Stats › Intraday and market microstructure › Data releases

69% of the E-mini's ISM move happens before the release

ISM non-manufacturing, stocks
69%
ISM non-manufacturing, bonds
59%
Pending home sales, stocks
64%
Pending home sales, bonds
52%
Industrial production, stocks
60%
Industrial production, bonds
46%
GDP preliminary, stocks
56%
GDP preliminary, bonds
28%

Source: Kurov, Sancetta, Strasser and Wolfe, ECB Working Paper 1901, later published in the Journal of Financial and Quantitative Analysis. Seven of the indicators tested showed this pattern. Across them, pre-release moves accounted on average for about half the total adjustment. The authors put the implied profits in the E-mini alone at roughly $20m a year since 2008.

US macro releases land on a clock published months ahead: 08:30 New York for payrolls, 14:00 for the FOMC. Prices start moving thirty minutes early, and across seven indicators that early move was about half the total. The release confirms a price already set.

08:30 New YorkPayrolls and CPI
69%ISM move before release
+49bpPre-FOMC drift, 24 hours
Over 80%Share of equity premium

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