The study below is one I mentioned on Twitter (http://twitter.com/qerob) yesterday. Often leading up to a Fed Day the VIX will rise as traders fret over what the Fed might say or do. Monday was one of those rare occasions where VIX closed at an intermediate-term low on the day before a Fed Day. Below are results of the 16 other times this has occurred.
The average trade posted a loss of 0.05% – nearly breakeven. And the average run-up and average drawdown were both close to 0.7%. We know Fed Days have provided an upside edge over the years, but when the VIX has closed at an intermediate-term low, no edge has been apparent.