Event timestamps · matched controls · rejection record
6S During FOMC Weeks: A Contamination-Aware Event Study
Calling every Monday-through-Friday interval containing a Federal Reserve decision an “FOMC week” creates a contamination problem. Swiss data, SNB communication, U.S. releases, holidays, contract rolls and unrelated shocks can enter the same window. A valid 6S study must timestamp those influences before it asks whether pre-decision, decision or post-decision behavior differs from ordinary weeks.
- Windows
- Pre / decision / post
- Comparison
- Matched controls
- Contaminants
- Recorded, not erased
- Original results
- None reported
The window is a data object
Map Every Release to a Causal Timestamp
The Federal Reserve meeting calendar supplies decision dates plus links to statements, minutes and projection materials. It does not supply a ready-made 6S event window. Preserve the official release timestamp, the exchange timestamp, the source timezone and the historical UTC offset.
| Segment | Frozen boundary | Information allowed | Primary threat |
|---|---|---|---|
| Prior snapshot | Declared instant before the decision week begins | Only information available by that instant | Backfilling a later expectation |
| Pre-decision | Start and end in UTC, not weekday prose | Scheduled and unscheduled news tagged as it arrives | Calling anticipation an FOMC effect |
| Decision | Statement timestamp through a fixed post-release horizon | Statement, implementation note and contemporaneous market records | Mixing initial repricing with the press conference |
| Post-decision | Fixed endpoint after all declared communication windows | Only later information known by each observation | Attributing a new shock to “follow-through” |
The Federal Reserve says minutes of regularly scheduled meetings are released three weeks after the policy decision. They belong to their own timestamped event record, not retroactively inside decision-week information.
Surprise requires a frozen expectation
Separate the Prior From the Decision Package
A target-rate change alone is not a surprise measure. The test must retain the market prior and describe which part of the announcement differed from it. If no licensed, timestamped expectations series is available, label the surprise field unavailable rather than reconstructing it from the subsequent 6S move.
Policy surprise
Change in the expected U.S. policy path, measured from a declared pre-event market series.
Communication surprise
Statement, projections or press-conference information that changes the curve after the initial release.
Broad-dollar shock
Common USD repricing that may explain 6S alongside other dollar pairs.
Swiss or global shock
SNB, Swiss, European or risk information arriving inside the same measured window.
Ordinary weeks need comparable states
Match Control Weeks Without Looking at Outcomes
A raw FOMC-versus-non-FOMC average can confound policy communication with seasonality, volatility state, holidays or roll migration. Match using variables observable before the candidate week; never choose controls because their later 6S paths look similar.
Calendar
Same weekday structure
Match holiday, early-close and month-end status. Apply historical timezone rules.
Contract
Same lifecycle state
Match days to expiry, roll participation and the exact dated contract or documented splice rule.
Information
Comparable event load
Tag major scheduled U.S., Swiss and European releases using their official historical timestamps.
Market
Past-only volatility
Match a volatility or liquidity state estimated strictly before the window begins.
Protocol question—not a finding
After matching these states, do preregistered 6S volatility, range or market-quality measures differ across pre-decision, decision and post-decision segments relative to control weeks?
- Unit
- Dated FOMC meeting
- Comparison
- Matched non-event weeks
- Allowed result
- No detectable difference
Do not hide the path in one average
Measure Direction, Volatility and Executability Separately
A positive average return does not describe dispersion; a wide range does not prove tradeable liquidity; high volume does not establish favorable fills. Each claim needs its own field set and uncertainty estimate.
| Question | Primary measure | Required data | Do not infer |
|---|---|---|---|
| Direction | Completed 6S return over a frozen segment | Dated contract, price field and exact endpoints | A permanent directional bias |
| Variation | Absolute return, realized variation or declared range measure | Sequenced intraday observations and cleaning log | Executable opportunity |
| Liquidity | Spread, displayed depth, trade size and quote-update intensity | Timestamped quote or order-book records | Your queue position |
| Implementation | Arrival-price slippage, fill rate and implementation shortfall | Own order and acknowledgement timestamps | Counterfactual fills for unsubmitted orders |
CME DataMine lists settlements, Market by Order and PCAP as different historical products. That catalog clarifies that a settlement file cannot stand in for intraday book evidence. No CME dataset was purchased or analyzed for this article.
Make preferred stories expensive
Stress the Event Definition Before Believing It
Register a primary design and a limited sensitivity set before opening the final sample. Every tried window, filter and outcome remains in the audit record so one attractive specification cannot impersonate a stable pattern.
Window stress
Shift the boundaries
- Adjacent non-overlapping pre and post segments
- Statement-only versus statement-plus-press-conference
- UTC and exchange-trade-date representations
Sample stress
Remove fragile dependence
- One meeting at a time
- Scheduled-projection versus other meetings
- Holiday, roll and major-data exclusions
Inference stress
Respect repeated search
- Meeting-level resampling
- Family-aware uncertainty across outcomes
- Chronological holdout never used for tuning
- Keep all meetings. Crisis episodes and quiet decisions cannot be removed because they weaken the average.
- Preserve revisions. Historical event fields must reflect what was knowable at the time.
- Report dependence. Overlapping windows and repeated measures from one meeting are not independent observations.
- Publish nulls. An interval too wide for the decision is an unusable result, not a hidden near miss.
Close the claim explicitly
FOMC-Week Rejection Record
Complete one record for each registered claim. The page does not assume that a measured difference becomes a trading rule.
Accept, limit, or reject the study claim
- Registration
- Sample, timestamps, prior field, windows, controls, measures, exclusions and code hash.
- Coverage
- Eligible meetings, missing records, contaminated windows and control-match quality.
- Estimate
- Effect size, uncertainty, all variants and meeting-level influence.
- Accept
- Useful magnitude and sign survive the registered holdout and robustness set.
- Limit
- Difference exists only in a state identifiable before the window and remains useful after costs.
- Reject
- Controls erase it, sign changes, uncertainty is too wide, data are incomplete, or later evidence fails.
No original 6S FOMC-week dataset, event estimate, coefficient, confidence interval, predictive result or trading performance is reported here. This article specifies a study protocol. Until a sealed implementation passes the record, the conclusion is not tested.
Sources, methods and editorial disclosure — reviewed August 21, 2026
- Federal Reserve FOMC meeting calendars, statements, minutes and projection materials for authoritative event dates and documents.
- Federal Reserve historical FOMC materials for the official-document archive and release-history context.
- Federal Reserve H.15 selected interest rates for official daily U.S. rate-series definitions; a daily close is not an intraday surprise measure.
- Swiss National Bank data portal for downloadable Swiss interest-rate, yield and foreign-exchange series.
- CME Rulebook Chapter 254: Swiss Franc/U.S. Dollar futures for dated-contract identity; full mechanics belong to the canonical 6S contract guide.
- CME DataMine historical-data catalog for distinctions among settlements, Market by Order and PCAP datasets.
Sources and methods were reviewed August 21, 2026. This unsponsored article distinguishes official event facts, proposed measurements, hypotheses, statistical inference and trading application. It reports no original market result.