Tomorrow in the middle of the afternoon the markets will brace, take a deep breath, and then parse the wording of the press release from the Federal Reserve.  Consensus is that the Fed Funds target rate will stay in the 0.00% – 0.25% range where is has been since December 2008.  The real focus seems to be what sort of indication there will be about the continuation of stimulus programs.  There also seems to be some real uncertainty around how the financial markets will react tomorrow.

Back in May the CBOE/CBOE 10-year U.S. Treasury Note Volatility Index (VXTYN – 6.11) was introduced to the marketplace.  This index is an indication of expected volatility of 10-year Treasury Note Futures.  Although VXTYN was introduced in May there is historical data going back to January 10, 2013 available on the CBOE’s website.  Using this data we can see what VXTYN did going into and after the three Fed announcements from this year.  Notice a little bit of elevated activity and then a slight sell off as indicated by the three green circles in the chart below.  Now note the red circle (that you can’t miss).  VXTYN is elevated, just off the highest levels this year.  Maybe the statement doesn’t change, but the anticipation (or uncertainty) going into this announcement is definitely different this time.