ThetaData historical midpoint implied volatility and synchronized SPY prices.
Recenter
Every 5 minutes: two nearest qualifying out-of-the-money calls and two puts within $5 of SPY, expiring that day. Average of the call and put median IVs.
Quality filters
Positive bids and sizes, uncrossed and bounded spreads, underlying age ≤60 seconds, and provider IV-quality checks. Missing baskets remain gaps.
Expiry convention
ThetaData’s one-hour minimum time to expiry. Late-day IV is model-dependent; a falling reading alone does not establish an event-volatility trading edge. This measure is not VIX.
Independent validation
3,381 contract observations checked against a matching Black–Scholes calculation. Median absolute difference: 0.0091 volatility points; maximum: 0.0669. Rate: 4.5%; dividend input: 0.
The Federal Open Market Committee sets U.S. monetary policy, including the target range for the federal funds rate.
Decision, projections, minutes
The policy statement announces the decision. Selected meetings include economic projections. Minutes provide a fuller account of deliberations and are generally released three weeks later.
Market catalysts
The rate decision, changes in guidance, economic projections, and the press conference can each change expectations for the future path of rates.
