Yeah, now that you mention it but not having any money in the game I guess I forgot.And wasn't it only one or two years back, or was that an different announcement? I did get hosed in 2008, I was long SDS (2X short SPY) and the market was tanking nicely then all of a sudden it switched direction and went straight up. It turned out Hank Paulson was calling his buddies on Wall Street and telling them about the TARP that he was going to propose. But that was during trading hours.
August 16th & 17th 2007. on the 16th SPX (Thurs) traded as low as 1370ish..closed around 1400...SET on Friday was 1450 after BB's "suprise" cut announcement at 8:30ET....amazing watching the "melt up"
Looking at my BB, looks like implied vol on ES was approximatley 28% at the time. So, the 2.5% move up on ES was roughly just a 1.5 standard deviation move (in daily terms). I don't think that move should've really been such a shocker... looks like ES had been doing 30-50 pt intra-day moves all week. Of course, this came "pre-market". Just another argument to hedge their overnight exposure by trading in ES, can't stick to "market hours" any more.
And yet Yahoo and TOS both report the open on the 17th as the same as the close on the 16th. Still it was "only" a 2.7% difference from the open to the HOD on the 17th. Edit: The gap open seems to be reflected for both SPY and IWM, 142.10-to-145.50 and 76.75-to-79.21 respectively. Good for my backtesting which is trying to account for gap opens.