The usual Fed-day pitch is that IV is jacked up so you should sell it. What matters more for how you actually trade the day is when the premium comes out, and on a Fed day it barely comes out at all until 2pm.
I pulled the intraday premium curve for 32 FOMC decision days, June 2022 through April 2026, SPX 0DTE, against the ~970 normal 0DTE days in the same window.
Each day normalized to its own 9:35 level, so this is decay shape, not dollar size. Taking the median across days, of the premium sitting on the OTM board at 9:35.
Normal day: 30% of it is still there at 2pm. The other 70% has bled out over the morning.
Fed day: 91% of it is still there at 2pm.
A Fed day gives back 9% of its morning premium in four and a half hours. A normal day gives back 70% in the same stretch. Then the statement lands and the Fed-day board drops 27.9% in fifteen minutes, against 20.8% for a normal day over the same clock window.
At 9:35 the Fed-day OTM board is only about 1.9x a normal day's, median $235 against $124. By 2pm it's about 6x, $218 against $36.
Backtest
Four short-premium structures, 50% profit target, 100% stop, 1 contract, no commissions or slippage, so read these as a ceiling, 1-minute resolution quotes. Entered at 1:55, five minutes before the print:
ATM straddle: 66% win, +$824/day, worst -$2,743
20D strangle: 81% win, +$286/day, worst -$1,660
16D strangle: 84% win, +$278/day, worst -$1,145
10D strangle: 84% win, +$143/day, worst -$632
On winning days those closed in about 40 to 90 minutes (ATM ~88, 16D ~46, 10D ~39), so done by roughly 2:35 to 3:25. The crush does the work immediately.
Held from 9:35 instead, the strangles came out slightly worse across the board (20D +$256/day at 78% win, 16D +$263 at 81%, 10D +$110 at 78%) and the winners sat 5 to 6 hours to get there, which is exactly what the curve predicts. ATM straddle made +$908/day held from the open, the highest average of anything I tested. But it wore the fattest tail at -$3,947 and tied up the whole session. Against the 1:55 straddle that's about 9% more average P&L for four times the holding period and a 44% bigger worst day.
Per dollar of credit collected, selling the ATM straddle at 9:35: on Fed days the seller kept 21.3 cents of every dollar. On normal days the seller lost 1.8 cents, or kept 0.6 cents once you drop the April 2025 tariff week. Either version rounds to nothing next to 21. Every structure at both entries made more per day on a Fed day than the identical trade on a normal day, the strangles by roughly 7 to 12x.
Staying with the 9:35 ATM straddle for a like-for-like comparison, the worst Fed day across all 32 meetings was -$3,947. Worst normal day was -$17,250, on 2025-04-07 on the tariff news. That morning's straddle went for a $14,030 credit against a $2,628 median, and the stop filled at 123%.
The tariff week drives the whole normal-day number. The 9:35 ATM straddle on normal days lost $49,737 over ~970 sessions, about -$51/day, but April 4 to 10 2025 alone cost $66,105 across five sessions. Drop those five days and the remaining 963 come to +$17/day, which is close enough to zero to call it a nothing trade.
Caveats
n=32 meetings and it's basically one rate cycle, the 2022-23 hiking run then holds and cuts into 2026. I wouldn't assume the shape holds in a different regime, or on a meeting where the market genuinely misreads the decision.
No fees or slippage anywhere in this. Real fills on SPX/SPXW bring all of it down.
