Low volume FOMC day from Morgan Stanley
1. Since 2010, an average of 2.4 million contracts of S&P 500 futures have traded on days when the Fed made changes to the target Fed Funds rate. Vs yesterday only 1.1 million contracts of S&P 500 futures had traded (50% below average) as of ~4:20pm.
2. Looking back to the inception of the contract, S&P 500 futures volumes are typically ~13% higher than the prior 63-day average on days when the Fed makes changes to the Fed Funds target rate vs yesterday’s volumes ran 35% below the average over the last 63 days. This is close to the lowest level.