spb/wp8_uqo

1% ============================================================================2% Section 4: Data3% ============================================================================4\section{Data}\label{sec:data}56\subsection{Sources and sample}78Polymarket data were retrieved on 22 May 2026 from the platform's public Gamma API (event and market metadata) and CLOB API (price histories and order books). For each contract we obtain the daily price history returned by the \texttt{prices-history} end-point at daily fidelity, which reports one price per calendar day, and for the five active Fed contracts a snapshot of the full order book at 08:51 UTC on 22 May 2026. Macroeconomic series come from FRED: the effective federal funds rate (DFF, daily), used for the discount factor, together with the CPI and unemployment series used to date releases. Daily closing prices of the SPDR S\&P~500 ETF (SPY), the CBOE Volatility Index (VIX), the CBOE ten-year Treasury yield index (TNX) and Bitcoin (BTC-USD) come from Yahoo Finance. FOMC, CPI and employment-report dates are those of the official 2025--2026 calendars.910The primary sample is the negative-risk event ``Fed decision in June?'' (Gamma event 101772), created on 10 December 2025, a few hours after the December 2025 FOMC meeting lowered the target range by 25 basis points (the effective rate fell from 3.89 to 3.64 percent on 11 December). The five contracts are listed in Panel~A of Table~\ref{tab:descriptive_stats} with their cumulative volume (\$6.5 to \$8.8 million each, \$37.8 million in total) and resting liquidity at the snapshot (\$0.2 to \$1.8 million). The price histories span 10 December 2025 to 22 May 2026; after the alignment described below the panel contains 147 days on which all five contracts have a close, out of 164 calendar days, the remaining days having no recorded daily point for at least one contract. The first day carries the quotes seeded at listing---0.15, 0.50, 0.575, 0.25 and 0.095, summing to 1.57---and is excluded from all statistics, leaving $T=146$ daily closes, 42 of which fall on weekends.1112The secondary sample is the event ``Presidential Election Winner 2024'' (event 903193), with seventeen candidate contracts and \$3.7 billion of cumulative volume (Panel~B of Table~\ref{tab:descriptive_stats}). The histories span 4 January to 5 November 2024, the final close being the one recorded at 00:00 UTC on 6 November, that is, at 19:00 Eastern time on election day, before polls had closed in most states. The sample therefore ends \emph{before} the outcome was known; it contains 304 days with a complete set of seventeen closes after exclusion of the first.1314\input{../results/tables/table1_descriptive_stats.tex}1516\subsection{Alignment of calendars}\label{subsec:alignment}1718The daily points of the CLOB price history are time-stamped at 00:00 UTC (plus a few seconds) and represent the last price of the preceding UTC day. We label each point by the UTC day it closes. This convention has three consequences that matter for the analysis. First, an FOMC statement released at 14:00 Eastern time (18:00 or 19:00 UTC) and a CPI or employment report released at 08:30 Eastern time are both contained in the Polymarket close of the same calendar day, so that ``day 0'' of a release is well defined. Second, the Polymarket close of day $t$ is observed about three to four hours after the U.S.\ cash close of day $t$ (16:00 Eastern); when Polymarket changes are regressed on lagged U.S.\ returns the lag is 27 hours, and when U.S.\ returns are regressed on lagged Polymarket changes it is 21 hours, so that neither direction uses information not yet available at the time of the explanatory variable. Third, Polymarket trades on weekends; for comparisons with the U.S.\ series we construct Polymarket changes on the U.S.\ trading-day grid, so that a Monday change spans Friday evening to Monday evening in both markets. Bitcoin, whose daily close on Yahoo Finance is also at 00:00 UTC, is aligned in the same way. The earlier version of this paper labelled each point by the UTC day of the time stamp, which placed every Polymarket close one day too late relative to the U.S.\ series and to the release dates; Appendix~\ref{app:reconciliation} quantifies the effect.1920\subsection{State prices and their changes}2122Table~\ref{tab:summary_stats} summarises the five state prices and their daily changes over the main sample. The ``No change'' claim is the modal state throughout, averaging 0.61 and rising from 0.36 on 11 December 2025 to 0.978 on 22 May 2026; the ``25 bps decrease'' claim falls from 0.535 to 0.0085 over the same period, while the two tightening states and the large-cut state never exceed 0.13. Daily changes in the two main claims have standard deviations of about 3.3 percentage points, with excess kurtosis between 10 and 17 reflecting the concentration of movement on a few days. The augmented Dickey--Fuller statistics \citep{dickey1979distribution} reject a unit root in all change series at the 1 percent level; the level series are bounded and converge to zero or one by construction, so that all time-series analysis is conducted on changes.2324\input{../results/tables/table2_summary_stats.tex}2526Figure~\ref{fig:state_prices} plots the five state prices. The dominant movements are the two FOMC days of 28 January 2026, when the ``No change'' price fell from 0.425 to 0.31 and the ``25 bps decrease'' price rose from 0.485 to 0.545, and 18 March 2026, when ``No change'' rose from 0.635 to 0.865 and ``25 bps decrease'' fell from 0.295 to 0.085. Between early April and the end of the sample the modal claim drifts upward towards one as the June meeting approaches.2728\begin{figure}[htbp]29  \centering30  \includegraphics[width=\textwidth]{../figures/fig1_state_prices.pdf}31  \caption{State prices of the five contracts on the June 2026 FOMC decision, 11 December 2025 to 22 May 2026 (daily closes, listing day excluded). Dotted vertical lines mark the four FOMC statements in the sample (17 December, 28 January, 18 March, 6 May).}32  \label{fig:state_prices}33\end{figure}3435\subsection{Event dates}3637The sample contains four FOMC statements (17 December 2025; 28 January, 18 March and 6 May 2026), five CPI releases (14 January, 11 February, 11 March, 14 April and 12 May 2026) and five employment reports (9 January, 6 February, 6 March, 3 April and 8 May 2026). No Polymarket close is recorded on 14 April 2026 or on the two following days, so the April CPI release cannot be assigned a day-0 change and is dropped; the 3 April employment report, a Good Friday on which U.S.\ markets were closed, is assigned the first subsequent Polymarket close (4 April). The announcement-day analysis therefore uses thirteen release days.38