📝FOMC Options Premium Lagged Past Episodes: Barclays

Figure 3 presents the three-year history of ex-ante, FOMC-related S&P implied moves one week before meetings (roughly corresponding to the current episode), alongside the ex-post S&P one-day move on the meeting date. Notably, implied moves have declined materially since 1Q23, coinciding with the near-end of the last hiking cycle (the Fed delivered its final two hikes in May and July 2023). The current implied move of 88 bps is essentially in line with the average over the past four FOMC meetings (84 bps since June 2025). However, realized S&P moves during those meetings have been unusually muted, close to zero, underscoring the fading influence of monetary policy as a traditional macro driver.

Lastly, we look at the correlation between the S&P and the probability of a cut at the upcoming meeting (implied by STIR markets) for all the FOMC meetings in the past 10y where the Fed delivered a cut, as well as for the upcoming meeting. For comparability, we look at the correlation ~1 week before the meeting (similar to present) (see Figure 4). Interestingly, the correlation is not always positive, likely reflecting whether the cut is “reactive” (bad economic data drives equities lower and cut probabilities higher) or “pre-emptive.” The current episode does not stand out as having particularly high correlations. For completeness, we also show correlations calculated at different horizons (1 month, 2 weeks, 1 week), but the conclusions remain unchanged. - Barclays