A release prints and the price is already somewhere else. This is how much of the half hour is spent in that first minute - before most people have read the number, let alone decided what it means.
| release | measured | first minute | half-hour range | share | is it over at once? |
|---|---|---|---|---|---|
| CPI | 36 | 0.37% | 0.69% | 54% | Over in a minute |
| PPI | 31 | 0.16% | 0.44% | 36% | Mostly, in a minute |
| Payrolls | 34 | 0.24% | 0.69% | 34% | Mostly, in a minute |
| FOMC | 24 | 0.15% | 0.51% | 29% | A third or less |
| GDP | 24 | 0.06% | 0.27% | 21% | A third or less |
| Core PCE | 26 | 0.07% | 0.39% | 17% | It builds instead |
| Retail sales | 29 | 0.04% | 0.26% | 16% | It builds instead |
| JOLTS | 37 | 0.06% | 0.48% | 12% | It builds instead |
CPI is the extreme case: a median 0.37% inside sixty seconds against 0.69% across the whole half hour, so more than half the travel is over before the first minute closes. The first column is distance from the release price and ignores direction; the second is high to low, which is why a share can never quite reach 100%.
The first column is how far the Nasdaq 100 sat from the release price at the close of the first one-minute bar after the print, ignoring direction. The second is the full high-to-low range of the thirty minutes after it. The share is one over the other. They are not quite the same kind of number, distance against range, which is why a share can never reach a hundred percent, and why it is shown as a share rather than a claim that the move was over.
CPI is the extreme case: a median of 0.37% inside the first minute against 0.69% across the whole half hour, a share of 54%. More than half of a typical CPI half hour is spent before the first minute closes. PPI and the jobs report are next at 36% and 34%. All three print at 08:30 as a single headline figure that a machine can read and act on in the time it takes a person to find the number on the page, and the first minute is the machines.
JOLTS is the opposite at 12%, and Core PCE and retail sales are with it under a fifth. JOLTS prints at 10:00 into an open market, alongside other data, and the market has never treated it as a single headline. Core PCE lands inside a larger personal income and outlays release and has to be found before it can be traded. Those reactions build over the half hour instead of arriving in the first minute of it. FOMC sits in the middle at 29%: the statement is parsed fast, and then everyone waits for 14:30.
I stopped trying to be in the first minute on CPI. A fill inside that minute is a fill at a random point of a range that is already most of the day's range, and the price a second later is as likely to be worse as better. If I have a position it was opened before the print, sized to the swing, and it is either right or wrong by the time I could act. On JOLTS and Core PCE there is time, and the table is the reason I know there is time rather than assuming it.
Whether the first minute was in the right direction. Distance ignores sign, and the page on the first five minutes covers whether the early direction held. It is measured on the index CFD, which in the first minute after an 08:30 print is tracking a futures market that is itself moving as fast as it ever does, so the minute-one figure is a measure of where the index landed, not of what a fill would have cost. Slippage is not in these numbers and in that minute it is not small.
Releases: Core PCE Price Index Consumer Price Index FOMC Rate Decision GDP JOLTS Job Openings Nonfarm Payrolls Producer Price Index Retail Sales