Jackson Hole has no directional edge. It has a tail.
Twenty-one years of data: $SPY averages +0.05% over the twenty sessions after the keynote. Median is +1.22%. That gap is the whole story.
Most years drift higher. Two years dragged the average to zero.
2022: $SPY down 10.12% in that window. 2008: down 6.43%. $QQQ lost 14.01% in 2008. Both were hawkish surprises.
Timing pattern matters. Average at T+10 is +0.57%. At T+20 it's +0.05%. The damage lands in the second half of the window, not the immediate reaction.
Jackson Hole delivers dispersion on a delay, not drift. The tail only opens when the Chair says something the market hasn't priced.
Which is the problem with August 28.
Kevin Warsh has been Chair for three months. He's cut forward guidance, shortened the FOMC statement, told markets he's not constrained by market prices. He framed this speech as big picture, not policy update.
Expect a neutral tone.
The one variable that decides whether this is worth +1% or -10% is the one nobody can handicap yet.
July PCE lands the same morning. $NVDA reports 36 hours before.
The gamma structure around those events will matter more than the speech itself.
Twenty-one years of data: $SPY averages +0.05% over the twenty sessions after the keynote. Median is +1.22%. That gap is the whole story.
Most years drift higher. Two years dragged the average to zero.
2022: $SPY down 10.12% in that window. 2008: down 6.43%. $QQQ lost 14.01% in 2008. Both were hawkish surprises.
Timing pattern matters. Average at T+10 is +0.57%. At T+20 it's +0.05%. The damage lands in the second half of the window, not the immediate reaction.
Jackson Hole delivers dispersion on a delay, not drift. The tail only opens when the Chair says something the market hasn't priced.
Which is the problem with August 28.
Kevin Warsh has been Chair for three months. He's cut forward guidance, shortened the FOMC statement, told markets he's not constrained by market prices. He framed this speech as big picture, not policy update.
Expect a neutral tone.
The one variable that decides whether this is worth +1% or -10% is the one nobody can handicap yet.
July PCE lands the same morning. $NVDA reports 36 hours before.
The gamma structure around those events will matter more than the speech itself.