In the case of the past three Fed rate hikes, day-to-day mortgage rates had been moving higher leading up to the hike and then generally moved lower after the hike was announced. If you've heard the phrase "buy the rumor, sell the news," that's what this paradoxical movement is all about. Market participants are so tuned-into what will PROBABLY happen that they've fully accounted for what ACTUALLY happens. Widespread consensus on Fed rate hikes results in widespread efforts to push rates higher. More often than not, markets overshoot the goal and rates fall after the hike is confirmed.
Tip courtesy of Bill Holmes with Front Street Mortgage