Pre-FOMC Uncertainty Accumulation: Evidence from 0DTE Options
Using 0DTE SPX options, I show that the option-implied uncertainty of the prospective shock accumulates rather than resolves before scheduled FOMC announcements. The implied uncertainty monotonically rises from 10:00 ET to the 14:00 ET release and largely collapses at the announcement. Both the level and the accumulation of the implied uncertainty strongly forecast realized volatility in any window after the announcement time, but not prior to it. The implied skewness is uniformly negative, varies little, and does not predict returns. Immediately after the introduction of Wednesday-expiring 0DTE options, the pre-announcement drift documented in the literature disappears, indicating that the drift reflected compensation for previously unobservable event uncertainty. The same accumulation-and-release pattern appears around FOMC Minutes and the closing auction, scaled to their information content. The 0DTE option market prices any regularly anticipated concentration of price discovery in the same accumulating fashion, whether macroeconomic or microstructural.
Presentations: HEC Montréal; CIREQ Financial Econometrics Conference (2026, poster); CIREQ–HEC Women in Econometrics Conference (2026, poster).
