

Philadelphia Fed President Patrick Harker: “In my view, hikes of 25 basis points will be appropriate going forward.”

“I expect that we will raise rates a few more times this year.”

[rollover]

“Stripping out rent & owners’ equiv. rent, core services prices are rising at an annualized pace of 2.6% over the past 3 months. When Powell gave Brookings speech, annualized 3-mo inflation in that category was 7.1%. Now, it’s essentially back to its pre-pandemic ave.” - Bloomberg