The Uncertainty Resolution of FOMC Meeting Days

We examine the link between scheduled FOMC meetings and the VIX uncertainty measure. Our results indicate that regardless of the pre-scheduled status of such meetings, the VIX significantly declines on meeting dates, which we attribute to the resolution of uncertainty regarding future interest rates provided by the meetings. Additionally, we examine returns to options positions on VIX. We find that even though a decline in the VIX level commonly occurs on FOMC meeting dates, significant returns may be garnered from taking short VIX positions in the derivative markets, even after accounting for the bid-ask spread