While tomorrow is a Fed day, it's also the first trading day of the month. Below is a table showing the S&P 500's performance on the first trading day of each month since the bull market began back in March 2009. As shown, the S&P has averaged a gain of 0.28% on the first day of the month with positive returns 67.5% of the time. The median return of 0.59% is much stronger than the average return.
Early on during the bull market, if it was the first day of the month, it was almost a guaranteed up day. Over the first 23 months of the bull market, the S&P went up on the first day of the month 19 times. In early 2011, however, this trend stopped on a dime. From March through December of last year, the S&P fell on the first day of the month 8 out of 10 times.
The positive first of the month trend has re-emerged in 2012, however. As shown below, the S&P has been positive on the first day of six of the first seven months of this year. The lone down start came on June 1st when the index fell 2.46%.