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Stats › Intraday and market microstructure › CPI day

CPI day has never been a tradeable event for the S&P 500

Consumer Sentiment
-4.03
CPI
-2.14
PPI
-0.58
Housing Starts
2.46
Personal Income
3.50
Industrial Production
5.23
GDP
7.46
ISM
9.14
Non-farm Payrolls
10.10

Average S&P 500 E-mini return in basis points from the prior 16:00 close to five minutes before the release, September 1994 to May 2018. Only non-farm payrolls, ISM and GDP are statistically significant.

Every retail calendar marks the inflation print in red. Two independent research teams, covering 1994 to 2018 and 1996 to 2023, find CPI and PPI release days statistically indistinguishable from ordinary days, while FOMC and ISM days are strongly positive.

-2.14 bpAverage S&P 500 E-mini return into a CPI print, t = -0.69, 1994 to 2018
+10.10 bpThe same window before non-farm payrolls, t = 3.63
NoneSignificant CPI or PPI results across two teams, two horizons, two calendars
-66 bpS&P 500 move per one standard deviation CPI surprise, 2021 to 2023

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