Five things the data changed my mind about

I had opinions about all of these before I measured any of them. Writing them down is worth it because being wrong in a specific, checkable way is more useful than being vaguely right.

1. Payrolls is not the biggest mover

I would have said it was without hesitating. On the median half hour swing it is tied with CPI, both at 0.69%, and its biggest single reaction of 1.58% falls well short of CPI’s 2.27%. On a typical day it is a coin flip which of the two is louder, and in the tail CPI wins clearly.

2. FOMC reverses about twice as often as everything else

Counting a flip as the direction right after the print not matching where price sat thirty minutes later: FOMC 30.4%, JOLTS 27.8%, and then everything else clusters between 12.5% and 19.2%.

I expected FOMC to be higher because of the press conference. I did not expect double. And the persistence figures suggest some of what looks like a reversal is a move that simply has not finished, since the FOMC median at two hours is more than twice the median at thirty minutes.

3. JOLTS moves more before the print than after it

Every other release here is quieter in the thirty minutes before the number than in the thirty minutes after, usually by a lot. Payrolls is 3.4 times busier afterwards, CPI 3.2 times.

JOLTS is 0.83, meaning the half hour leading up to it is busier than the half hour that follows. It is the only one that behaves this way and I do not have a confident explanation. My working guess is that whatever moves price at 10:00 on a JOLTS day is mostly not JOLTS, since other things land at the top of that hour. I have not proven it, and I am flagging it as the loose end it is.

4. The Nasdaq beats the S&P on every release, without exception

I assumed this was true on average and that some releases would go the other way. Ratio of the Nasdaq 100 move to the S&P 500 move over the same thirty minutes: JOLTS 1.45, PPI 1.45, GDP 1.42, core PCE 1.40, payrolls 1.38, retail sales 1.34, CPI 1.33, FOMC 1.24.

Eight out of eight, in a band between 1.24 and 1.45. Not one release where the S&P moved more. The tightest is FOMC, which fits: rates news reaches every part of the market, while a growth number lands harder on the longer duration index.

5. Some of what I measured was not there at all

GDP prints in the same minute as Core PCE, and retail sales sometimes prints with PPI. On those days I was recording one release’s move under the other release’s name. GDP looked about 1.5 times larger on its shared days than on the days it printed alone.

The asymmetry is the tell. GDP gains from sharing a minute with Core PCE, but Core PCE gains nothing from sharing with GDP, and PPI actually looks smaller on the days it shares with retail sales. The quieter release borrows the louder one’s range. Every figure on this site now excludes shared-minute releases, and that one correction moved GDP from a respectable mover to one of the two quietest things measured here.

None of that was a modelling error or a bad assumption. The sample itself was wrong, and I would have built conclusions on top of it and blamed the conclusions later when they stopped working.

The usual caveats

Samples run from twenty three to thirty six observations per release. Prices are Nasdaq 100 and S&P 500 index CFDs on one minute bars, not the CME contracts. Everything above is a count of what has happened rather than a forecast of what will, and nothing here is investment advice.