Ivolution Research Journal · Inconclusive report
Macro-announcement-day premium (FOMC/CPI/NFP)
Sessions carrying a tier-1 macro release (FOMC decision, CPI, or NFP) earn a higher close-to-close return premium than ordinary non-announcement sessions.
Cite as: CAL-13: Macro-announcement-day premium (FOMC/CPI/NFP). Ivolution Research Journal.
Publication status
The completed study did not produce decisive evidence for or against the hypothesis. It is not citable as an edge.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for CAL-13 are available to Terminal + AI members.
Symbols
SPX · SPY · QQQ
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
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