The quiet before

What is being compared

Two ranges for each release: the high-to-low range of the Nasdaq 100 across the sixty minutes before the print, and the range across the thirty minutes after it. Both are medians over the full record, both are in percent of the release price, and the ratio is simply the second divided by the first. The hour before is twice as long as the window after, which is worth holding in mind on every row: a ratio of one would already mean the market moved twice as fast after the print as before it.

The rows that go quiet, and the one that does not

CPI compresses hardest, 3.3 times as much travel after the print as before it, in half the time. Payrolls is close behind at 3.2 times. Part of that is real holding of breath and part of it is the clock: both print at 08:30 ET, so the hour before is 07:30 to 08:30, which is the thinnest stretch of the pre-market session on any morning, release or no release. The quiet is partly the market's and partly the hour's, and this table cannot separate the two.

JOLTS is the row that breaks the pattern, and it breaks it for the same reason in reverse. It prints at 10:00, so its hour before is 09:00 to 10:00 and contains the cash open at 09:30, which is the loudest half hour of most sessions. A median of 0.59% before against 0.45% after, a ratio of 0.8, does not mean the market ignores JOLTS. It means the opening bell is louder than the number, which is true of most numbers. FOMC sits between, 1.8 times, with an hour before that is the middle of an open session and an hour that has usually been quiet on purpose.

What I stopped doing

I stopped reading a tight range before 08:30 as information. Before I measured it I would look at a narrow pre-market on a CPI morning and see a coil, a market winding up for something. The table says the narrow range is the median, not the signal. It is what every CPI morning looks like, including the ones that went nowhere. If anything the useful reading is the other way round: a pre-market hour that is unusually wide before a release is the unusual thing, and that is the morning I want to know why.

What it cannot tell you

Range is not volume, and this measures only range. A quiet hour in price can be a busy hour in the book. It also does not tell you which way the release breaks, or whether a wider than usual pre-market hour means a wider than usual reaction; I have not measured that pairing yet and it is on the open questions page. Every figure is the index rather than the futures contract, and the pre-market hour on the index CFD is a quieter tape than the same hour on NQ, which may flatter the ratios for the 08:30 rows.