Does the first move hold?

What a reversal means here

Two readings per release: where the Nasdaq 100 sat five minutes after the print, and where it sat at thirty minutes, both relative to the price at the moment of release. If the sign changed between them, that is a reversal. The rule is deliberately blunt. A price that crossed back through the release level by one tick counts the same as one that ran a percent the other way, because the question is whether the first move told you the direction of the half hour, and a flip by one tick answers that question no better than a flip by a percent.

Why FOMC reverses most

FOMC reverses 8 times in 25, a share of 32%, against 12% for GDP and 19% for CPI. The reason is on the clock. The statement lands at 14:00 ET and the press conference starts at 14:30, so a thirty-minute window that begins at the statement ends at the exact moment the second, larger event begins. The five-minute reading is the market's read of the statement text. The thirty-minute reading is the market bracing for the chair. They are not measuring the same thing, and it would be surprising if they agreed more often than they do.

JOLTS is second at 28%, and its clock is also the explanation. It prints at 10:00 ET into a market that has been open for thirty minutes, usually alongside another 10:00 release, so the first five minutes carry the opening flow as well as the number. The releases that print at 08:30 into a thin pre-market tape, with nothing else happening, are the ones that hold: CPI, payrolls, PPI, GDP, all at or under a fifth.

What I changed

I used to run one rule for every release: take the first move, stop on the other side of the release price. The table says that rule is a different trade depending on the row. On CPI it is a trade with the direction right roughly four times in five by the half hour. On FOMC it is closer to two in three, and the third time is not a small loss, because the reversal is the press conference and the press conference is the bigger move. So on FOMC I either wait for the two-hour mark or I am not there, and on CPI the five-minute direction is the trade or there is no trade.

What it cannot tell you

Whether a reversal is tradeable. A sign change tells you the half-hour close was on the other side; it does not tell you the path in between, which the swing column on each release page covers. It is a count on 24 to 39 releases per row, so a difference of a few points between rows is noise, and only the gap between the top and the bottom of the table is large enough to mean something. And it is measured on the index rather than the contract, so a reversal here is a reversal in the underlying, with whatever the futures basis did on top.